Template:M summ Equity Derivatives 6.3(a): Difference between revisions

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===What counts as “Market Disruption”?===
A {{eqderivprov|Market Disruption Event}} is a {{eqderivprov|Trading Disruption}} or {{eqderivprov|Exchange Disruption}} that exists during the hour before any {{eqderivprov|Valuation Time}} or {{eqderivprov|Exercise Time}} — it keys off the ''occurrence'' or ''existence'' of the event, not the point when the {{eqderivprov|Calculation Agent}} determined it — or {{eqderivprov|Early Closure}}.


The point is to capture material disruptions around the close of the market. If there ''was'' a disruption, earlier in the day but, say, it cleared up by lunchtime, then — as far as valuing [[equity derivatives]] is concerned — all is Kool and the Gang. The kinds of disruptions are:
*'''{{eqderivprov|Trading Disruption}}''': suspension/limitation in trading on an underlier (or futures on it) on any {{eqderivprov|Exchange}}/{{eqderivprov|Related Exchange}}
*'''{{eqderivprov|Exchange Disruption}}''': any event that impairs the ability to value, settle transactions across any {{eqderivprov|Exchange}}/{{eqderivprov|Related Exchange}}
*'''{{eqderivprov|Early Closure}}''': the closure of any {{eqderivprov|Exchange}}/{{eqderivprov|Related Exchange}} prior to scheduled closing time unless announced at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on that exchange and (ii) the submission deadline for orders on {{eqderivprov|Exchange}} for execution at the {{eqderivprov|Valuation Time}}
Additionally a day is “{{eqderivprov|Disrupted Day}}” if an {{eqderivprov|Exchange}}/{{eqderivprov|Related Exchange}} fails to open for trading during a regular trading session.

Revision as of 13:33, 11 May 2022