Contract
2011 ISDA
Equity Derivatives Definitions
International Swaps and Derivatives Association, Inc.
Copyright © 2011 by
International Swaps and Derivatives Association, Inc. 360 Madison Avenue
16th Floor
New York, NY 10017
Version 1.0
Publication Date: July 8, 2011
Table of Contents
Contents Page
INTRODUCTION TO THE 2011 EQUITY DERIVATIVES DEFINITIONS 1
ARTICLE 1 GENERAL DEFINITIONS 2
Section 1.1 General Definitions. 2
Section 1.2 Leg Definitions. 3
Section 1.3 Party Definitions 3
Section 1.4 Elections and related Definitions 6
Section 1.5 Hedge Definitions. 7
Section 1.6 Terms relating to Non ED Legs. 8
ARTICLE 2 EQUITY DERIVATIVE LEG REFERENCE UNDERLIERS AND EQUITY DERIVATIVE LEG UNDERLIERS 10
Section 2.1 Equity Derivative Leg Reference Underlier and Equity Derivative Leg Underlier 10
Section 2.2 Definitions relating to Baskets. 10
Section 2.3 Definitions relating to Derivatives Contracts. 11
Section 2.4 Definitions relating to Indices. 12
Section 2.5 Definitions relating to Securities. 13
Section 2.6 Definitions relating to Exchanges. 14
Section 2.7 Settlement Systems. 19
Section 2.8 Definitions relating to Components. 20
ARTICLE 3 FEATURES 24
Section 3.1 Primary Feature of an ED Leg. 24
Section 3.2 Party Feature of an ED Leg. 24
Section 3.3 Performance Features of an ED Leg. 24
Section 3.4 Variable Features of an ED Leg. 24
Section 3.5 Settlement Features of an ED Leg or Pricing Group. 24
Section 3.6 ED Leg Reference Underlier Features of an ED Leg. 24
Section 3.7 Valuation Features of an ED Leg or Pricing Group. 24
Section 3.8 Option Features of an Option Leg. 24
Section 3.9 Dividend Features of an ED Leg. 25
Section 3.10 Additional Obligation Features of an ED Leg. 25
Section 3.11 Linkage Features. 25
ARTICLE 4 LINKED LEGS 26
Section 4.1 Linked Legs. 26
Section 4.2 Linked Pricing Date. 26
Section 4.3 Linked Calculation Date. 26
Section 4.4 Linked Settlement Date 27
Section 4.5 Linked Net Physical Settlement. 27
Section 4.6 Linked DvP Settlement. 27
Section 4.7 Linked DvP/Net Physical Settlement. 27
Section 4.8 Linked Dates and Consequences. 28
Section 4.9 Adjustments to Linked Date Terms. 29
Section 4.10 General Terms relating to Linked Legs. 29
ARTICLE 5 DATES, DAYS AND PERIODS 31
Section 5.1 Type of Date. 31
Section 5.2 Identification of Certain Types of Date and Types of Period. 38
Section 5.3 Pricing Date, Price Determination Date, Calculation Date and Pricing Group. 38
Section 5.4 Date Selection Methodology 39
Section 5.5 Eligible Days. 40
Section 5.6 Type of Day 40
Section 5.7 Eligible Day Type. 40
Section 5.8 Type of Day Selection Methodology 42
Section 5.9 Adjustment to Types of Dates. 42
Section 5.10 Period Election. 43
Section 5.11 Type of Period. 43
Section 5.12 Settlement Cycle. 44
ARTICLE 6 TIMES 46
Section 6.1 Actual, Scheduled and Times. 46
Section 6.2 General Times. 47
Section 6.3 Time Election 47
Section 6.4 Time Period Election. 49
Section 6.5 General Terms relating to Time Periods 52
ARTICLE 7 GENERAL TERMS RELATING TO ED TRANSACTIONS 53
Section 7.1 FX Provisions 53
Section 7.2 Certain Published and Displayed Sources relating to FX Price Source FX Rates 54
Section 7.3 Averaging 55
Section 7.4 Depositary Fee Pass-through. 55
ARTICLE 8 PRICES AND VALUES 57
Section 8.1 Price and Pricing Election. 57
Section 8.2 Type of Price. 57
Section 8.3 Pricing Time or Period. 58
Section 8.4 Type of Value. 58
Section 8.5 General Terms relating to Type of Value. 65
Section 8.6 Observation Price Criteria. 65
Section 8.7 Modifications to Type of Value. 66
Section 8.8 Comparative Prices and Conditional Prices. 66
Section 8.9 Value Source 68
Section 8.10 Valuer 68
Section 8.11 Modifications to Pricing Elections 68
