Template:Nutshell Equity Derivatives 6

Article 6 Valuation
6.1. “Valuation Time” means the time on the relevant Valuation Date or Averaging Date specified in the related Confirmation or, if not specified, the Scheduled Closing Time on the Exchange on for the Index or Share on that date. If the Exchange closes before its Scheduled Closing Time and the Valuation Time is after the time it actually closes, then the Valuation Time will be that actual closing time.
6.2. “Valuation Date” means (for Option Transactions) each Exercise Date and (for Forward Transactions and Equity Swap Transactions) each date so specified in the Confirmation (and, where that is not a Scheduled Trading Day, the following Scheduled Trading Day), subject to the disruption provisions in Section 6.6.
6.3. General Terms Relating to Market Disruption Events
6.3(a) “Market Disruption Event” means

(i) a material Trading Disruption or Exchange Disruption to a Share or Index during the hour before the Valuation Time (etc), or

(ii) an Early Closure.

To work out whether there is a Market Disruption Event on an Index due to a Market Disruption Event on one of its component securities, the Calculation Agent will determine the percentage that security contributes to the Index by comparing

(x) how much of the Index level is attributable to that security with

(y) the Index level just before the Market Disruption Event happened.

6.3(b) “Trading Disruption” means any suspension or limitation on trading imposed by an Exchange or Related Exchange for any reason

(i) relating to the Share on the Exchange (or on Exchanges for securities comprising at least 20 percent of the Index level, for any Index Transactions and Index Basket Transactions), or

(ii) in futures or options contracts on the Share or Index on any Related Exchange.

6.3(c) Exchange Disruption means any event (other than an Early Closure) that the Calculation Agent determines impedes market participants trading or valuing:

(i) Shares on an Exchange (or, for Index Transactions and Index Basket Transactions, on Exchanges whose securites comprise at least 20 percent of the Index level), or

(ii) futures or options contracts on the Share or the Index on any Related Exchange.

6.4. “Disrupted Day” means any Scheduled Trading Day on which an Exchange or Related Exchange does not open for trading during its regular trading session or suffers a Market Disruption Event. The Calculation Agent must notify the parties as soon as practicable if any Averaging Date, a Valuation Date, Potential Exercise Date, Knock-in Determination Day, Knock-out Determination Day or Expiration Date is a Disrupted Day.
6.5. “Scheduled Valuation Date” means any date that, had it not been a Disrupted Day, would have been a Valuation Date (i.e., ignoring any postponement on account of a disruption).
6.6. Consequences of Disrupted Days. If any Valuation Date is a Disrupted Day, then:

(a) Index Transaction or Share Transactions: It will be the next undisrupted Scheduled Trading Day unless eight Scheduled Trading Days in a row are Disrupted Days, in which case:

(i) that eighth Scheduled Trading Day will be the Valuation Date, even though it is a Disrupted Day, and

(ii) the Calculation Agent must determine:

(A) for an Index Transaction, the Index level at the Valuation Time on that day using the calculation method used for the Index before the disruption began, using the Exchange-traded price as of the Valuation Time on that eighth Scheduled Trading Day for each security in the Index (or, if that security is still disrupted, its good faith estimate of its value as of the Valuation Time on that day; and

(B) for a Share Transaction, its good faith estimate of the value for the Share as of the Valuation Time on that eighth Scheduled Trading Day;

(b) Index Basket Transactions: the Valuation Date for each undisrupted Index will be the Scheduled Valuation Date, and the Valuation Date for each disrupted Index will be the next undisrupted Scheduled Trading Day for that Index, unless eight Scheduled Trading Days in a row are Disrupted Days, in which case:

(i) that eighth Scheduled Trading Day will be the Valuation Date, even though it is a Disrupted Day, and

(ii) the Calculation Agent must determine the Index level as of the Valuation Time on that eighth Scheduled Trading Day using the calculation method used for the Index before the disruption began, using the Exchange-traded price as of the Valuation Time on that eighth Scheduled Trading Day for each security in the Index (or, if that security is still disrupted, its good faith estimate of its value as of the Valuation Time on that day; and

(c) Share Basket Transactions: the Valuation Date for each undisrupted Share will be the Scheduled Valuation Date, and the Valuation Date for each disrupted Share will be the next undisrupted Scheduled Trading Day, unless eight Scheduled Trading Days in a row are Disrupted Days, in which case:

(i) that eighth Scheduled Trading Day will be the Valuation Date, even though it is a Disrupted Day, and

(ii) the Calculation Agent must determine its good faith estimate of the value for that Share as of the Valuation Time on that eighth Scheduled Trading Day.

