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Template:2002 ISDA Equity Derivatives Definitions 11.1(b): Difference between revisions
Template:2002 ISDA Equity Derivatives Definitions 11.1(b) (view source)
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{{eqderivprov|11.1(b)}} If (i) on or prior to any {{eqderivprov|Valuation Date}} in respect of an {{eqderivprov|Index Transaction}} or {{eqderivprov|Index Basket Transaction}}, a relevant {{eqderivprov|Index Sponsor}} announces that it will make a material change in the formula for or the method of calculating that {{eqderivprov|Index}} or in any other way materially modifies that {{eqderivprov|Index}} (other than a modification prescribed in that formula or method to maintain that {{eqderivprov|Index}} in the event of changes in constituent stock and capitalization and other routine events) (an | {{eqderivprov|11.1(b)}} If (i) on or prior to any {{eqderivprov|Valuation Date}} in respect of an {{eqderivprov|Index Transaction}} or {{eqderivprov|Index Basket Transaction}}, a relevant {{eqderivprov|Index Sponsor}} announces that it will make a material change in the formula for or the method of calculating that {{eqderivprov|Index}} or in any other way materially modifies that {{eqderivprov|Index}} (other than a modification prescribed in that formula or method to maintain that {{eqderivprov|Index}} in the event of changes in constituent stock and capitalization and other routine events) (an “'''{{eqderivprov|Index Modification}}'''”) or permanently cancels the {{eqderivprov|Index}} and no {{eqderivprov|Successor Index}} exists (an “'''{{eqderivprov|Index Cancellation}}'''”) or (ii) on any {{eqderivprov|Valuation Date}} in respect of an {{eqderivprov|Index Transaction}} or {{eqderivprov|Index Basket Transaction}}, the {{eqderivprov|Index Sponsor}} fails to calculate and announce a relevant {{eqderivprov|Index}} (an “'''{{eqderivprov|Index Disruption}}'''” and together with an {{eqderivprov|Index Modification}} and an {{eqderivprov|Index Cancellation}}, each an “'''{{eqderivprov|Index Adjustment Event}}'''”), then: <br> | ||
:(A) if | :(A) if “'''[[Calculation Agent Adjustment (Adjustment Events) - Equity Derivatives Provision|Calculation Agent Adjustment]]'''” is specified in the related {{isdaprov|Confirmation}} as the consequence of any such {{eqderivprov|Index Adjustment Event}}, then the {{eqderivprov|Calculation Agent}} shall determine if such {{eqderivprov|Index Adjustment Event}} has a material effect on the {{eqderivprov|Index Transaction}} and, if so, shall calculate the relevant {{eqderivprov|Settlement Price}}, {{eqderivprov|Final Price}}, {{eqderivprov|Strike Price}}, {{eqderivprov|Forward Price}}, {{eqderivprov|Forward Floor Price}}, {{eqderivprov|Forward Cap Price}}, {{eqderivprov|Knock-in Price}} or {{eqderivprov|Knock-out Price}}, as the case may be, using, in lieu of a published level for that {{eqderivprov|Index}}, the level for that {{eqderivprov|Index}} as at that {{eqderivprov|Valuation Date}} as determined by the {{eqderivprov|Calculation Agent}} in accordance with the formula for and method of calculating that {{eqderivprov|Index}} last in effect prior to the change, failure or cancellation, but using only those securities that comprised that {{eqderivprov|Index}} immediately prior to that {{eqderivprov|Index Adjustment Event}}; <br> | ||
:(B) if | :(B) if “'''[[Negotiated Close-out (Adjustment Events) - Equity Derivatives Provision|Negotiated Close-out]]'''” is specified in the related {{eqderivprov|Confirmation}} as the consequence of any such {{eqderivprov|Index Adjustment Event}}, then the parties may, but are not obliged to, terminate the {{eqderivprov|Transaction}} on mutually acceptable terms and if they do not agree to terminate the {{eqderivprov|Transaction}}, then it continues on the terms and subject to the conditions, formulas and calculation methods in effect as of any relevant time at which calculations may be made; or <br> | ||
