82,903
edits
Template:Vwapadjustment: Difference between revisions
no edit summary
Amwelladmin (talk | contribs) No edit summary |
Amwelladmin (talk | contribs) No edit summary |
||
| (One intermediate revision by the same user not shown) | |||
| Line 1: | Line 1: | ||
===[[VWAP]] adjustments=== | ===[[VWAP]] adjustments to {{eqderivprov|Final Price}} for US {{eqderivprov|Shares}}=== | ||
Where share {{eqderivprov|Final Price}} is determined by reference to the [[Volume Weighted Average Price]] during a trading session you may see this following amendment: | Where share {{eqderivprov|Final Price}} is determined by reference to the [[Volume Weighted Average Price]] during a trading session you may see this following amendment: | ||
:''(a) Section {{eqderivprov|6.3(a)}} | :''(a) Section {{eqderivprov|6.3(a)}} is amended by deleting “at any time during the one hour period that ends at the relevant {{eqderivprov|Valuation Time}}, {{eqderivprov|Latest Exercise Time}}, {{eqderivprov|Knock-in Valuation Time}} or {{eqderivprov|Knock-out Valuation Time}}, as the case may be” and replacing it with “at any time during the regular trading session on the {{eqderivprov|Exchange}}, without regard to after hours or any other trading outside of the regular trading session hours”.<br> | ||
:''(b) Section {{eqderivprov|6.3(d)}} | :''(b) Section {{eqderivprov|6.3(d)}} is amended by deleting the remainder of the provision following the term “{{eqderivprov|Scheduled Closing Time}}” in the fourth line thereof; <br> | ||
:''(c) If the final {{eqderivprov|Valuation Date}} is a {{eqderivprov|Disrupted Day}}, the {{eqderivprov|Calculation Agent}} may determine that such day is a {{eqderivprov|Disrupted Day}} only in part, in which case the {{eqderivprov|Calculation Agent}} | :''(c) If the final {{eqderivprov|Valuation Date}} is a {{eqderivprov|Disrupted Day}}, the {{eqderivprov|Calculation Agent}} may determine that such day is a {{eqderivprov|Disrupted Day}} only in part, in which case the {{eqderivprov|Calculation Agent}} must designate the {{eqderivprov|Valuation Date}} determined pursuant to Section {{eqderivprov|6.6(a)}} for the remaining portion and the {{eqderivprov|Calculation Agent}} must adjust the {{eqderivprov|Number of Shares}} for which the {{eqderivprov|Disrupted Day}} is the {{eqderivprov|Valuation Date}} and must determine the {{eqderivprov|Final Price}} based on such adjustments which will be based on such factors as the {{eqderivprov|Calculation Agent}} considers relevant. | ||
The current US tax interpretation is that benchmarking an [[equity swap]] on a US {{eqderivprov|Share}} to the [[close]] is viewed a cross (and one is guilty until proven innocent). Therefore, do not use the official closing price for US Shares at maturity as it would then invalidate them as true derivatives and recharacterise them as [[repo]]s. Instead, confirm [[VWAP]] over the day as an observable benchmark price for termination. | The current US tax interpretation is that benchmarking an [[equity swap]] on a US {{eqderivprov|Share}} to the [[close]] is viewed a cross (and one is guilty until proven innocent). Therefore, do not use the official closing price for US Shares at maturity as it would then invalidate them as true derivatives and recharacterise them as [[repo]]s. Instead, confirm [[VWAP]] over the day as an observable benchmark price for termination. | ||
This does not, however, prevent one ''early''-terminating an {{eqderivprov|Equity Swap Transaction}} on a US {{eqderivprov|Share}} using methods other than [[VWAP]]. Now, if you are a synthetic prime brokerage sort of camper, you might wonder why all this fuss as [[equity swap]]s are treated, for most purposes, as undated and are always terminated at the client’s motion as an [[optional early termination]]. | This does not, however, prevent one ''early''-terminating an {{eqderivprov|Equity Swap Transaction}} on a US {{eqderivprov|Share}} using methods other than [[VWAP]]. Now, if you are a synthetic prime brokerage sort of camper, you might wonder why all this fuss as [[equity swap]]s are treated, for most purposes, as undated and are always terminated at the client’s motion as an [[optional early termination]]. | ||