Cash Settlement of Equity Swap Transactions - Equity Derivatives Provision: Difference between revisions
Jump to navigation
Jump to search
Amwelladmin (talk | contribs) |
Amwelladmin (talk | contribs) |
||
| Line 4: | Line 4: | ||
Equity Swap Transactions can be settled either by reference to {{eqderivprov|Price Return}} or {{eqderivprov|Total Return}}, but not [http://en.wikipedia.org/wiki/Voodoo_Child_(Slight_Return) Slight Return]. | Equity Swap Transactions can be settled either by reference to {{eqderivprov|Price Return}} or {{eqderivprov|Total Return}}, but not [http://en.wikipedia.org/wiki/Voodoo_Child_(Slight_Return) Slight Return]. | ||
'''{{eqderivprov|Price Return}}''': The {{eqderivprov|Price Return}} is simply a function of the price at the beginning and end, and takes no account of declared dividends or other income or distributions received off the underlier in the mean time. It is simply the the {{eqderivprov|Equity Notional Amount}} * {{eqderivprov|Rate of Return}} (where Rate of Return is (({{eqderivprov|Final Price}} - {{eqderivprov|Initial Price}})/{{eqderivprov|Initial Price}}) * {{eqderivprov|Multiplier}} (if any) | '''{{eqderivprov|Price Return}}''': The {{eqderivprov|Price Return}} is simply a function of the price at the beginning and end, and takes no account of declared dividends or other income or distributions received off the underlier in the mean time. It is simply the the {{eqderivprov|Equity Notional Amount}} * {{eqderivprov|Rate of Return}} (where {{eqderivprov|Rate of Return}} is (({{eqderivprov|Final Price}} - {{eqderivprov|Initial Price}})/{{eqderivprov|Initial Price}}) * {{eqderivprov|Multiplier}} (if any)); | ||
'''{{eqderivprov|Total Return}}''': is the {{eqderivprov|Price Return}}, but adjusted for income. | '''{{eqderivprov|Total Return}}''': is the {{eqderivprov|Price Return}}, but adjusted for income. | ||
{{eqderivanatomy}} | {{eqderivanatomy}} | ||
Revision as of 13:07, 14 November 2012
Section 8.6 Cash Settlement of Equity Swap Transactions
- 8.6(a). Price Return
- 8.6(b). “Total Return” and “Re-investment of Dividends” is not applicable
- 8.6(c). “Total Return” and “Re-investment of Dividends” is applicable
Commentary
Equity Swap Transactions can be settled either by reference to Price Return or Total Return, but not Slight Return.
Price Return: The Price Return is simply a function of the price at the beginning and end, and takes no account of declared dividends or other income or distributions received off the underlier in the mean time. It is simply the the Equity Notional Amount * Rate of Return (where Rate of Return is ((Final Price - Initial Price)/Initial Price) * Multiplier (if any));
Total Return: is the Price Return, but adjusted for income. Template:Eqderivanatomy