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Template:2002 ISDA Equity Derivatives Definitions 12.7(b): Difference between revisions
Template:2002 ISDA Equity Derivatives Definitions 12.7(b) (view source)
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{{eqderivprov|12.7(b)}} In respect of an {{eqderivprov|Option Transaction}}, the amount to be paid by {{eqderivprov|Seller}} to {{eqderivprov|Buyer}} will be as agreed promptly (and in any event within five {{eqderivprov|Exchange Business Days}}) by the parties after the Merger Date, the {{eqderivprov|Tender Offer Date}}, the date of cancellation in respect of an {{eqderivprov|Index Adjustment Event}} or the date of occurrence of any event described in Section {{eqderivprov|12.6}}, as the case may be (each such date, the | {{eqderivprov|12.7(b)}} In respect of an {{eqderivprov|Option Transaction}}, the amount to be paid by {{eqderivprov|Seller}} to {{eqderivprov|Buyer}} will be as agreed promptly (and in any event within five {{eqderivprov|Exchange Business Days}}) by the parties after the Merger Date, the {{eqderivprov|Tender Offer Date}}, the date of cancellation in respect of an {{eqderivprov|Index Adjustment Event}} or the date of occurrence of any event described in Section {{eqderivprov|12.6}}, as the case may be (each such date, the “{{eqderivprov|Closing Date}}”). If the parties are unable to agree on the amount, then: <br> | ||
:{{eqderivprov|12.7(b)(i)}} if | :{{eqderivprov|12.7(b)(i)}} if “'''{{eqderivprov|Agreed Model}}'''” is specified in the related {{eqderivprov|Confirmation}} to be applicable to such {{eqderivprov|Transaction}}, then the amount will be determined by the {{eqderivprov|Calculation Agent}} as the sum of the {{eqderivprov|Unadjusted Value}} and the {{eqderivprov|Adjustment Value}}. For the avoidance of doubt, the {{eqderivprov|Buyer}} shall not be required to pay any amount to the {{eqderivprov|Seller}} as a result of the cancellation of the {{eqderivprov|Option Transaction}} other than any unpaid {{eqderivprov|Premium}} which {{eqderivprov|Buyer}} will be obliged to pay to {{eqderivprov|Seller}} as of the date that the amount determined in this Section {{eqderivprov|12.7(b)(i)}} is paid. <br> | ||
::(A) | ::(A) “'''{{eqderivprov|Unadjusted Value}}'''” means an amount determined by the Calculation Agent as the value of the {{eqderivprov|Option Transaction}} (or portion thereof) on the {{eqderivprov|Closing Date}} based on: <br> | ||
:::(1) a volatility equal to the average of the {{eqderivprov|Implied Volatilities}} of the relevant {{eqderivprov|Shares}} on each of the 15 {{eqderivprov|Exchange Business Days}} ending on and including the {{eqderivprov|Closing Date}}; <br> | :::(1) a volatility equal to the average of the {{eqderivprov|Implied Volatilities}} of the relevant {{eqderivprov|Shares}} on each of the 15 {{eqderivprov|Exchange Business Days}} ending on and including the {{eqderivprov|Closing Date}}; <br> | ||
:::(2) expected dividends for the time period from the {{eqderivprov|Closing Date}} until the {{eqderivprov|Expiration Date}} based on, and payable on the same dates as, (a) amounts to have been paid in respect of gross ordinary cash dividends on the relevant {{eqderivprov|Shares}} in the one-year period ending on the {{eqderivprov|Closing Date}} or (b) in the event of an {{subst:Issuer}} published change to dividend policies on the relevant {{eqderivprov|Shares}} (as determined by the {{eqderivprov|Calculation Agent}}) prior to the {{eqderivprov|Closing Date}}, the expected dividends determined in accordance with such published change, in each case excluding {{eqderivprov|Extraordinary Dividends}}; <br> | :::(2) expected dividends for the time period from the {{eqderivprov|Closing Date}} until the {{eqderivprov|Expiration Date}} based on, and payable on the same dates as, (a) amounts to have been paid in respect of gross ordinary cash dividends on the relevant {{eqderivprov|Shares}} in the one-year period ending on the {{eqderivprov|Closing Date}} or (b) in the event of an {{subst:Issuer}} published change to dividend policies on the relevant {{eqderivprov|Shares}} (as determined by the {{eqderivprov|Calculation Agent}}) prior to the {{eqderivprov|Closing Date}}, the expected dividends determined in accordance with such published change, in each case excluding {{eqderivprov|Extraordinary Dividends}}; <br> | ||