:(C) if | :(C) if “'''[[Cancellation and Payment (Adjustment Events) - Equity Derivatives Provision|Cancellation and Payment]]'''” is specified in the related {{isdaprov|Confirmation}} as the consequence of any such {{eqderivprov|Index Adjustment Event}}, then <br> | ||
::(1) in the case of an {{eqderivprov|Index Disruption}}, the {{eqderivprov|Transaction}} will be cancelled on the {{eqderivprov|Valuation Date}}, <br> | ::(1) in the case of an {{eqderivprov|Index Disruption}}, the {{eqderivprov|Transaction}} will be cancelled on the {{eqderivprov|Valuation Date}}, <br> | ||
::(2) in the case of an {{eqderivprov|Index Cancellation}}, the {{eqderivprov|Transaction}} will be cancelled on the later of the {{eqderivprov|Exchange Business Day}} immediately prior to the effectiveness of the {{eqderivprov|Index Cancellation}} and the date the {{eqderivprov|Index Cancellation}} is announced by the {{eqderivprov|Index Sponsor}}, and <br> | ::(2) in the case of an {{eqderivprov|Index Cancellation}}, the {{eqderivprov|Transaction}} will be cancelled on the later of the {{eqderivprov|Exchange Business Day}} immediately prior to the effectiveness of the {{eqderivprov|Index Cancellation}} and the date the {{eqderivprov|Index Cancellation}} is announced by the {{eqderivprov|Index Sponsor}}, and <br> | ||
::(3) in the case of an {{eqderivprov|Index Modification}}, either party may elect, upon two {{eqderivprov|Scheduled Trading Days}}' notice or such lesser notice as may be required so that termination occurs not later than the effective date of the {{eqderivprov|Index Modification}}, to cancel the {{eqderivprov|Transaction}} at any time following the announcement of the {{eqderivprov|Index Modification}} but no later than the {{eqderivprov|Scheduled Trading Day}} prior to the effectiveness of such {{eqderivprov|Index Modification}} and (X) in the case of an {{eqderivprov|Index Option Transaction}} or an {{eqderivprov|Index Basket Option Transaction}}, {{eqderivprov|Seller}} will pay to {{eqderivprov|Buyer}} the amount specified in Section {{eqderivprov|12.7(b)(ii)}} and (Y) in the case of an {{eqderivprov|Index Swap Transaction}}, an {{eqderivprov|Index Basket Swap Transaction}}, an {{eqderivprov|Index Forward Transaction}} or an {{eqderivprov|Index Basket Forward Transaction}}, an amount calculated in accordance with Section {{eqderivprov|12.7(c)}} will be paid by one party to the other. Any {{eqderivprov|Transaction}} cancelled as a result of an {{eqderivprov|Index Adjustment Event}} will be valued using the formula or method to calculate the {{eqderivprov|Index}} in effect immediately prior to such {{eqderivprov|Index Adjustment Event}}. <br> | ::(3) in the case of an {{eqderivprov|Index Modification}}, either party may elect, upon two {{eqderivprov|Scheduled Trading Days}}' notice or such lesser notice as may be required so that termination occurs not later than the effective date of the {{eqderivprov|Index Modification}}, to cancel the {{eqderivprov|Transaction}} at any time following the announcement of the {{eqderivprov|Index Modification}} but no later than the {{eqderivprov|Scheduled Trading Day}} prior to the effectiveness of such {{eqderivprov|Index Modification}} and (X) in the case of an {{eqderivprov|Index Option Transaction}} or an {{eqderivprov|Index Basket Option Transaction}}, {{eqderivprov|Seller}} will pay to {{eqderivprov|Buyer}} the amount specified in Section {{eqderivprov|12.7(b)(ii)}} and (Y) in the case of an {{eqderivprov|Index Swap Transaction}}, an {{eqderivprov|Index Basket Swap Transaction}}, an {{eqderivprov|Index Forward Transaction}} or an {{eqderivprov|Index Basket Forward Transaction}}, an amount calculated in accordance with Section {{eqderivprov|12.7(c)}} will be paid by one party to the other. Any {{eqderivprov|Transaction}} cancelled as a result of an {{eqderivprov|Index Adjustment Event}} will be valued using the formula or method to calculate the {{eqderivprov|Index}} in effect immediately prior to such {{eqderivprov|Index Adjustment Event}}. <br> | ||