Template:Nutshell Equity Derivatives 5

Article 5 General Terms Relating to Equity Swap Transactions
5.1. Equity Amount Payer. The “Equity Amount Payer” will be specified in the Confirmation.
5.2. “Equity Amount Receiver” means the party specified as such in the Equity Swap Transaction Confirmation or, if none, the party who is not the Equity Amount Payer.
5.3. “Initial Exchange Amount” means the amount that is specified as such in the related Equity Swap Transaction Confirmation for a party and that it must pay on the Initial Exchange Date.
5.4. “Initial Exchange Date” will be specified in the related Confirmation, or, if it is not an Exchange Business Day and a Currency Business Day, the following day that is.
5.5. “Final Exchange Amount” means any amount specified as such for a party in an Equity Swap Transaction Confirmation. It will be payable on the Final Exchange Date.
5.6. “Final Exchange Date” will be specified in the Confirmation, or, if it is not an Exchange Business Day and a Currency Business Day, will be the next day that is.
5.7. “Rate of Return” on any Cash Settlement Payment Date means the rate the Calculation Agent determines for the Valuation Date using the formula: ((Final Price - Initial Price)/Initial Price) * Multiplier (if any)
5.8. “Initial Price” means, for the first Valuation Date, the price specified in the Confirmation, and for each subsequent Valuation Date, the Final Price for the immediately preceding Valuation Date.
5.9. “Final Price” means, for each Valuation Date:

5.9(a) Index Swap Transactions: the Index level at the Valuation Time on the Valuation Date;

5.9(b) Share Swap Transactions: the price per Share at the Valuation Time on the Valuation Date or, if no means for determining the Final Price are provided in the Confirmation:

(i) For “open outcry” Exchanges that have a price as of the Valuation Time, the Exchange’s official price per Share at the Valuation Time on the Valuation Date; and

(ii) For Exchanges that are dealer quotation systems, the mid-point of the highest bid and lowest ask prices quoted at the Valuation Time on the Valuation Date (ignoring quotations that “lock” or “cross” the system);

5.9(c) Index Basket Swap Transactions: The weighted sum of the Relevant Prices for the Indices in the Basket; and

5.9(d) Share Basket Swap Transactions: The sum of the values for the Shares of each Issuer as the product of

(i) the Relevant Price of the Share and

(ii) the relevant Number of Shares in the Basket.

5.10 Equity Notional Reset: if “Equity Notional Reset” applies the Equity Notional Amount following any Cash Settlement Payment Date will be adjusted to equal the existing Equity Notional Amount +/- the Equity Amount determined on that Cash Settlement Payment Date.