Cash Settlement of Equity Swap Transactions - Equity Derivatives Provision: Difference between revisions

Cash Settlement of Equity Swap Transactions - Equity Derivatives Provision (view source)

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-{{cashsettlement}}
-{{2002 ISDA Equity Derivatives Definitions Section 8.6 TOC}}
 {{eqderivsnap|8.6}}
 ====Commentary====
 Equity Swap Transactions can be settled either by reference to {{eqderivprov|Price Return}} or {{eqderivprov|Total Return}}, but not [http://en.wikipedia.org/wiki/Voodoo_Child_(Slight_Return) Slight Return].
-'''{{eqderivprov|Price Return}}''': The {{eqderivprov|Price Return}} is simply a function of the price at the beginning and end, and takes no account of declared dividends or other income or distributions received off the underlier in the mean time. It is simply the the {{eqderivprov|Equity Notional Amount}} * {{eqderivprov|Rate of Return}} (where {{eqderivprov|Rate of Return}} is (({{eqderivprov|Final Price}} - {{eqderivprov|Initial Price}})/{{eqderivprov|Initial Price}}) * {{eqderivprov|Multiplier}} (if any));
+{{cashsettlement}}
-'''{{eqderivprov|Total Return}}''': is the {{eqderivprov|Price Return}}, but adjusted for income.
 {{eqderivanatomy}}