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Template:Nutshell Equity Derivatives 6.6: Difference between revisions
Template:Nutshell Equity Derivatives 6.6 (view source)
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Amwelladmin (talk | contribs) (Created page with "Section {{eqderivprov|6.6}}. '''{{eqderivprov|Consequences of Disrupted Days}}'''. If any {{eqderivprov|Valuation Date}} is a {{eqderivprov|Disrupted Day}}, then: :(a) '''{{eq...") |
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:::(A) for an {{eqderivprov|Index Transaction}}, the {{eqderivprov|Index}} level at the {{eqderivprov|Valuation Time}} on that day using the calculation method used for the {{eqderivprov|Index}} before the disruption began, using the {{eqderivprov|Exchange}}-traded price as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} for each security in the {{eqderivprov|Index}} (or, if that security is still disrupted, its good faith estimate of its value as of the {{eqderivprov|Valuation Time}} on that day; and | :::(A) for an {{eqderivprov|Index Transaction}}, the {{eqderivprov|Index}} level at the {{eqderivprov|Valuation Time}} on that day using the calculation method used for the {{eqderivprov|Index}} before the disruption began, using the {{eqderivprov|Exchange}}-traded price as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} for each security in the {{eqderivprov|Index}} (or, if that security is still disrupted, its good faith estimate of its value as of the {{eqderivprov|Valuation Time}} on that day; and | ||
:::(B) for a {{eqderivprov|Share Transaction}}, its good faith estimate of the value for the {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}}; | :::(B) for a {{eqderivprov|Share Transaction}}, its good faith estimate of the value for the {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}}; | ||
:(b) | :(b) '''{{eqderivprov|Index Basket Transaction}}s''': the {{eqderivprov|Valuation Date}} for each undisrupted {{eqderivprov|Index}} will be the {{eqderivprov|Scheduled Valuation Date}}, and the {{eqderivprov|Valuation Date}} for each disrupted {{eqderivprov|Index}} will be the next undisrupted {{eqderivprov|Scheduled Trading Day}} for that {{eqderivprov|Index}}, unless eight {{eqderivprov|Scheduled Trading Day}}s in a row are {{eqderivprov|Disrupted Day}}s, in which case: | ||
::(i) that eighth {{eqderivprov|Scheduled Trading Day}} will be the {{eqderivprov|Valuation Date}}, even though it is a {{eqderivprov|Disrupted Day}}, and | ::(i) that eighth {{eqderivprov|Scheduled Trading Day}} will be the {{eqderivprov|Valuation Date}}, even though it is a {{eqderivprov|Disrupted Day}}, and | ||
::(ii) the {{eqderivprov|Calculation Agent}} must determine the {{eqderivprov|Index}} level as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} using the calculation method used for the {{eqderivprov|Index}} before the disruption began, using the {{eqderivprov|Exchange}}-traded price as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} for each security in the {{eqderivprov|Index}} (or, if that security is still disrupted, its good faith estimate of its value as of the {{eqderivprov|Valuation Time}} on that day; and | ::(ii) the {{eqderivprov|Calculation Agent}} must determine the {{eqderivprov|Index}} level as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} using the calculation method used for the {{eqderivprov|Index}} before the disruption began, using the {{eqderivprov|Exchange}}-traded price as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}} for each security in the {{eqderivprov|Index}} (or, if that security is still disrupted, its good faith estimate of its value as of the {{eqderivprov|Valuation Time}} on that day; and | ||
:(c) | :(c) '''{{eqderivprov|Share Basket Transaction}}s''': the {{eqderivprov|Valuation Date}} for each undisrupted {{eqderivprov|Share}} will be the {{eqderivprov|Scheduled Valuation Date}}, and the {{eqderivprov|Valuation Date}} for each disrupted {{eqderivprov|Share}} will be the next undisrupted {{eqderivprov|Scheduled Trading Day}}, unless eight {{eqderivprov|Scheduled Trading Day}}s in a row are {{eqderivprov|Disrupted Day}}s, in which case: | ||
::(i) that eighth {{eqderivprov|Scheduled Trading Day}} will be the {{eqderivprov|Valuation Date}}, even though it is a {{eqderivprov|Disrupted Day}}, and | ::(i) that eighth {{eqderivprov|Scheduled Trading Day}} will be the {{eqderivprov|Valuation Date}}, even though it is a {{eqderivprov|Disrupted Day}}, and | ||
::(ii) the Calculation Agent must determine its good faith estimate of the value for that {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}}. <br> | ::(ii) the Calculation Agent must determine its good faith estimate of the value for that {{eqderivprov|Share}} as of the {{eqderivprov|Valuation Time}} on that eighth {{eqderivprov|Scheduled Trading Day}}. <br> | ||