Template:Nutshell Equity Derivatives 8

Article 8 Cash Settlement
8.1. Cash Settlement of Option Transactions. For each Exercise Date under a Cash-settled Option Transaction Seller will pay to Buyer any Option Cash Settlement Amount on the Cash Settlement Payment Date for all Options exercised on that Exercise Date.
8.2. “Option Cash Settlement Amount” means, for each Valuation Date:

(a) Index Option Transaction and Index Basket Option Transactions: For any Exercise Date, the number of exercised Options x Strike Price Differential x one unit of the Settlement Currency x any Multiplier; and

(b) Share Option Transaction and Share Basket Option Transactions: for any Exercise Date, the number of exercised Options x Option Entitlement x Strike Price Differential.

8.3. “Strike Price Differential” means, for each Valuation Date, the greater of zero and

(a) for a Call, Settlement Price - Strike Price; or

(b) for a Put, Strike Price - Settlement Price.

8.4. Cash Settlement of Forward Transactions. For each Cash Settlement Payment Date under a Cash-settled Forward Transaction:

(a) if “Prepayment” does not apply:

(i) where the Forward Cash Settlement Amount is positive, Seller will pay it to Buyer on the Cash Settlement Payment Date; and

(ii) if Forward Cash Settlement Amount is negative, then Buyer will pay its absolute value to Seller on the Cash Settlement Payment Date; and

(b) if “Prepayment” applies, Seller will pay Buyer Forward Cash Settlement Amount + any Excess Dividend Amount on the Cash Settlement Payment Date.

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:

(A) where Settlement Price ≤ Forward Floor Price: Number of Shares or Baskets x Settlement Price - Forward Floor Price;

(B) where Forward Cap Price ≥ Settlement Price > Forward Floor Price: Number of Shares or Baskets x zero; and

(C) where Settlement Price > Forward Cap Price: Number of Shares or Baskets x Settlement Price - Forward Cap Price; and

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

8.6. Cash Settlement of Equity Swap Transactions. Where Cash Settlement applies for each Cash Settlement Payment Date under an Equity Swap Transaction, if the Type of Return is:

8.6(a) “Price Return”:

(i) if the Equity Amount is positive then the Equity Amount Payer will pay it (with any other amounts it owes) to the Equity Amount Receiver on the relevant Cash Settlement Payment Date; and

(ii) if the Equity Amount is negative then the Equity Amount Receiver will pay its absolute value (with any other amounts it owes) to the Equity Amount Payer on the relevant Cash Settlement Payment Date;

8.6(b) “Total Return” and “Re-investment of Dividends” does not apply, then Price Return will apply, only on each Dividend Payment Date, the Equity Amount Payer will pay any due Dividend Amount to the Equity Amount Receiver on the Dividend Payment Date; and

8.6(c) “Total Return” and “Re-investment of Dividends” applies, then Price Return will apply, only when determining each the Equity Amount on each later Cash Settlement Payment Date the Calculation Agent must adjust the Equity Notional Amount as described in Section 10.4.

8.7. The “Equity Amount” for any Cash Settlement Payment Date means Equity Notional Amount X Rate of Return as determined by the Calculation Agent at the Valuation Time on the Valuation Date.
8.8. “Cash Settlement Payment Date” means the date specified in Confirmation or, if none is specified, the date that is one Settlement Cycle following the Valuation Date, (or, in either case, the following Currency Business Day if the date in question isn’t one).

If, due to a Disrupted Day, there is more than one Valuation Date for the components of any Basket, the Cash Settlement Payment Date will be determined by reference to the last one.