Template:M summ Equity Derivatives 6.1: Difference between revisions

From The Jolly Contrarian
Jump to navigation Jump to search
No edit summary
Blanked the page
Tag: Blanking
Line 1: Line 1:
[[6.1 - Equity Derivatives Provision|For]] run-of-the-mill valuations not related to the termination of a {{eqderivprov|Transaction}}, the fall-back {{eqderivprov|Scheduled Closing Time}} regime is fine.


The effect of the {{eqderivprov|Valuation Date}} is to re-strike the {{eqderivprov|Equity Notional Amount}} (or cash settle the movement in the underlier since the last {{eqderivprov|Valuation Date}}<ref>I.e., ''{{eqderivprov|Final Price}} - {{eqderivprov|Initial Price}}''.</ref> which is economically similar to a [[variation margin]] payment.
For the final {{eqderivprov|Valuation Date}}, on the other hand - which feeds into the actual termination price for the {{eqderivprov|Transaction}}, expect the [[broker]] to be more exercised about the timing matching the point at which it liquidates its actual {{eqderivprov|Hedge Position}}. Expect jumpier US tax folk to start rabbiting on about [[hypothetical broker-dealer]]s liquidating [[hypothetical]] hedges, but have no truck with that sort of talk.

Revision as of 13:34, 11 May 2022