Cash Settlement of Equity Swap Transactions - Equity Derivatives Provision

Section 8.6 Cash Settlement of Equity Swap Transactions

8.6(a). Price Return

8.6(b). “Total Return” and “Re-investment of Dividends” is not applicable

8.6(c). “Total Return” and “Re-investment of Dividends” is applicable

Commentary

Equity Swap Transactions can be settled either by reference to Price Return or Total Return, but not Slight Return.

Price Return: The 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 Equity Notional Amount * Rate of Return (where Rate of Return is ((Final Price - Initial Price)/Initial Price) * Multiplier (if any));

Total Return: is the Price Return, but adjusted for income. Template:Eqderivanatomy