Template:Nutshell Equity Derivatives 5.9: Difference between revisions

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Section {{eqderivprov|5.9}}. '''{{eqderivprov|Final Price}}'''. “'''{{eqderivprov|Final Price}}'''” means, for each {{eqderivprov|Valuation Date}}
Section {{eqderivprov|5.9}}. '''{{eqderivprov|Final Price}}'''. “'''{{eqderivprov|Final Price}}'''” means, for each {{eqderivprov|Valuation Date}} as determined by the {{eqderivprov|Calculation Agent}}:
as determined by the {{eqderivprov|Calculation Agent}}:
:{{eqderivprov|5.9(a)}} '''{{eqderivprov|Index Swap Transaction}}s''': the {{eqderivprov|Index}} level as of the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}};  
:(a) '''{{eqderivprov|Index Swap Transaction}}s''': the {{eqderivprov|Index}} level as of the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}};  
:{{eqderivprov|5.9(b)}} '''{{eqderivprov|Share Swap Transaction}}s''': the price per {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on the Valuation Date or, if no means for determining the {{eqderivprov|Final Price}} are provided in the {{eqderivprov|Confirmation}}:  
:(b) '''{{eqderivprov|Share Swap Transaction}}s''': the price per {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on the Valuation Date or, if no means for determining the {{eqderivprov|Final Price}} are provided in the {{eqderivprov|Confirmation}}:  
::(i) For {{eqderivprov|Exchange}}s that are “open outcry” exchanges that have a price as of the {{eqderivprov|Valuation Time}}, the offical price per {{eqderivprov|Share}} at the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}} reported by the {{eqderivprov|Exchange}}; and  
::(i) For {{eqderivprov|Exchange}}s that are “open outcry” exchanges that have a price as of the {{eqderivprov|Valuation Time}}, the offical price per {{eqderivprov|Share}} at the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}} reported by the {{eqderivprov|Exchange}}; and  
::(ii) For {{eqderivprov|Exchange}}s that are dealer quotation systems, the mid-point of the highest bid and lowest ask prices quoted at or immediately before the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}} (without regard to quotations that “lock” or “cross” the system);  
::(ii) For {{eqderivprov|Exchange}}s that are dealer quotation systems, the mid-point of the highest bid and lowest ask prices quoted at or immediately before the {{eqderivprov|Valuation Time}} on the {{eqderivprov|Valuation Date}} (without regard to quotations that “lock” or “cross” the system);  
:(c) '''{{eqderivprov|Index Basket Swap Transaction}}s''': The sum of the {{eqderivprov|Relevant Prices}} (weighted for each {{eqderivprov|Index}} as provided in the related {{eqderivprov|Confirmation}}) for the {{eqderivprov|Indices}} comprised in the {{eqderivprov|Basket}}; and  
:{{eqderivprov|5.9(c)}} '''{{eqderivprov|Index Basket Swap Transaction}}s''': The sum of the {{eqderivprov|Relevant Prices}} (weighted for each {{eqderivprov|Index}} as provided in the related {{eqderivprov|Confirmation}}) for the {{eqderivprov|Indices}} comprised in the {{eqderivprov|Basket}}; and  
:(d) '''{{eqderivprov|Share Basket Swap Transaction}}s''': The sum of the values for the {{eqderivprov|Shares}} of each {{eqderivprov|Issuer}} as the product of  
:{{eqderivprov|5.9(d)}} '''{{eqderivprov|Share Basket Swap Transaction}}s''': The sum of the values for the {{eqderivprov|Shares}} of each {{eqderivprov|Issuer}} as the product of  
::(i) the {{eqderivprov|Relevant Price}} of such {{eqderivprov|Share}} and  
::(i) the {{eqderivprov|Relevant Price}} of such {{eqderivprov|Share}} and  
::(ii) the relevant {{eqderivprov|Number of Shares}} comprised in the {{eqderivprov|Basket}}.
::(ii) the relevant {{eqderivprov|Number of Shares}} comprised in the {{eqderivprov|Basket}}. <br>

Revision as of 17:25, 5 September 2018

Section 5.9. Final Price. “Final Price” means, for each Valuation Date as determined by the Calculation Agent:

5.9(a) Index Swap Transactions: the Index level as of the Valuation Time on the Valuation Date;
5.9(b) Share Swap Transactions: the price per Share as of the Valuation Time on the Valuation Date or, if no means for determining the Final Price are provided in the Confirmation:
(i) For Exchanges that are “open outcry” exchanges that have a price as of the Valuation Time, the offical price per Share at the Valuation Time on the Valuation Date reported by the Exchange; and
(ii) For Exchanges that are dealer quotation systems, the mid-point of the highest bid and lowest ask prices quoted at or immediately before the Valuation Time on the Valuation Date (without regard to quotations that “lock” or “cross” the system);
5.9(c) Index Basket Swap Transactions: The sum of the Relevant Prices (weighted for each Index as provided in the related Confirmation) for the Indices comprised in the Basket; and
5.9(d) Share Basket Swap Transactions: The sum of the values for the Shares of each Issuer as the product of
(i) the Relevant Price of such Share and
(ii) the relevant Number of Shares comprised in the Basket.
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