Template:M gen Equity Derivatives 6.3(a)

Indices

In the case of an Index, the disruption needs to affect 20% of more of the securities comprising the Index for the Index to be treated as disrupted. In that case valuation is moved for the whole index, not just the disrupted part.

Baskets

In the case of Baskets where some underliers are disrupted and some aren’t, only the affected underliers are subject to disruption provisions and the undisrupted aspects settle/value as scheduled.

Exchange and Related Exchange

• Determining which are the “Exchanges” and “Related Exchanges” is ordinarily straightforward as they are specified in the confirmation.
• However, where “All Exchanges” is specified as the “Related Exchange”, then the Market Disruption Event may be triggered if there is a disruption on any exchange where trading has a material effect (as determined by Calculation Agent) on the overall market for futures or options relating to the underlier.