Template:Nutshell Equity Derivatives 9.6

9.6. “Number of Baskets to be Delivered” means:

(a) Share Basket Option Transactions: on an Exercise Date, number of exercised Options x Option Entitlement.

(b) Share Basket Forward Transaction where “Variable Obligation” does not apply: Number of Baskets.

(c) Share Basket Forward Transaction where “Variable Obligation” applies:

(i) where Settlement Price ≤ Forward Floor Price: Number of Baskets.

(ii) where Forward Floor Price < Settlement Price ≤ Forward Cap Price: (Forward Floor Price/Settlement Price) x Number of Baskets.

(iii) where Settlement Price > Forward Cap Price: ((Forward Floor Price + Settlement Price - Forward Cap Price)/Settlement Price) x Number of Baskets

(d) Share Basket Swap Transactions: the Number of Baskets.

If the aggregate number of Shares of any Issuer in a Basket is not an integral number of Shares then the aggregate number of Shares of that Issuer to be delivered will be rounded down and a Fractional Share Amount paid in lieu of the fraction.