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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|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> | {{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 "'''[[Calculation Agent Adjustment (Indices)|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 "'''{{eqderivprov|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> | :(B) if "'''{{eqderivprov|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> | ||