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:::(4) a combined interest rate and stock loan rate as specified in the related {{eqderivprov|Confirmation}} for the period from, and including, the {{eqderivprov|Closing Date}} to, but excluding, the {{eqderivprov|Expiration Date}}; and <br> | :::(4) a combined interest rate and stock loan rate as specified in the related {{eqderivprov|Confirmation}} for the period from, and including, the {{eqderivprov|Closing Date}} to, but excluding, the {{eqderivprov|Expiration Date}}; and <br> | ||
:::(5) a term of the {{eqderivprov|Option Transaction}} from the {{eqderivprov|Closing Date}} to the {{eqderivprov|Expiration Date}}. <br> | :::(5) a term of the {{eqderivprov|Option Transaction}} from the {{eqderivprov|Closing Date}} to the {{eqderivprov|Expiration Date}}. <br> | ||
::(B) “'''{{eqderivprov|Adjustment Value}}'''” means the difference between the amounts determined pursuant to (B)(1) and (B)(2) below: <br> | |||
{{ | :::(1) a value of the {{eqderivprov|Option Transaction}} (or portion thereof) determined by the {{eqderivprov|Calculation Agent}} based on: <br> | ||
{{ | ::::(a) a volatility equal to the average of the Implied Volatilities of the relevant {{isdaprov|Shares}} on each of the 15 Exchange Business Days ending on but excluding the {{eqderivprov|Announcement Date}}; <br> | ||
::::(b) expected dividends for the time period from the {{eqderivprov|Announcement Date}} until the {{eqderivprov|Expiration Date}} based on, and payable on the same dates as, (x) amounts to have been paid in respect of gross ordinary cash dividends on the relevant {{eqderivprov|Shares}} in the one-year period ending on the {{eqderivprov|Announcement Date}} or (y) in the event of an {{eqderivprov|Issuer}} published change to dividend policies on the relevant {{eqderivprov|Shares}} (as determined by the {{eqderivprov|Calculation Agent}}) prior to the {{eqderivprov|Announcement Date}}, the expected dividends determined in accordance with such published change, in each case excluding {{eqderivprov|Extraordinary Dividends}}; <br> | |||
::::(c) a value ascribed to the relevant {{eqderivprov|Shares}} equal to the {{eqderivprov|Settlement Price}} (assuming {{eqderivprov|Cash Settlement}} were applicable) of the relevant {{eqderivprov|Shares}} as of the {{eqderivprov|Valuation Time}} (for which purpose the {{eqderivprov|Valuation Date}} will be the {{eqderivprov|Announcement Date}}); <br> | |||
::::(d) a combined interest rate and stock loan rate as specified in the related {{eqderivprov|Confirmation}} for the period from, and including, the {{eqderivprov|Announcement Date}} to, but excluding, the {{eqderivprov|Expiration Date}}; and <br> | |||
::::(e) a term of the {{eqderivprov|Option Transaction}} from the {{eqderivprov|Announcement Date}} to the {{eqderivprov|Expiration Date}}. <br> | |||
:::(2) a value for the {{eqderivprov|Option Transaction}} (or portion thereof) based on the factors listed in (1)(a)-(e) above, except with a volatility equal to the average of the {{eqderivprov|Implied Volatilities}} of the relevant {{eqderivprov|Shares}} on each of the 15 Exchange Business Days commencing on and including the {{eqderivprov|Announcement Date}}. <br> | |||
:{{eqderivprov|12.7(b)(ii)}} If “'''{{eqderivprov|Calculation Agent Determination}}'''” is specified in the related {{eqderivprov|Confirmation}} to be applicable to such {{eqderivprov|Transaction}}, then the amount will be determined by the {{eqderivprov|Calculation Agent}}, which determination may, but need not, be based on the factors and adjustments set forth in paragraph (i) above. <br> | |||