Template:Nutshell Equity Derivatives 11.1(b)

11.1(b) If, as of a Valuation Date an Index Sponsor does any of the following (each an Index Adjustment Event):

(i) Index Modification: announces an material change to the Index which was not built into the method to cater for routine market events; or

(ii) Index Cancellation: cancels the Index altogether; or

(iii) Index Disruption: fails to publish the Index level —

Then:
(A) if “Calculation Agent Adjustment” applies and the Calculation Agent decides the Index Adjustment Event has materially affected the Index Transaction, it must calculate the Index level for that Valuation Date, using the Index methodology in effect immediately before the Index Adjustment Event, using only those securities comprising Index at that time;
(B) if “Negotiated Close-out” applies, then unless the parties agree to terminate the Transaction it will continue as adjusted; or
(C) if “Cancellation and Payment” applies, then:

(1) for an Index Disruption, the Transaction will be cancelled on the Valuation Date;

(2) for an Index Cancellation, the Transaction will be cancelled on the later of the Exchange Business Day immediately before the Index Cancellation is effective and the date the Index Sponsor announces it, and

(3) for an Index Modification, either party may choose to cancel the Transaction following the announcement of the Index Modification but before the Scheduled Trading Day on which Index Modification is effective; and for Index Options, Seller will pay to Buyer the Section 12.7(b)(ii) amount, and for Index Swaps and Forwards, the Section 12.7(c) amount will be paid by one party to the other.

Any Transaction so cancelled will be valued using the Index methodology in effect immediately before Index Adjustment Event.