Template:Nutshell Equity Derivatives 6.8

Section 6.8. If “Futures Price Valuation” applies to an Index in an Index Transaction, then on a Valuation Date:

6.8(a) “Valuation Date” means the day on which the Official Settlement Price is published whether or not it is a Disrupted Day (except where Section 6.8(e) applies).

6.8(b) Additional definitions:

6.8(b)(i) “Exchange-traded Contract” for an Index is as specified in the Confirmation by reference to

(A) that Index and

(B) its delivery month; and

(C) the Exchange on which it is traded.

6.8(b)(ii) “Official Settlement Price” means the official settlement price of the Exchange-traded Contracts as published by the Exchange or its clearing house.

6.8(c) Settlement Price and Final Price. the Settlement Price or the Final Price on any Valuation Date:

6.8(c)(i) for an Index Transaction, will be the Official Settlement Price; and

6.8(c)(ii) for an Index Basket Transaction, the Settlement Price or the Final Price will be as provided elsewhere in these Definitions, provided that the Relevant Price for each Index where Futures Price Valuation applies will be the Official Settlement Price.

6.8(d) Adjustments of the Exchange-traded Contract. Without duplicating Section 11.1 (which takes priority), if the Exchange-traded Contract is changed by the Exchange, the Calculation Agent will, if necessary, adjust the Strike Price, Number of Options, Initial Price, Forward Price, Forward Floor Price, Forward Cap Price, Knock-in Price, Knock-out Price or any other relevant variable to preserve the economic equivalent of any payments by the parties under the Transaction required after the date of the change.

6.8(e) Non-Commencement or Discontinuance of the Exchange-traded Contract. If there is no Official Settlement Price because trading in the Exchange-traded Contract is permanently discontinued by a Valuation Date, the Official Settlement Price for that Valuation Date the relevant Index level at the close of the Exchange’s regular trading session on the Valuation Date.

The Expiration Date or Valuation Date will be the date on which Official Settlement Price would be published (had the Exchange-traded Contract been trading) unless it is a Disrupted Day, in which case Sections 3.1(f) or 6.6, will apply.

6.8(f) Corrections of the Official Settlement Price. If the Exchange corrects the Official Settlement Price for any Valuation Date within one Settlement Cycle after its original publication, either party may notify the other and the Calculation Agent will adjust the terms of the Transaction to account for such correction if needed and determine any amount payable as a result.