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2023 ISDA Digital Asset Transactions Definitions
A Jolly Contrarian owner’s manual™
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Section 2 in a Nutshell™
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Full text of Section 2
2 Product Types and Settlement Terms
- 2.1 Product Types
- 2.1.1 Product Type: “Product Type” means, in respect of a Transaction, the Product Type specified as such.
- 2.1.2 Non-Deliverable Digital Asset Forward: “Non-Deliverable Digital Asset Forward” or “NDF” means a Transaction whose Product Type is specified as a Non-Deliverable Digital Asset Forward to which these Digital Asset Definitions apply.
- 2.1.3 Non-Deliverable Digital Asset Option: “Non-Deliverable Digital Asset Option” or “NDO” means a Transaction whose Product Type is specified as a Non-Deliverable Digital Asset Option to which these Digital Asset Definitions apply.
- 2.2 Product Type Settlement Terms:
- 2.2.1 Settlement Terms for Product Types: The settlement terms applicable to a Transaction will be as set out below for the Product Type of the Transaction:
- 2.2.2 NDF Settlement Terms
- (i) IF the Settlement Price at the Valuation Time on the Valuation Date is greater than the Forward Price,
- (ii) THEN the Seller will pay the Forward Cash Settlement Amount to the Buyer on the Settlement Date,
- (iii) OR ELSE IF the Settlement Price at the Valuation Time on the Valuation Date is less than the Forward Price,
- (iv) THEN the Buyer will pay the absolute value of the Forward Cash Settlement Amount to the Seller on the Settlement Date.
- 2.2.3 NDO Premium Payment
- (i) The Buyer will pay the Premium to the Seller in the Settlement Currency on the Premium Payment Date.
- 2.2.4 NDO Settlement Terms
- (i) IF all the conditions below are satisfied:
- (a) either:
- (I) the Buyer has given an NDO Exercise Notice to the Seller or, if applicable, the Seller's Designated Agent during an Exercise Window to exercise the NDO; or
- (II) “Automatic Exercise” is specified as Applicable in respect of the Transaction and the Automatic Exercise Condition has been satisfied,
- (ii) THEN the Seller will pay the Option Cash Settlement Amount to the Buyer on the Settlement Date.
- 2.2.5 Corrections of the Settlement Price
- (i) IF all of the conditions below are satisfied:
- (a) a correction is published by the Settlement Price Source Provider in respect of the Settlement Price for the Valuation Time on the Valuation Date; and
- (b) either party has notified the other party and, if the Calculation Agent is not a party to the Transaction, the Calculation Agent, of the correction prior to the Settlement Date,
- (ii) THEN the Calculation Agent, acting in good faith and using commercially reasonable procedures, will determine the amount that is payable as a result of that correction and, to the extent necessary, will adjust the terms of the Transaction to account for such correction.
- 2.3 Definitions Relating to Settlement
- 2.3.1 “Automatic Exercise Condition” means each of the conditions below has been satisfied:
- (i) the Buyer has not previously given an NDO Exercise Notice to the Seller or, if applicable, the Seller's Designated Agent;
- (ii) the Buyer has not previously given an NDO Non-Auto Exercise Notice to the Seller or, if applicable, the Seller's Designated Agent; and
- (iii) the Option Cash Settlement Amount at the Expiration Time is greater than zero.
- 2.3.2 “Business Day Convention” means, if the Calendar Day Election is not specified as Applicable, the applicable convention for adjusting any relevant date in accordance with Section [6.1.1] if it would otherwise fall on a day that is not a Business Day, or, if the Calendar Day Election is specified as Applicable, not applicable.
- 2.3.3 “Commencement Date” means, in respect of a Transaction, the date specified as such, subject to adjustment in accordance with the Business Day Convention, if applicable, or, if no date is specified, the Trade Date.
- 2.3.4 “Currency Conversion Factor” means either:
- (i) if the Price Source Currency is the same as the Settlement Currency, 1, or
- (ii) if the Price Source Currency is not the same as the Settlement Currency, the amount of the Settlement Currency with a value equal to one unit of the Price Source Currency, using the currency exchange rate at the time at which such amount is determined, as determined by the Calculation Agent acting in good faith and using commercially reasonable procedures to produce a commercially reasonable result.
- 2.3.5 “Earliest Exercise Time” means, in respect of a Transaction, the time specified as such, or, if none is specified, 9.00 a.m. local time in the location specified in the related Confirmation for receipt by the Seller or, if applicable, the Seller's Designated Agent, of notices relating to the Transaction.
- 2.3.6 “Exercise Date” means:
- (i) where the Buyer has given an NDO Exercise Notice to the Seller, the exercise date specified in such NDO Exercise Notice, or, if no such date is specified, the effective date of the NDO Exercise Notice; and
- (ii) where the Automatic Exercise Condition is satisfied, the Expiration Date.
- 2.3.7 “Exercise Days” means, in respect of a Transaction, the days specified as such, subject to adjustment in accordance with the Business Day Convention, if applicable.