6.7. Averaging. If Averaging Dates are specified, then the following provisions will apply for any Valuation Date:

6.7(a) “Averaging Date” means, for each Valuation Date, each date so specified (or, if it is not a Scheduled Trading Day, the following Scheduled Trading Day).

6.7(b) Settlement Price and Final Price. The Settlement Price or Final Price for a Valuation Date will be:

(i) Index Transactions and Cash-settled Share Transactions: The average of the Relevant Prices of the Index or the Shares on each Averaging Date;

(ii) Index Basket Transactions: The average for the Basket the Calculation Agent determines using the method set out in the Confirmation at the Valuation Time on each Averaging Date or, if not so set out, the average for the Baskets it determines on the Averaging Date as the sum of Relevant Prices for each Index in the Basket; and

(iii) Cash-settled Share Basket Transactions: The average of the Baskets the Calculation Agent determines using the method set out in the Confirmation at the Valuation Time on each Averaging Date or, if not so set out, the average of the Baskets it determines on the Averaging Date as the sum of each Share determined as Relevant Price x Number of Shares.

6.7(c) Averaging Date Disruption. If any Averaging Date is a Disrupted Day, then, if the specified consequence for "Averaging Date Disruption” is:

6.7(c)(i) “Omission”, then the Averaging Date will not be relevant when determining the Settlement Price or Final Price. If as a result there would be no Averaging Date on that Valuation Date, Section 6.6 will apply when determining the relevant level on the final Averaging Date for that Valuation Date as if it were a disrupted Valuation Date;

6.7(c)(ii) “Postponement”, then Section 6.6 will apply when determining the relevant level on that Averaging Date as if it were a disrupted Valuation Date whether or not the deferred Averaging Date would fall on a date that already is an Averaging Date; or

6.7(c)(iii) “Modified Postponement”, then:

(A) Index Transactions and Share Transactions: The Averaging Date will be the next Valid Date, though if one has not occurred by the Valuation Time on the eighth Scheduled Trading Day following the originally disrupted Averaging Date or Disrupted Day:

(1) that eighth Scheduled Trading Day will be the Averaging Date (even if it is already an Averaging Date), and

(2) the Calculation Agent will determine the relevant level for that Averaging Date per Section 6.6;

(B) Index Basket Transactions or Share Basket Transactions: the Averaging Date for each unaffected Index or Share will be as specified in the Confirmation as an Averaging Date for tat Valuation Date and the Averaging Date for a disrupted Index or Share will be the next Valid Date for the Index or Share. However if the next Valid Date for the Index or Share has not occurred by the Valuation Time on that eighth following Scheduled Trading Day then:

(1) that eighth Scheduled Trading Day will be the Averaging Date (even if it is already an Averaging Date) and

(2) the Calculation Agent will determine the relevant level under Section 6.6; and

(C) “Valid Date” means an undisrupted Scheduled Trading Day on which another Averaging Date for the same Valuation Date does not occur.

6.7(d) Adjustments of the Exchange-traded Contract. If any Exchange-traded Contract terms are changed by the Exchange, the Calculation Agent must adjust any variable relevant to Transaction settlement as necessary to preserve the economic equivalent of all payments by the parties under the Transaction that would have been required following that change.

6.7(e) Adjustments to Indices. If an Index Modification or Index Cancellation occurs by, or an Index Disruption occurs on an Averaging Date under any Index Transaction or Index Basket Transaction, then the Index Adjustment Events under Section 11.1(b) will apply.

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.