Template:Nutshell Equity Derivatives 8.5

Section 8.5. Forward Cash Settlement Amount. “Forward Cash Settlement Amount” means, for each Valuation Date:

(a)Index Forward Transaction or Index Basket Forward Transactions:

(i) where “Prepayment” does not apply: Settlement Price - Forward Price x 1 unit of Settlement Currency x Multiplier;

(ii) where “Prepayment” applies: Settlement Price x 1 unit of Settlement Currency x Multiplier;

(b)Share Forward Transaction or Share Basket Forward Transactions:

(i)Where neither “Prepayment” or “Variable Obligation” applies: Number of Shares (or Baskets) x Settlement Price - Forward Price;

(ii) where “Prepayment” applies but “Variable Obligation” does not: Number of Shares or Baskets x Settlement Price;

(iii) where “Prepayment” does not apply but“Variable Obligation” does: Number of Shares or Baskets x x:

(A) where Settlement Price ≤ Forward Floor Price, Settlement Price - Forward Floor Price;

(B) where Forward Cap Price ≥ Settlement Price > Forward Floor Price, zero; and

(C) where Settlement Price > Forward Cap Price, Settlement Price - Forward Cap Price; and

(iv) where both “Prepayment” and “Variable Obligation” apply: Number of Shares or Baskets (without rounding) x Settlement Price.