Disrupted Day - Equity Derivatives Provision
2002 ISDA Equity Derivatives Definitions
A Jolly Contrarian owner’s manual™
6.4 in all its glory
Resources and Navigation
- 6.3(a) Market Disruption Event
- 6.3(b) Trading Disruption
- 6.3(c) Exchange Disruption
- 6.3(d) Early Closure
- 6.7(a). Averaging Date
- 6.7(b). Settlement Price and Final Price
- 6.7(c). Averaging Date Disruption
- 6.7(d). Adjustments of the Exchange-traded Contract
- 6.7(e). Adjustments to Indices (Averaging)
- 6.8(a) Valuation Date (Futures Price Valuation)
- 6.8(b) Additional definitions (Futures Price Valuation)
- 6.8(c) Settlement Price and Final Price (Futures Price Valuation)
- 6.8(d) Adjustments of the Exchange-traded Contract (Futures Price Valuation)
- 6.8(e) Non-Commencement or Discontinuance of the Exchange-traded Contract
- 6.8(f) Corrections of the Official Settlement Price
Equity derivatives, being a delta-one product provided by swap dealers on the presumption that they take no market risk and hedge out all risks in the physical market, depends on the venues for that physical market being open as usual, and throughout the trading session (especially where Transactions are priced on volume-weighted average prices.
An Exchange, therefore, being such a place, can really bugger things up for the market if it is unexpectedly not operating at any time an equity derivative needs to be hedged — given the way swap dealers hedge their delta-one books, on a macro basis across the portfolio, that means every day).
- The JC’s famous Nutshell™ summary of this clause
- A pointer where the real work is done on Market Disruption Event. Not here.