Template:Nutshell Equity Derivatives 8.6

8.6. Cash Settlement of Equity Swap Transactions. Where Cash Settlement applies for each Cash Settlement Payment Date under an Equity Swap Transaction, if the Type of Return is:

8.6(a) “Price Return”:

(i) if the Equity Amount is positive then the Equity Amount Payer will pay it (with any other amounts it owes) to the Equity Amount Receiver on the relevant Cash Settlement Payment Date; and

(ii) if the Equity Amount is negative then the Equity Amount Receiver will pay its absolute value (with any other amounts it owes) to the Equity Amount Payer on the relevant Cash Settlement Payment Date;

8.6(b) “Total Return” and “Re-investment of Dividends” does not apply, then Price Return will apply, only on each Dividend Payment Date, the Equity Amount Payer will pay any due Dividend Amount to the Equity Amount Receiver on the Dividend Payment Date; and

8.6(c) “Total Return” and “Re-investment of Dividends” applies, then Price Return will apply, only when determining each the Equity Amount on each later Cash Settlement Payment Date the Calculation Agent must adjust the Equity Notional Amount as described in Section 10.4.