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Market Disruption Event - Equity Derivatives Provision: Difference between revisions
Market Disruption Event - Equity Derivatives Provision (view source)
Revision as of 12:33, 13 December 2012
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Additionally a day is “{{eqderivprov|Disrupted Day}}” if an {{eqderivprov|Exchange}}/{{eqderivprov|Related Exchange}} fails to open for trading during a regular trading session. | Additionally a day is “{{eqderivprov|Disrupted Day}}” if an {{eqderivprov|Exchange}}/{{eqderivprov|Related Exchange}} fails to open for trading during a regular trading session. | ||
====Indices==== | =====Indices===== | ||
In the case of an {{eqderivprov|Index}}, the disruption needs to affect 20% of more of the securities comprising the {{eqderivprov|Index}} for the {{eqderivprov|Index}} to be treated as disrupted. In that case valuation is moved for the whole index, not just the disrupted part. | In the case of an {{eqderivprov|Index}}, the disruption needs to affect 20% of more of the securities comprising the {{eqderivprov|Index}} for the {{eqderivprov|Index}} to be treated as disrupted. In that case valuation is moved for the whole index, not just the disrupted part. | ||
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In the case of {{eqderivprov|Baskets}} where some underliers are disrupted and some aren’t, only the affected underliers are subject to disruption provisions and the undisrupted aspects settle/value as scheduled. | In the case of {{eqderivprov|Baskets}} where some underliers are disrupted and some aren’t, only the affected underliers are subject to disruption provisions and the undisrupted aspects settle/value as scheduled. | ||
====={{eqderivprov|Exchange}}/{{eqderivprov|Related Exchange}}===== | |||
*Determining which are the “{{eqderivprov|Exchanges}}” and “{{eqderivprov|Related Exchanges}}” is ordinarily straightforward as they are specified in the confirmation. | *Determining which are the “{{eqderivprov|Exchanges}}” and “{{eqderivprov|Related Exchanges}}” is ordinarily straightforward as they are specified in the confirmation. | ||
*However, where “{{eqderivprov|All Exchanges}}” is specified as the “{{eqderivprov|Related Exchange}}”, then the {{eqderivprov|Market Disruption Event}} may be triggered if there is a disruption on any exchange where trading has a material effect (as determined by {{eqderivprov|Calculation Agent}}) on the overall market for futures or options relating to the underlier. | *However, where “{{eqderivprov|All Exchanges}}” is specified as the “{{eqderivprov|Related Exchange}}”, then the {{eqderivprov|Market Disruption Event}} may be triggered if there is a disruption on any exchange where trading has a material effect (as determined by {{eqderivprov|Calculation Agent}}) on the overall market for futures or options relating to the underlier. | ||