ARTICLE 9 PRICING DISRUPTION 70
Section 9.1 Occurrence of a Pricing Disruption Event 70
Section 9.2 Pricing Disruption Events 70
Section 9.3 General Terms relating to Pricing Disruption Events 70
Section 9.4 Modifications to Pricing Disruption Events 91
Section 9.5 Pricing Disruption Testing Period. 94
Section 9.6 Pricing Disruption Event System 95
Section 9.7 Pricing Disruption Consequences. 95
Section 9.8 General Terms relating to Pricing Disruption Consequences. 95
Section 9.9 Modifications to Pricing Disruption Consequences 102
Section 9.10 Hierarchy of Pricing Disruption Consequences. 103
Section 9.11 Pricing Disruption Percentage 104
Section 9.12 Price Limits. 106
Section 9.13 Pricing Disruption Definitions 107
ARTICLE 10 EQUITY NOTIONAL AMOUNT AND OTHER AMOUNTS 109
Section 10.1 General Terms relating to Leg Notional/Number 109
Section 10.2 General Terms relating to the Methodologies relating to Leg Notional/Number 109
Section 10.3 Adjustments for EO Settlement Amounts 110
ARTICLE 11 EXERCISE OF OPTIONS 111
Section 11.1 General Terms relating to Options. 111
Section 11.2 General Terms relating to Exercise of Options. 111
Section 11.3 General Terms relating to Automatic Exercise. 111
Section 11.4 Procedure for Exercise. 112
Section 11.5 Terms relating to Option Exercise Notices and No Automatic Exercise Notices. 115
ARTICLE 12 KNOCK-IN EVENTS AND KNOCK-OUT EVENTS 118
Section 12.1 Knock-in Events and Knock-out Events 118
Section 12.2 General Terms relating to Knock-in/out and Knock-in/out of Exercise. 118
ARTICLE 13 ELECTABLE TRANSACTION EVENTS 120
Section 13.1 Optional Early Termination 120
Section 13.2 Optional Early Termination Definitions. 123
Section 13.3 ADTV Limitation 123
Section 13.4 ADTV Definitions. 124
ARTICLE 14 DIVIDENDS 126
Section 14.1 Dividend Obligation. 126
Section 14.2 General Terms relating to Dividends 128
Section 14.3 General Terms relating to Identification of Relevant Dividends. 129
Section 14.4 General Terms relating to Quantum of a Relevant Dividend. 131
Section 14.5 General Terms relating to DO Methodologies. 132
Section 14.6 General Terms relating to Currency of DO Cash Settlement Amounts and Dividend Adjustments. 133
Section 14.7 General Terms relating to Electable Dividends. 134
Section 14.8 General Terms relating to Dividend Recovery Events and Dividend Index Corrections. 134
ARTICLE 15 CALCULATION TERMS 137
Section 15.1 General Obligations. 137
Section 15.2 Calculations. 137
Section 15.3 Rounding 138
Section 15.4 Adjustments to Certain ED Transactions in European Currencies. 138
Section 15.5 Correction of Prices or Levels. 138
Section 15.6 Third Party Calculation Agent. 139
ARTICLE 16 PAYMENTS AND SETTLEMENTS 140
Section 16.1 ED Transaction Settlement Obligations. 140
Section 16.2 General Terms relating to Transaction Settlement Obligations. 140
Section 16.3 General Terms relating to Equity Obligation Settlement Amounts. 140
Section 16.4 Identification of Certain Types of EO Settlement Amount. 141
Section 16.5 General Terms relating to the Electable Settlement Method 142
Section 16.6 Delivery Versus Payment 142
Section 16.7 Physical Settlement Rounding. 143
ARTICLE 17 SETTLEMENT DISRUPTION 145
Section 17.1 Occurrence of a Settlement Disruption Event. 145
Section 17.2 General Terms relating to Settlement Disruption Events 145
Section 17.3 Cash Settlement Disruption Events. 145
Section 17.4 Physical Settlement Disruption Events. 146
Section 17.5 Cash Settlement Disruption Consequence. 147
Section 17.6 Physical Settlement Disruption Consequences. 147
Section 17.7 Settlement Disruption Percentage 149
ARTICLE 18 ADJUSTMENTS 151
Section 18.1 Primary Derivatives Exchange Mimic. 151
