Template:Nutshell Equity Derivatives 11.1: Difference between revisions
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Section {{eqderivprov|11.1}}. '''{{prov2|eq|Adjustments to Indices (Adjustments)|Adjustments to Indices}}'''. <br> | Section {{eqderivprov|11.1}}. '''{{prov2|eq|Adjustments to Indices (Adjustments)|Adjustments to Indices}}'''. <br> | ||
{{eqderivprov|11.1(a)}} | {{eqderivprov|11.1(a)}} '''{{eqderivprov|Successor Indices}}'''. The {{eqderivprov|Calculation Agent}} may deem an {{eqderivprov|Index}} calculated by a successor sponsor to the {{eqderivprov|Index Sponsor}}, or a “'''{{eqderivprov|Successor Index}}'''” that replaces the {{eqderivprov|Index}} and uses a substantially similar formula and calculation method, to ''be'' the {{eqderivprov|Index}}. <br> | ||
{{eqderivprov|11.1(b)}} | {{eqderivprov|11.1(b)}} '''{{eqderivprov|Index Adjustment Event}}s''': If before any {{eqderivprov|Valuation Date}} the {{eqderivprov|Index Sponsor}} announces a material change to the calculation method of, or materially modifies the {{eqderivprov|Index}} in any way not contemplated in its formula or method (an “'''{{eqderivprov|Index Modification}}'''”), permanently cancels the {{eqderivprov|Index}} where no {{eqderivprov|Successor Index}} exists (an “'''{{eqderivprov|Index Cancellation}}'''”) or fails to announce a relevant {{eqderivprov|Index}} (an “'''{{eqderivprov|Index Disruption}}'''” (each of these events an “'''{{eqderivprov|Index Adjustment Event}}'''”), then: <br> | ||
:(A) if “'''[[Calculation Agent Adjustment (Adjustment Events) - Equity Derivatives Provision|Calculation Agent Adjustment]]'''” | :(A) if “'''[[Calculation Agent Adjustment (Adjustment Events) - Equity Derivatives Provision|Calculation Agent Adjustment]]'''” applies, then the {{eqderivprov|Calculation Agent}} must determine whether the {{eqderivprov|Index Adjustment Event}} materially affects the {{eqderivprov|Index Transaction}} and, if it does, shall calculate the any necessary price, using the level for that {{eqderivprov|Index}} as at that {{eqderivprov|Valuation Date}} determined by the {{eqderivprov|Calculation Agent}} in accordance with the formula for and method of calculating that {{eqderivprov|Index}} last in effect before the {{eqderivprov|Index Adjustment Event}}, using the securities that comprised that {{eqderivprov|Index}} at that time; <br> | ||
:(B) if “'''[[Negotiated Close-out (Adjustment Events) - Equity Derivatives Provision|Negotiated Close-out]]'''” | :(B) if “'''[[Negotiated Close-out (Adjustment Events) - Equity Derivatives Provision|Negotiated Close-out]]'''” applies then the parties may terminate the {{eqderivprov|Transaction}} on mutually acceptable terms and if they do not it will continue on the terms and conditions and using formulas and calculation methods in effect as of the time of any necessary calculations; or <br> | ||
:(C) if “'''[[Cancellation and Payment (Adjustment Events) - Equity Derivatives Provision|Cancellation and Payment]]'''” | :(C) if “'''[[Cancellation and Payment (Adjustment Events) - Equity Derivatives Provision|Cancellation and Payment]]'''” applies then <br> | ||
::(1) | ::(1) for an {{eqderivprov|Index Disruption}}, the {{eqderivprov|Transaction}} will be cancelled on the {{eqderivprov|Valuation Date}}, <br> | ||
::(2) | ::(2) for an {{eqderivprov|Index Cancellation}}, the {{eqderivprov|Transaction}} will be cancelled on the later of the {{eqderivprov|Exchange Business Day}} before the {{eqderivprov|Index Cancellation}} is effective and the date the {{eqderivprov|Index Sponsor}} announces it, and <br> | ||
::(3) | ::(3) for an {{eqderivprov|Index Modification}}, either party may elect, upon two {{eqderivprov|Scheduled Trading Days}}' notice or lesser notice so that termination occurs by the {{eqderivprov|Index Modification}} date, to cancel the {{eqderivprov|Transaction}} following announcement of the {{eqderivprov|Index Modification}} but by the {{eqderivprov|Scheduled Trading Day}} before {{eqderivprov|Index Modification}} becomes effective and (X) for option transactions, {{eqderivprov|Seller}} will pay to {{eqderivprov|Buyer}} the amount specified in Section {{eqderivprov|12.7(b)(ii)}} and (Y) for swap or forward transactions, one party will pay the other the amount as calculated under Section {{eqderivprov|12.7(c)}}. Any {{eqderivprov|Transaction}} cancelled following an {{eqderivprov|Index Adjustment Event}} will be valued using the {{eqderivprov|Index}} calculation method in effect immediately before the {{eqderivprov|Index Adjustment Event}}. <br> |