- 2.3.8 “Exercise Period Day” means, in respect of an NDO and its Option Style, each day set out below:
- 2.3.9 “Exercise Window” means the period from the Earliest Exercise Time to the Latest Exercise Time on any Exercise Period Day.
- 2.3.10 “Expiration Date” means, in respect of a Transaction, the date specified as such, subject to adjustment in accordance with the Business Day Convention, if applicable.
- 2.3.11 “Expiration Time” means, in respect of a Transaction, the Latest Exercise Time on the Expiration Date, or, if none is specified, the Valuation Time.
- 2.3.12 “Exercise Period Day” means, in respect of an NDO and its Option Style, each day set out below:
- 2.3.13 “Forward Cash Settlement Amount” means an amount expressed in the Settlement Currency calculated as follows:
- Forward Cash Settlement Amount=Multiplier x (P-Forward Price) x Currency Conversion Factor
- where “P means the Settlement Price at the Valuation Time on the Valuation Date.
- 2.3.14 “Forward Price” means, in respect of a Transaction, the price specified as such, which is expressed as an amount of Price Source Currency.
- 2.3.15 “Latest Exercise Time” means, in respect of a Transaction, the time specified as such.
- 2.3.16 “Multiplier” means, in respect of a Transaction, the number specified as such.
- 2.3.17 “NDO Exercise Notice” means an irrevocable notice given by the Buyer to the Seller, or, if applicable, the Seller's Designated Agent, providing notice to the Seller of the Buyer's exercise of the Transaction.
- 2.3.18 “NDO Non-Auto Exercise Notice” means an irrevocable notice given by the Buyer to the Seller, or, if applicable, the Seller's Designated Agent, providing notice to the Seller that the Buyer does not wish Automatic Exercise to apply in respect of the Transaction.
- 2.3.19 “Option Cash Settlement Amount” means:
- (i) if the Option Type specified for the Transaction is a Call, the Call Settlement Amount, where:
- Call Settlement Amount=Multiplier x max(P-Strike Price,0) x Currency Conversion Factor
- where “P” means the Settlement Price at the Valuation Time on the Valuation Date.
- (ii) if the Option Type specified for the Transaction is a Put, the Put Settlement Amount, where:
- Put Settlement Amount=Multiplier x max(Strike Price-P,0) x Currency Conversion Factor
- where “P” means the Settlement Price at the Valuation Time on the Valuation Date.
- 2.3.20 “Option Style” means the Option Style specified as such for a Transaction.
- 2.3.21 “Premium” means the amount, if any, specified as such that will become due to the Seller from the Buyer on the Premium Payment Date.
- 2.3.22 “Premium Payment Date” means the date specified as such, subject to adjustment in accordance with the Business Day Convention, if applicable.
- 2.3.23 “Price Source Currency” means, in respect of a Transaction, the currency in which the Settlement Price Source publishes the Settlement Price.
- 2.3.24 “Settlement Currency” means, in respect of a Transaction, the currency specified as such or, if none is specified, the Price Source Currency.
- 2.3.25 “Settlement Date” means, in respect of a Transaction, the date specified as such, or, if no date is specified as such, two Relevant Days after the Valuation Date.
- 2.3.26 “Settlement Price” means the price published by the Settlement Price Source Provider in respect of the Settlement Price Source.
- 2.3.27 “Settlement Price Source” means in respect of a Transaction the price source specified as such, or if applicable, the Replacement Fallback Settlement Price Source, determined in accordance with Section [4.2.6].
- 2.3.28 “Settlement Price Source Location” means:
- (i) in respect of any Settlement Price Source for which a Settlement Price Source is included in the Settlement Price Source Matrix, the Settlement Price Source Location as specified in the Settlement Price Source Matrix for that Settlement Price Source (or any successor location); and
- (ii) in respect of any other Settlement Price Source, the Settlement Price Source Location as specified (or any successor location).
- 2.3.29 “Settlement Price Source Provider” means the entity responsible for the publication of the Settlement Price Source at the Settlement Price Source Location.
- 2.3.30 “Specified Exercise Dates” means, in respect of a Transaction, the dates specified as such, subject to adjustment in accordance with the Business Day Convention, if applicable.
- 2.3.31 “Strike Price” means, in respect of a Transaction, the price specified as such, which is expressed as an amount of Price Source Currency.
- 2.3.32 “Valuation Date” means, where a date is specified as the “Valuation Date” in respect of a Transaction, such date, or, in the case of an NDO where no date is specified as such, the Exercise Date, or, in either case, where that date is not a Relevant Day or is not a Scheduled Publication Day, the Valuation Date will be the next Scheduled Publication Day that is also a Relevant Day. In all cases, the Valuation Date remains subject to adjustment in accordance with any applicable Disruption Fallback.
- 2.3.33 “Valuation Time” means, in respect of a Transaction, the time specified as such, as adjusted in accordance with any applicable Disruption Fallback.
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