Template:M summ Equity Derivatives 6.6

For single Index Transactions the Index is treated as a single unit which is, or is not, disrupted under the 2002 ISDA Equity Derivatives Definitions depending on whether securities comprising 20 per cent of more of the Index are disrupted.

In that case the whole index is treated as being disrupted and the Valuation Date rolls forward for up to 8 Scheduled Trading Days. Had this been treated as a Share Basket Transaction (i.e., of the Shares comprising the Index), then the Shares would settle individually according to whether they were disrupted or not. same goes for an Index Basket Transaction - i.e., those which are not themselves disrupted can settle on the scheduled Valuation Date.