Template:Nutshell Equity Derivatives 8.5

Section 8.5. Forward Cash Settlement Amount. “Forward Cash Settlement Amount” means, for each Valuation Date:

(a) Index Forward Transaction or Index Basket Forward Transactions:

(i) where “Prepayment” does not apply: Settlement Price - Forward Price x 1 unit of Settlement Currency x Multiplier;

(ii) where “Prepayment” applies: Settlement Price x 1 unit of Settlement Currency x Multiplier;

(b) Share Forward Transaction or Share Basket Forward Transactions:

(i) where neither “Prepayment” or “Variable Obligation” applies: Number of Shares (or Baskets) x Settlement Price - Forward Price;

(ii) where “Prepayment” applies but “Variable Obligation” does not: Number of Shares or Baskets x Settlement Price;

(iii) where “Prepayment” does not apply but “Variable Obligation” does:

(A) where Settlement Price ≤ Forward Floor Price: Number of Shares or Baskets x Settlement Price - Forward Floor Price;

(B) where Forward Cap Price ≥ Settlement Price > Forward Floor Price: Number of Shares or Baskets x zero; and

(C) where Settlement Price > Forward Cap Price: Number of Shares or Baskets x Settlement Price - Forward Cap Price; and

(iv) where both “Prepayment” and “Variable Obligation” apply: Number of Shares or Baskets (without rounding) x Settlement Price.