ARTICLE 19 EXTRAORDINARY EVENTS AND ADDITIONAL DISRUPTION EVENTS 152
Section 19.1 Extraordinary Events 152
Section 19.2 Automatically Applied Extraordinary Events. 154
Section 19.3 Announcement Event. 164
Section 19.4 Tender Offer and High Tender Offer 164
Section 19.5 Hedging and Change in Law-related Additional Disruption Events. 165
Section 19.6 FX-related Additional Disruption Events 174
Section 19.7 Securities Borrow-related Additional Disruption Events 176
Section 19.8 Failure to Deliver 184
Section 19.9 Bankruptcy-related Additional Disruption Events 184
Section 19.10 Governmental Intervention and Modified Governmental Intervention 187
Section 19.11 Dislocation-related Additional Disruption Events 197
Section 19.12 General Terms relating to Extraordinary Events 199
Section 19.13 Underlying DR Shares Modification. 211
Section 19.14 Hierarchy of Extraordinary Events 212
Section 19.15 Hierarchy of Pricing Disruption Events, Settlement Disruption Events and Extraordinary Events 213
Section 19.16 Final Adjustments. 213
Section 19.17 Additional Definitions relating to Extraordinary Events 213
ARTICLE 20 CONSEQUENCES OF EXTRAORDINARY EVENTS 216
Section 20.1 Classification of Extraordinary Events 216
Section 20.2 Definitions relating to Classification of Extraordinary Events. 216
Section 20.3 Consequences of Extraordinary Events 221
Section 20.4 Procedure for Triggering ETC Events 222
Section 20.5 Application of Selectable Consequences. 224
Section 20.6 Application of Prescribed Consequences 225
Section 20.7 Selectable Consequences. 226
Section 20.8 Prescribed Consequences. 238
Section 20.9 General Terms relating to Increased Cost and Decreased Cost 264
Section 20.10 Cancellation Amount 265
ARTICLE 21 FEE OBLIGATIONS 277
Section 21.1 Fee Obligations. 277
Section 21.2 General Terms relating to Fee Obligations 277
Section 21.3 General Terms relating to Fee Amounts 277
ARTICLE 22 CALCULATION DISPUTE RESOLUTION PROCEDURE 278
Section 22.1 Calculation Dispute Resolution. 278
Section 22.2 Resolution Processes 281
Section 22.3 Dispute Resolution Calculation Agent Determinations 285
Section 22.4 Determination of the Resolved Amount. 286
Section 22.5 Settlement, Costs, Fees and Expenses 289
Section 22.6 Obligations of the Parties in relation to Third Parties. 291
Section 22.7 Dispute Resolution Calculation Agents, Resolvers and Dispute Agents 291
Section 22.8 Retention of the rights of the Parties under Law, Equity and/or Contract 291
Section 22.9 Additional Definitions. 291
ARTICLE 23 NOTICES 294
Section 23.1 Notices. 294
Section 23.2 General Terms relating to Notices. 294
Section 23.3 Content of Notices. 295
Section 23.4 Notice Methodology 295
Section 23.5 Effectiveness of Notices 296
ARTICLE 24 AGREEMENTS, REPRESENTATIONS AND INDEMNITIES 298
Section 24.1 Calculation Agent. 298
Section 24.2 Physical Settlement. 298
Section 24.3 Non-Reliance 299
Section 24.4 Hedging Activities. 299
Section 24.5 Index Disclaimer 300
Section 24.6 Additional Acknowledgments. 301
Section 24.7 Indemnities. 302
ARTICLE 25 MISCELLANEOUS 303
Section 25.1 Interpretation and Construction of Certain Terms 303
GLOSSARY 306
INTRODUCTION TO THE 2011 EQUITY DERIVATIVES DEFINITIONS
The 2011 ISDA Equity Derivatives Definitions (the “2011 Definitions”) are intended for use in confirmations of individual equity derivative transactions governed by agreements such as the ISDA 1992 Master Agreement, the ISDA 2002 Master Agreement, or any successor to them, published by the International Swaps and Derivatives Association, Inc. (“ISDA”). Copies of ISDA Master Agreements and other ISDA published documents are available from the executive offices of ISDA and on the ISDA website (www.isda.org).
