Price Return - Equity Derivatives Provision

Commentary

To be contrasted with Total Return. and Slight Return. The Price Return is the subtraction of the Settlement Price from the Initial Price, and can (if the underlier incereases in value over the life of the Transaction) be a positive of a negative number. If it's positive, the Equity Amount Payer pays it. If it's negative, the Equity Amount Receiver pays the absolute value.

(by contrast the Total Return formulaton is Equity Notional Amount * (Settlement Price/Initial Price), which can't be negative, since both the numerator and the denominator are always positive).