From The Jolly Contrarian
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| [[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.
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| 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.
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| 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.
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Revision as of 13:34, 11 May 2022