The 2011 Definitions revise and expand the 2002 ISDA Equity Derivatives Definitions (the “2002 Definitions”). The 2011 Definitions can be incorporated into future confirmations and other documents but existing confirmations and other documents that incorporate the 1996 ISDA Equity Derivatives Definitions (the “1996 Definitions”) or the 2002 Definitions will not, without further action by the parties, be affected by the publication of the 2011 Definitions or their use for subsequent transactions. Neither the publication nor the use of the 2011 Definitions to document a transaction is intended to alter the construction or interpretation of any provision of the 1996 Definitions or the 2002 Definitions.
The purpose of the 2011 Definitions is to provide the basic framework for the documentation of privately negotiated equity derivative transactions. As with other product-specific definitions published by ISDA, parties using the 2011 Definitions to document a privately negotiated equity derivative transaction may adapt or supplement the standard provisions set out in the 2011 Definitions to reflect the specific terms agreed between the parties for that particular transaction.
ISDA has provided the 2011 Definitions to assist with the smooth and efficient functioning of the privately negotiated equity derivatives markets by providing a common set of terms for parties to use in preparing documentation. However, the precise documentation of each individual transaction remains the responsibility of the parties concerned. ISDA does not assume any responsibility for any use to which the 2011 Definitions may be put, including any use of the 2011 Definitions in connection with any privately negotiated derivative transaction. Each party to a transaction evidenced by a confirmation or other document referring to or incorporating the 2011 Definitions must satisfy itself that the 2011 Definitions are appropriate for the transaction, have been properly used and/or adapted in that confirmation or other document and that the confirmation or other document has generally been properly drafted, in each case, to reflect the commercial intentions of the parties. In particular, parties should be aware that the 2011 Definitions contain definitions relating to terms and concepts that are not anticipated to be fully utilized unless and until the 2011 Definitions are further supplemented. If parties choose to enter into equity derivative transactions relating to any of these terms and concepts using the 2011 Definitions before they are supplemented, they must take particular care to assure themselves that the 2011 Definitions have been properly adapted for such use.
ISDA has not undertaken to review any applicable laws and regulations of any jurisdiction in which the 2011 Definitions may be used or of any jurisdiction whose laws or regulations affect derivatives contracts, indices, securities and/or currencies that may be the subject of a privately negotiated equity derivative transaction. Parties are therefore advised to consider the application of any relevant jurisdiction’s regulatory, tax, accounting, exchange or other requirements that may exist in connection with entering into and using the 2011 Definitions to document such a transaction.
This introduction is not part of the 2011 Definitions and is not offered as an interpretation of the 2011 Definitions.
2011 ISDA EQUITY DERIVATIVES DEFINITIONS
Any or all of the definitions and provisions of the 2011 Definitions may be incorporated into a document (including in electronic form) by indicating in the document that, or the extent to which, the document is subject to the 2011 Definitions. Where the Parties incorporate the 2011 Definitions in the Confirmation for an ED Transaction, unless the Confirmation states otherwise, the versions of the Main Book and the Appendix constituting the 2011 Definitions so incorporated shall be the most recent versions published as of the calendar day immediately prior to the Trade Date of that ED Transaction. If the Parties wish to exclude one or more amendments or supplements introduced in the most recent version of the Main Book and/or the Appendix or any earlier version, they may either specify in the Confirmation the provision, amendment or supplement they wish to exclude or specify the specific version of the Main Book and/or the Appendix they wish to apply for the purposes of that ED Transaction. All definitions and provisions so incorporated in a document relating to an ED Transaction will apply to that document and that ED Transaction unless otherwise provided in that document.
In the event of any inconsistency between the terms of the Appendix and the Main Book incorporated in a document relating to an ED Transaction, the terms set out in the Appendix will govern.
Any term used in a document that incorporates the 2011 Definitions will, when combined with the name of a Party or a definition relating to a Party, have a meaning in respect of the named or defined Party only.
ARTICLE 1 GENERAL DEFINITIONS
Section 1.1 General Definitions.
1.1.1 “2011 Definitions” means the 2011 ISDA Equity Derivatives Definitions made up of the Main Book and the Appendix, each as published, amended and/or supplemented by ISDA from time to time, and, in relation to an ED Transaction, the 2011 Definitions made up of the version of the Main Book and the Appendix Specified or, if not Specified, the most recent versions of the Main Book and the Appendix published by ISDA as of the calendar day immediately prior to the Trade Date of that ED Transaction.
