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2002 ISDA Equity Derivatives Definitions
A Jolly Contrarian owner’s manual™
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Section 7.3 in a Nutshell™
Use at your own risk, campers!
7.3. “ Settlement Price” means, for any Valuation Date:
- 7.3(a) Cash-settled Share Option Transactions or Share Forward Transactions: the price per Share the Calculation Agent determines as provided under the Confirmation as of the Valuation Time on the Valuation Date or, if not so provided that the Settlement Price will be:
- (i) for any Share on an “open outcry” Exchange that has a tradable price at the Valuation Time the price per Share at that Valuation Time, as reported by the Exchange; and
- (ii) for any Share on a dealer Exchange or quotation system, the mid-point of the highest bid and lowest ask prices quoted at or immediately before the Valuation Time on the Valuation Date without regard to quotations that “lock” or “cross” the exchange or system;
- 7.3(b) Cash-settled Share Basket Option Transactions and Share Basket Forward Transactions: The Calculation Agent will determine the Settlement Price for the Basket according to the formula specified in the Confirmation or, if not specified, by adding the values for each Share in the Basket: Relevant Price x Number of Shares
- 7.3(c) Physically-settled Share Option Transactions and Share Basket Option Transactions: the Strike Price;
- 7.3(d) Index Option Transactions and Index Forward Transactions: The Calculation Agent will determine the level of the Index per the method in the Confirmation as of the Valuation Time on the Valuation Date or, if there is no such method, as the level of the Index at the Valuation Time on the Valuation Date; and
- 7.3(e) Index Basket Option Transactions and Index Basket Forward Transactions: the Calculation Agent will determine an amount for the Basket per the method in the Confirmation at the Valuation Times on the Valuation Date or, if no method is provided, as an amount for the Basket equal to the weighted sum of the Relevant Prices for the Indices in the Basket.
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Full text of Section 7.3
Section 7.3. Settlement Price. “ Settlement Price” means, in relation to a Valuation Date:
- 7.3(a) in respect of a Cash-settled Share Option Transaction or a Share Forward Transaction, the price per Share determined by the Calculation Agent as provided in the related Confirmation as of the Valuation Time on the Valuation Date or, if no means for determining the Settlement Price are so provided (i) in respect of any Share for which the Exchange is an auction or “open outcry” exchange that has a price as of the Valuation Time at which any trade can be submitted for execution, the Settlement Price shall be the price per Share as of the Valuation Time on the Valuation Date as reported in the official real-time price dissemination mechanism for such Exchange; and (ii) in respect of any Share for which the Exchange is a dealer exchange or dealer quotation system, the Settlement Price shall be the mid-point of the highest bid and lowest ask prices quoted as of the Valuation Time on the Valuation Date (or the last such prices quoted immediately before the Valuation Time) without regard to quotations that "lock” or “cross” the dealer exchange or dealer quotation system;
- 7.3(b) in respect of a Cash-settled Share Basket Option Transaction or a Share Basket Forward Transaction, an amount for the Basket determined by the Calculation Agent as provided in the related Confirmation as of the relevant Valuation Time(s) on the Valuation Date or, if no means for determining the Settlement Price are so provided, an amount for the Basket equal to the sum of the values for the Shares of each Issuer as the product of (i) the Relevant Price of such Share and (ii) the relevant Number of Shares comprised in the Basket;
- 7.3(c) in respect of a Physically-settled Share Option Transaction or a Physically-settled Share Basket Option Transaction, the Strike Price;
- 7.3(d) in respect of an Index Option Transaction or Index Forward Transaction, the level of the Index determined by the Calculation Agent as provided in the related Confirmation as of the Valuation Time on the Valuation Date or, if no means for determining the Settlement Price are so provided, the level of the Index as of the Valuation Time on the Valuation Date; and
- 7.3(e) in respect of an Index Basket Option Transaction or Index Basket Forward Transaction, an amount for the Basket determined by the Calculation Agent as provided in the related Confirmation as of the relevant Valuation Time(s) on the Valuation Date or, if no means for determining the Settlement Price are so provided, an amount for the Basket equal to the sum of the Relevant Prices (weighted or adjusted in relation to each Index as provided in the related Confirmation) for the Indices comprised in the Basket.
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