Template:Nutshell Equity Derivatives 12.7: Difference between revisions

:{{eqderivprov|12.7(b)(i)}} if “'''{{eqderivprov|Agreed Model}}'''” applies, then the {{eqderivprov|Calculation Agent}} will determine the sum of the {{eqderivprov|Unadjusted Value}} and the {{eqderivprov|Adjustment Value}}, (noting that the {{eqderivprov|Buyer}} will not have to pay the {{eqderivprov|Seller}} anything on cancellation of an {{eqderivprov|Option Transaction}} other than unpaid {{eqderivprov|Premium}}). <br>

::(A) the Calculation Agent will determine the “'''{{eqderivprov|Unadjusted Value}}'''” as the value of the relevant portion of the {{eqderivprov|Option Transaction}} on the {{eqderivprov|Closing Date}} based on: <br>

:::(2) expected dividends between the {{eqderivprov|Closing Date}} and the {{eqderivprov|Expiration Date}} based on, and payable on the same dates as:

::::(a) gross ordinary cash dividends due on the relevant {{eqderivprov|Shares}} in the one-year period ending on the {{eqderivprov|Closing Date}} or  

::(B) “'''{{eqderivprov|Adjustment Value}}'''” means the difference between the amounts determined pursuant to (B)(1) and (B)(2) below: <br>

:::(1) the {{eqderivprov|Calculation Agent}}’s valuation of the relevant portion of the {{eqderivprov|Option Transaction}} based on: <br>

::::(b) expected dividends between the {{eqderivprov|Announcement Date}} and the {{eqderivprov|Expiration Date}} based on, and payable on the same dates as:

:::::(x) gross ordinary cash dividends due on the relevant {{eqderivprov|Shares}} in the one-year period ending on the {{eqderivprov|Announcement Date}} or  

::::(d) a combined interest rate and stock loan rate as specified in the related {{eqderivprov|Confirmation}} from the {{eqderivprov|Announcement Date}} to the {{eqderivprov|Expiration Date}}; and <br>

::::(e) a term of the {{eqderivprov|Option Transaction}} from the {{eqderivprov|Announcement Date}} to the {{eqderivprov|Expiration Date}}. <br>

:{{eqderivprov|12.7(b)(ii)}} If “'''{{eqderivprov|Calculation Agent Determination}}'''” applies, then the {{eqderivprov|Calculation Agent}} will determine the amount. <br>

{{eqderivprov|12.7(c)}} Any {{eqderivprov|Forward Transaction}} or {{eqderivprov|Equity Swap Transaction}}, will be cancelled and the {{eqderivprov|Cancellation Amount}} determined as follows: <br>

:(i) where there is one {{eqderivprov|Determining Party}}, it will calculate the {{eqderivprov|Cancellation Amount}} and who has to pay it. <br>

:(ii) where there are two {{eqderivprov|Determining Parties}}, each will calculate a {{eqderivprov|Cancellation Amount}} and they will split the difference.<br>