1.1.2 “Main Book” means the paragraph entitled “2011 ISDA Equity Derivatives Definitions” preceding this Article 1 and each of the numbered Articles, taken together, of these 2011 ISDA Equity Derivatives Definitions.
1.1.3 “Appendix” means the appendix to the Main Book.
1.1.4 “ISDA” means the International Swaps and Derivatives Association, Inc.
1.1.5 “Equity Derivative Transaction” and “ED Transaction” mean any transaction whose contractual terms, as documented (whether in paper or electronic form), incorporate by reference to the 2011 Definitions any or all of the definitions and provisions of the 2011 Definitions. An ED Transaction will have at least one ED Leg and may have multiple Legs. An ED Transaction will be a Transaction for the purposes of the Relevant ISDA Master Agreement.
1.1.6 “Equity Derivative Transaction Type” and “ED Transaction Type” mean each of the defined terms Specified in the Appendix or otherwise Specified and, in relation to an ED Transaction, mean the ED Transaction Type Specified for that ED Transaction.
1.1.7 “Relevant ISDA Master Agreement” means, in relation to an ED Transaction, the ISDA Master Agreement governing that ED Transaction entered into or deemed to have been entered into by the Parties.
Section 1.2 Leg Definitions.
1.2.1 “Leg” means the terms that (i) form all or part of an ED Transaction, (ii) set out or lead to one or more cashflows and/or one or more settlement obligations (in each case whether present, future and/or contingent) and (iii) are identified in the Confirmation as a distinct leg and, in relation to an ED Transaction, means each Leg Specified as forming part of that ED Transaction.
1.2.2 “Equity Derivative Leg” and “ED Leg” mean a Leg in relation to which a single Primary Feature and a single ED Leg Reference Underlier are Specified.
1.2.3 “Non Equity Derivative Leg” and “Non ED Leg” mean a Leg that is not an ED Leg.
1.2.4 “Forward Leg” means an ED Leg for which Forward is Specified as a Feature.
1.2.5 “Option Leg” means an ED Leg for which Option is Specified as a Feature.
1.2.6 “Swap Leg” means an ED Leg for which Swap is Specified as a Feature.
1.2.7 “Conditional Leg” means a Leg that is Specified to be a Conditional Leg and for which the Leg Effective Date is conditional upon one or more terms of one or more other Legs, including upon the exercise of an option or upon the expiration of another Leg or otherwise.
1.2.8 “Equity Derivative Leg Type” and “ED Leg Type” mean each of the defined terms Specified in the Appendix or otherwise Specified and, in relation to an ED Leg, mean the ED Leg Type Specified for that ED Leg.
1.2.9 “Non Equity Derivative Leg Type” and “Non ED Leg Type” mean each of the defined terms Specified in the Appendix or otherwise Specified and, in relation to a Non ED Leg, mean the Non ED Leg Type Specified for that Non ED Leg.
Section 1.3 Party Definitions.
1.3.1 “Party” means, in relation to an ED Transaction, either of the parties to that ED Transaction or, if one party is Specified in relation to a particular term, the party Specified in relation to that term, and “Parties” means both parties to that ED Transaction. A Party to an ED Transaction may, in relation to an ED Leg, be Specified as the Buyer or Seller or as the Equity Amount Obligor or the Equity Amount Recipient.
1.3.2 “Buyer” means, in relation to an ED Leg, the Party Specified.
1.3.3 “Seller” means, in relation to an ED Leg, the Party Specified.
1.3.4 “Equity Amount Obligor” means, in relation to an ED Leg, the Party Specified.
1.3.5 “Equity Amount Recipient” means, in relation to an ED Leg, the Party Specified.
1.3.6 “Affiliate”, in relation to an ED Transaction, shall have the meaning Specified.
1.3.7 “Issuer Affiliate” means, in relation to an Issuer:
(i) any person controlled, directly or indirectly, by that Issuer;
(ii) any person that controls, directly or indirectly, that Issuer; and
(iii) any person, directly or indirectly, under common control with that Issuer.
For this purpose, “control” of any person means effective control over a majority of the voting power of that person, which includes the ownership of a majority of the voting power of the person.
