Template:M summ Equity Derivatives 6.3
Market Disruption Events is part of Section 6 (Valuation) in the 2002 ISDA Equity Derivatives Definitions, so this isn’t really about catastrophic, end-of-days events that might bring your Transaction to an unexpected, premature end. For that you should look to Section 12, and especially 12.8 and 12.9.
A Market Disruption Event is a Trading Disruption or Exchange Disruption that exists during the hour before any Valuation Time or Exercise Time — it keys off the occurrence or existence of the event, not the point when the Calculation Agent determined it — or Early Closure.
The point is to capture material disruptions around the close of the market. If there was a disruption, earlier in the day but, say, it cleared up by lunchtime, then — as far as valuing equity derivatives is concerned — all is Kool and the Gang. The kinds of disruptions are:
- Trading Disruption: suspension/limitation in trading on an underlier (or futures on it) on any Exchange/Related Exchange
- Exchange Disruption: any event that impairs the ability to value, settle transactions across any Exchange/Related Exchange
- Early Closure: the closure of any Exchange/Related Exchange prior to scheduled closing time unless announced at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on that exchange and (ii) the submission deadline for orders on Exchange for execution at the Valuation Time
Additionally a day is “Disrupted Day” if an Exchange/Related Exchange fails to open for trading during a regular trading session.