Template:Nutshell Equity Derivatives 12.7: Difference between revisions

{{eqderivprov|12.7(a)}} If, in respect of an {{eqderivprov|Extraordinary Event}}, “'''{{eqderivprov|Cancellation and Payment}}'''” or “'''{{eqderivprov|Partial Cancellation and Payment}}'''” applies or is deemed to apply to the relevant {{eqderivprov|Transaction}} (or a portion thereof), then an amount will be paid by one party to the other determined as provided in clause (b) or (c) below, such payment to be made not later than three {{eqderivprov|Currency Business Days}} following the date that notice of the determination by the {{eqderivprov|Calculation Agent}} or the {{eqderivprov|Determining Party}}, as the case may be, of such amount (denominated in the currency for settlement of the {{eqderivprov|Transaction}} as determined by the {{eqderivprov|Calculation Agent}} or the {{eqderivprov|Determining Party}}, as the case may be) and which party shall pay such amount is effective, which notice shall be provided promptly following such determination. <br>

{{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|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) “'''{{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>

:::(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>

:::(3) a value ascribed to the relevant {{eqderivprov|Shares}} as determined by the {{eqderivprov|Calculation Agent}} and, if applicable, equal to the value of the consideration, if any, paid or delivered in respect of such {{eqderivprov|Shares}} to holders of such {{eqderivprov|Shares}} at the time of the {{eqderivprov|Extraordinary Event}}; <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>

:::(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>

:::(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>

{{eqderivprov|12.7(c)}} For any {{eqderivprov|Forward Transaction}} or {{eqderivprov|Equity Swap Transaction}}, such {{eqderivprov|Transaction}} shall be cancelled and the relevant party or parties (as specified below) shall determine the {{eqderivprov|Cancellation Amount}} in respect of such cancelled {{eqderivprov|Transaction}}. <br>

:(i) In respect of a cancelled {{eqderivprov|Transaction}} where there is one {{eqderivprov|Determining Party}}, the {{eqderivprov|Determining Party}} will calculate the {{eqderivprov|Cancellation Amount}} and will determine which party will pay such amount. <br>

:(ii) In respect of a cancelled {{eqderivprov|Transaction}} where there are two {{eqderivprov|Determining Parties}}, each party will calculate a {{eqderivprov|Cancellation Amount}} and an amount will be payable equal to one-half of the difference between the {{eqderivprov|Cancellation Amount}} of the party with the higher {{eqderivprov|Cancellation Amount}} (“X”) and the {{eqderivprov|Cancellation Amount}} of the party with the lower {{eqderivprov|Cancellation Amount}} (“Y”) and Y shall pay it to X. <br>