1.3.8 “Hedging Party” means, in relation to an ED Transaction, a Leg and/or any term of an ED Transaction and/or Leg, an ED Hedging Party and/or any one or more of its Affiliate Hedging Parties; provided that in relation to any reference to:
(i) any right or obligation to make or perform any calculation or determination, take or not take any action, exercise judgment or make any election;
(ii) when a Party becomes aware or should have become aware of a Specified Additional Disruption Event; and/or
(iii) any right or obligation to provide to, or receive from, a Party or person any notice, information or confirmation,
“Hedging Party” means the relevant ED Hedging Party acting in its capacity as a Party to the relevant ED Transaction, although that ED Hedging Party may take into account any one or more of its Affiliate Hedging Parties and/or their respective Hedge Positions in relation to any of Sub-sections (i), (ii) and/or
(iii) above.
If both Parties are Specified as an ED Hedging Party, any reference to a Hedging Party:
(x) for the purposes of determining the occurrence of and triggering the Consequence of any Extraordinary Event and for the purposes of Section 19.12.3 (General Terms relating to Avoidance), shall be:
(1) to any Hedging Party that is or would be, and/or whose Hedge Positions are, or would be, affected by the relevant Extraordinary Event; or
(2) if HBD Securities Borrow or Customer Securities Borrow is Specified in relation to any Extraordinary Event, to the Hedging Party, that is or would be, and/or whose Hedge Positions are, or would be, affected by that Extraordinary Event if that Hedging Party were engaging in Hedging Activities, as determined by the HHP Determining Party;
(y) in the provisions relating to the Consequences of any Extraordinary Event (other than the determination of the Cancellation Amount), shall be to the Hedging Party to which that Extraordinary Event relates and that triggered the Consequences of that Extraordinary Event; and/or
(z) for the purposes of determining the Cancellation Amount, shall be to each Hedging Party.
1.3.9 “ED Hedging Party” means, in relation to an ED Transaction or, if different persons are Specified in relation to different Legs and/or different terms of an ED Transaction and/or Leg, in relation to each such different Leg and/or different term, the Party Specified and, if both Parties are Specified, each Party.
1.3.10 “Affiliate Hedging Party” means, in relation to (a) an ED Transaction and/or Leg and (b) an ED Hedging Party:
(i) any person controlled, directly or indirectly, by that ED Hedging Party;
(ii) any person that controls, directly or indirectly, that ED Hedging Party; and
(iii) any person, directly or indirectly, under common control with that ED Hedging Party,
that, in each case, enters into, or is party to, any related Hedge Positions. For this purpose, “control” of any person means effective control over a majority of the voting power of the person, which includes the ownership of a majority of the voting power of the person.
1.3.11 “Calculation Agent” means, in relation to an ED Transaction, each person Specified.
1.3.12 “ED Determining Party” means, in relation to an ED Transaction and/or ED Leg, and any calculation and/or determination required to be made by any CA Determining Party, FOE Determining Party, FX Disruption Determining Party, HHP Determining Party, Illegality Event Determining Party and/or MWHD Determining Party (including the Calculation Agent if it acts in any such role), the person in such role that is required to make that calculation and/or determination.
1.3.13 “Hypothetical Hedge Position Determining Party” and “HHP Determining Party” mean:
(i) the Party or Calculation Agent Specified; or
(ii) if no HHP Determining Party is Specified, the Calculation Agent, and, if more than one person is Specified, any one of those persons Specified.
1.3.14 “Hypothetical Broker Dealer” means, in relation to an ED Transaction and/or ED Leg, any hypothetical broker dealer identified in accordance with the Hypothetical Broker Dealer Selection Methodology.
1.3.15 “Hypothetical Broker Dealer Selection Methodology” means a formula or methodology, the terms of which identify a hypothetical broker dealer and, in relation to an ED Transaction and/or ED Leg, the Hypothetical Broker Dealer Selection Methodology Specified.
1.3.16 “Independent Dealer” means, in relation to a Calculation Dispute Resolution Procedure or the determination of a Cancellation Amount, a leading dealer in the relevant product and market that effects relevant transactions on both sides of the market that is not:
(i) a Party or a Calculation Agent; or
(ii) an Affiliate of:
(a) either of the Parties;
(b) any Calculation Agent;
(c) in relation to a Calculation Dispute Resolution Procedure, any person appointed in connection with that Calculation Dispute Resolution Procedure; or
(d) in relation to the determination of a Cancellation Amount, any person who is to provide or has already provided Data of the same type in accordance with Section 20.10 (Cancellation Amount).
1.3.17 “Notice Agent” means, in relation to a Party, the person Specified.
