Template:Nutshell Equity Derivatives 6.7: Difference between revisions
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Section {{eqderivprov|6.7}}. '''{{eqderivprov|Averaging}}'''. If {{eqderivprov|Averaging Dates}} are specified | Section {{eqderivprov|6.7}}. '''{{eqderivprov|Averaging}}'''. If {{eqderivprov|Averaging Dates}} are specified, then the following provisions will apply for any {{eqderivprov|Valuation Date}}: <br> | ||
{{Nutshell Equity Derivatives 6.7(a)}} | {{Nutshell Equity Derivatives 6.7(a)}} | ||
{{Nutshell Equity Derivatives 6.7(b)}} | {{Nutshell Equity Derivatives 6.7(b)}} |
Revision as of 13:48, 11 May 2022
Section 6.7. Averaging. If Averaging Dates are specified, then the following provisions will apply for any Valuation Date:
- 6.7(a) “Averaging Date” means, for each Valuation Date, each date so specified (or, if it is not a Scheduled Trading Day, the following Scheduled Trading Day).
- 6.7(b) Settlement Price and Final Price. The Settlement Price or Final Price for a Valuation Date will be:
- (i) Index Transactions and Cash-settled Share Transactions: The average of the Relevant Prices of the Index or the Shares on each Averaging Date;
- (ii) Index Basket Transactions: The average for the Basket the Calculation Agent determines using the method set out in the Confirmation at the Valuation Time on each Averaging Date or, if not so set out, the average for the Baskets it determines on the Averaging Date as the sum of Relevant Prices for each Index in the Basket; and
- (iii) Cash-settled Share Basket Transactions: The average of the Baskets the Calculation Agent determines using the method set out in the Confirmation at the Valuation Time on each Averaging Date or, if not so set out, the average of the Baskets it determines on the Averaging Date as the sum of each Share determined as Relevant Price x Number of Shares.
- 6.7(c) Averaging Date Disruption. If any Averaging Date is a Disrupted Day, then, if the specified consequence for "Averaging Date Disruption” is:
- 6.7(c)(i) “Omission”, then the Averaging Date will not be relevant when determining the Settlement Price or Final Price. If as a result there would be no Averaging Date on that Valuation Date, Section 6.6 will apply when determining the relevant level on the final Averaging Date for that Valuation Date as if it were a disrupted Valuation Date;
- 6.7(c)(ii) “Postponement”, then Section 6.6 will apply when determining the relevant level on that Averaging Date as if it were a disrupted Valuation Date whether or not the deferred Averaging Date would fall on a date that already is an Averaging Date; or
- 6.7(c)(iii) “Modified Postponement”, then:
- (A) Index Transactions and Share Transactions: The Averaging Date will be the next Valid Date, though if one has not occurred by the Valuation Time on the eighth Scheduled Trading Day following the originally disrupted Averaging Date or Disrupted Day:
- (1) that eighth Scheduled Trading Day will be the Averaging Date (even if it is already an Averaging Date), and
- (2) the Calculation Agent will determine the relevant level for that Averaging Date per Section 6.6;
- (B) Index Basket Transactions or Share Basket Transactions: the Averaging Date for each unaffected Index or Share will be as specified in the Confirmation as an Averaging Date for tat Valuation Date and the Averaging Date for a disrupted Index or Share will be the next Valid Date for the Index or Share. However if the next Valid Date for the Index or Share has not occurred by the Valuation Time on that eighth following Scheduled Trading Day then:
- (1) that eighth Scheduled Trading Day will be the Averaging Date (even if it is already an Averaging Date) and
- (2) the Calculation Agent will determine the relevant level under Section 6.6; and
- (C) “Valid Date” means an undisrupted Scheduled Trading Day on which another Averaging Date for the same Valuation Date does not occur.
- (A) Index Transactions and Share Transactions: The Averaging Date will be the next Valid Date, though if one has not occurred by the Valuation Time on the eighth Scheduled Trading Day following the originally disrupted Averaging Date or Disrupted Day:
- 6.7(c)(i) “Omission”, then the Averaging Date will not be relevant when determining the Settlement Price or Final Price. If as a result there would be no Averaging Date on that Valuation Date, Section 6.6 will apply when determining the relevant level on the final Averaging Date for that Valuation Date as if it were a disrupted Valuation Date;
- 6.7(d) Adjustments of the Exchange-traded Contract. If any Exchange-traded Contract terms are changed by the Exchange, the Calculation Agent must adjust any variable relevant to Transaction settlement as necessary to preserve the economic equivalent of all payments by the parties under the Transaction that would have been required following that change.
- 6.7(e) Adjustments to Indices. If an Index Modification or Index Cancellation occurs by, or an Index Disruption occurs on an Averaging Date under any Index Transaction or Index Basket Transaction, then the Index Adjustment Events under Section 11.1(b) will apply.