Consequences of Disrupted Days - Equity Derivatives Provision

Commentary

Note that single Index Transactions the Index is treated as a single unit which is or is not disrupted under the equity derivative definitions depending on whether securities comprising 20 per cent of more of the Index are disrupted. In that case the whole index is treated as being disrupted and the Valuation Date rolls forward for up to 8 Scheduled Trading Days. Note that had this been treated as a Share Basket Transaction (ie of the shares comprising the index), then the Shares would settle individually according to whether they were disrupted or not. same goes for an Index Basket Transaction - ie those which are not themselves disrupted can settle on the scheduled Valuation Date.