Template:Nutshell Equity Derivatives 11.1(b)

11.1(b) If, as of a Valuation Date:

(i) Index Modification and Index Cancellation: an Index Sponsor announces a material change to the Index, its formula or calculation method (which is not built into the method to cater for routine market events) (an “Index Modification”) or permanently cancels the Index without launching a Successor Index (an “Index Cancellation”) or

(ii) Index Disruption: an Index Sponsor fails to calculate and publish an Index (an “Index Disruption” and together with an Index Modification and an Index Cancellation an “Index Adjustment Event”), then:

(A) if “Calculation Agent Adjustment” applies and the Calculation Agent determines the Index Adjustment Event has a material effect on the Index Transaction it must make necessary calculations using the Index level as at that Valuation Date, as it determines using the formula for and method of calculating that Index last in effect before the Index Adjustment Event, using only those securities that comprised that Index at the time of the Index Adjustment Event;

(B) if “Negotiated Close-out” applies, then the parties may, terminate the Transaction on mutually acceptable terms, failing which 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 elect, on as much of two Scheduled Trading Days’ notice as is possible to allow termination by the effective date of the Index Modification, to cancel the Transaction following the announcement of the Index Modification but before the Scheduled Trading Day on which Index Modification is effective and

(X) for an Index Option Transaction or an Index Basket Option Transaction, Seller will pay to Buyer the Section 12.7(b)(ii) amount, and

(Y) for an Index Swap Transaction, an Index Basket Swap Transaction, an Index Forward Transaction or an Index Basket Forward Transaction, the Section 12.7(c) amount will be paid by one party to the other.

Any Transaction cancelled as a result of an Index Adjustment Event will be valued using the formula or method to calculate the Index in effect immediately prior to such Index Adjustment Event.