Template:Cashsettlement: Difference between revisions
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Section {{eqderivprov|8.6}} | Under Section {{eqderivprov|8.6}} ({{eqderivprov|Cash Settlement of Equity Swap Transactions}}) where “{{eqderivprov|Cash Settlement}}” applies, a payment is made on each {{eqderivprov|Cash Settlement Payment Date}} depending on the {{eqderivprov|Type of Return}} specified as follows: | ||
=====Price Return===== | |||
{{eqderivprov|Price Return}} is simply a function of the price at the beginning and end, and takes no account of declared dividends or other income or distributions received off the underlier in the meantime. It is simply | |||
{{quote|{{eqderivprov|Equity Notional Amount}} * {{eqderivprov|Rate of Return}}}} | |||
Where “{{eqderivprov|Rate of Return}}” is | |||
{{quote|(({{eqderivprov|Final Price}} - {{eqderivprov|Initial Price}})/{{eqderivprov|Initial Price}}) * any {{eqderivprov|Multiplier}}}} | |||
The {{eqderivprov|Equity Amount}} is paid one way or the other depending on whether it is positive or negative. | |||
=====Total Return===== | |||
{{eqderivprov|Total Return}} is the {{eqderivprov|Price Return}}, but adjusted for income. | |||
Where {{eqderivprov|Re-investment of Dividends}} does ''not'' apply, the {{eqderivprov|Equity Amount Payer}} must pay {{eqderivprov|Dividend Amount}}s along with the {{eqderivprov|Equity Amount}}, whichever way it might be paid, as per {{eqderivprov|Price Return}}. | |||
Where {{eqderivprov|Re-investment of Dividends}} ''does'' apply, then {{eqderivprov|Equity Amount}}s will be adjusted as per the “{{eqderivprov|Re-investment of Dividends}}” provision. | |||
Latest revision as of 17:22, 1 November 2024
Under Section 8.6 (Cash Settlement of Equity Swap Transactions) where “Cash Settlement” applies, a payment is made on each Cash Settlement Payment Date depending on the Type of Return specified as follows:
Price Return
Price Return is simply a function of the price at the beginning and end, and takes no account of declared dividends or other income or distributions received off the underlier in the meantime. It is simply
Where “Rate of Return” is
((Final Price - Initial Price)/Initial Price) * any Multiplier
The Equity Amount is paid one way or the other depending on whether it is positive or negative.
Total Return
Total Return is the Price Return, but adjusted for income.
Where Re-investment of Dividends does not apply, the Equity Amount Payer must pay Dividend Amounts along with the Equity Amount, whichever way it might be paid, as per Price Return.
Where Re-investment of Dividends does apply, then Equity Amounts will be adjusted as per the “Re-investment of Dividends” provision.