2002 ISDA Equity Derivatives Definitions
A Jolly Contrarian owner’s manual™
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Section 6.6 in a Nutshell™
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6.6. Consequences of Disrupted Days. If any Valuation Date is a Disrupted Day, then:
- (a) Index Transaction or Share Transactions: It will be the next undisrupted Scheduled Trading Day unless eight Scheduled Trading Days in a row are Disrupted Days, in which case:
- (i) that eighth Scheduled Trading Day will be the Valuation Date, even though it is a Disrupted Day, and
- (ii) the Calculation Agent must determine:
- (A) for an Index Transaction, the Index level at the Valuation Time on that day using the calculation method used for the Index before the disruption began, using the Exchange-traded price as of the Valuation Time on that eighth Scheduled Trading Day for each security in the Index (or, if that security is still disrupted, its good faith estimate of its value as of the Valuation Time on that day; and
- (B) for a Share Transaction, its good faith estimate of the value for the Share as of the Valuation Time on that eighth Scheduled Trading Day;
- (b) Index Basket Transactions: the Valuation Date for each undisrupted Index will be the Scheduled Valuation Date, and the Valuation Date for each disrupted Index will be the next undisrupted Scheduled Trading Day for that Index, unless eight Scheduled Trading Days in a row are Disrupted Days, in which case:
- (i) that eighth Scheduled Trading Day will be the Valuation Date, even though it is a Disrupted Day, and
- (ii) the Calculation Agent must determine the Index level as of the Valuation Time on that eighth Scheduled Trading Day using the calculation method used for the Index before the disruption began, using the Exchange-traded price as of the Valuation Time on that eighth Scheduled Trading Day for each security in the Index (or, if that security is still disrupted, its good faith estimate of its value as of the Valuation Time on that day; and
- (c) Share Basket Transactions: the Valuation Date for each undisrupted Share will be the Scheduled Valuation Date, and the Valuation Date for each disrupted Share will be the next undisrupted Scheduled Trading Day, unless eight Scheduled Trading Days in a row are Disrupted Days, in which case:
- (i) that eighth Scheduled Trading Day will be the Valuation Date, even though it is a Disrupted Day, and
- (ii) the Calculation Agent must determine its good faith estimate of the value for that Share as of the Valuation Time on that eighth Scheduled Trading Day.
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Full text of Section 6.6
Section 6.6. Consequences of Disrupted Days. If any Valuation Date is a Disrupted Day, then:
- (a) in the case of an Index Transaction or Share Transaction, the Valuation Date shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day, unless each of the eight Scheduled Trading Days immediately following the Scheduled Valuation Date is a Disrupted Day. In that case, (i) that eighth Scheduled Trading Day shall be deemed to be the Valuation Date, notwithstanding the fact that such day is a Disrupted Day, and (ii) the Calculation Agent shall determine:
- (A) in respect of an Index Transaction, the level of the Index as of the Valuation Time on that eighth Scheduled Trading Day in accordance with the formula for and method of calculating the Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on that eighth Scheduled Trading Day of each security comprised in the Index (or, if an event giving rise to a Disrupted Day has occurred in respect of the relevant security on that eighth Scheduled Trading Day, its good faith estimate of the value for the relevant security as of the Valuation Time on that eighth Scheduled Trading Day); and
- (B) in respect of a Share Transaction, its good faith estimate of the value for the Share as of the Valuation Time on that eighth Scheduled Trading Day;
- (b) in the case of an Index Basket Transaction, the Valuation Date for each Index not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date, and the Valuation Date for each Index affected by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to that Index, unless each of the eight Scheduled Trading Days immediately following the Scheduled Valuation Date is a Disrupted Day relating to that Index. In that case, (i) that eighth Scheduled Trading Day shall be deemed to be the Valuation Date for the relevant Index, notwithstanding the fact that such day is a Disrupted Day, and (ii) the Calculation Agent shall determine the level of that Index as of the Valuation Time on that eighth Scheduled Trading Day in accordance with the formula for and method of calculating that Index last in effect prior to the occurrence of the first Disrupted Day using the Exchange traded or quoted price as of the Valuation Time on that eighth Scheduled Trading Day of each security comprised in that Index (or, if an event giving rise to a Disrupted Day has occurred in respect of the relevant security on that eighth Scheduled Trading Day, its good faith estimate of the value for the relevant security as of the Valuation Time on that eighth Scheduled Trading Day); and
- (c) in the case of a Share Basket Transaction, the Valuation Date for each Share not affected by the occurrence of a Disrupted Day shall be the Scheduled Valuation Date, and the Valuation Date for each Share affected by the occurrence of a Disrupted Day shall be the first succeeding Scheduled Trading Day that is not a Disrupted Day relating to that Share, unless each of the eight Scheduled Trading Days immediately following the Scheduled Valuation Date is a Disrupted Day relating to that Share. In that case, (i) that eighth Scheduled Trading Day shall be deemed to be the Valuation Date for the relevant Share, notwithstanding the fact that such day is a Disrupted Day, and (ii) the Calculation Agent shall determine its good faith estimate of the value for that Share as of the Valuation Time on that eighth Scheduled Trading Day.
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