Section 1.4 Elections and related Definitions.
1.4.1 “Data” means a day, date, election, factor, methodology, party, term, time, Value or other data, definition or variable.
1.4.2 “Agreed [Data]” means, in relation to a Field or Election, the Data for that Field or Election that is expressly stated in the Confirmation as such.
1.4.3 “Value” means an amount, level, number, price or similar variable.
1.4.4 “Field” means, in relation to an ED Transaction or Leg, each term in the 2011 Definitions in relation to which Data is required to be Specified in order to confirm all the terms Applicable to that ED Transaction or Leg.
1.4.5 “Election” means, in relation to a Field, the Data Specified.
1.4.6 “Available Elections” means, in relation to a Field, the range of permissible Elections for that Field.
1.4.7 “Specified” means, in relation to a term of an ED Transaction or Leg, that the Data for that term is as stated or deemed stated in the Confirmation (whether that Data is stated or deemed stated directly or indirectly as a result of the statement of one or more other pieces of Data, including where no Data is stated with the consequence that the Fallback term shall be treated as the stated term), and “Specify” shall be construed accordingly. Where the term “Specified” is used in conjunction with any other term defined in the 2011 Definitions, it shall refer to the Data stated or deemed stated in relation to that defined term and shall not operate to create a new defined term.
1.4.8 “Applicable” means, at any time in relation to a circumstance, consequence, Data, Election or event that is composed of one or more elements that may apply, or may be Specified to apply, at one or more times and/or in a certain order in relation to an ED Transaction and/or Leg, the Specified element of that circumstance, consequence, Data, Election or event that is operative at that time. Where the term “Applicable” is used in conjunction with any other term defined in the 2011 Definitions, it shall refer to the Specified element of the circumstance, consequence, Data, Election or event that is operative in relation to that defined term at that time and shall not operate to create a new defined term.
1.4.9 “Fallback” means, in relation to a term of an ED Transaction and/or Leg, such term as it is defined or otherwise determined in accordance with the Appendix or such term as otherwise Specified and shall apply as if Specified for that term if no other Data is Specified in relation to it.
1.4.10 “Not Relevant” means, in relation to a term of an ED Transaction and/or Leg, that no Data for that term is Specified or Applicable and that such term has no effect in the context of that ED Transaction and/or Leg.
1.4.11 “Feature” means any of the following:
(i) a Primary Feature;
(ii) a Party Feature;
(iii) a Performance Feature;
(iv) a Variable Feature;
(v) a Settlement Feature;
(vi) an ED Leg Reference Underlier Feature;
(vii) a Valuation Feature;
(viii) an Option Exercise Feature;
(ix) an Option Style Feature;
(x) an Option Type Feature;
(xi) a Dividend Feature;
(xii) an Additional Obligation Feature; and
(xiii) a Linkage Feature, and any other terms Specified.
Section 1.5 Hedge Definitions.
1.5.1 “Hedge Positions” means, in relation to an ED Transaction and/or Leg, any one or more commercially reasonable (i) positions (including long or short positions) or contracts in, or relating to, securities, options, futures, other derivatives contracts or foreign exchange, (ii) stock loan transactions or (iii) other instruments, contracts, transactions or arrangements (howsoever described) that an ED Hedging Party determines appropriate to hedge, individually or on a portfolio basis, any risk (other than the risk of non-performance by either Party to that ED Transaction of its obligations) in relation to that ED Transaction and/or Leg, as the case may be.
1.5.2 “Hypothetical Hedge Positions” means, in relation to an ED Transaction and/or Leg, any one or more commercially reasonable (i) positions (including long or short positions) or contracts in, or relating to, securities, options, futures, other derivatives contracts or foreign exchange, (ii) stock loan transactions or (iii) other instruments, contracts, transactions or arrangements (howsoever described) that a HHP Determining Party determines appropriate to hedge, individually or on a portfolio basis, any risk (other than the risk of non-performance by either Party to
that ED Transaction of its obligations) in relation to that ED Transaction and/or Leg, as the case may be.
1.5.3 “Hedge Position Trade” and “HP Trade” mean each of an HP Close-out and an HP Establishment.
1.5.4 “Hedge Position Close-out” and “HP Close-out” mean, in relation to:
(i) a Hedge Position, any actual; or
(ii) a Hypothetical Hedge Position, any hypothetical,
termination, liquidation, sale, unwinding, off-set or close-out (including a purchase in order to effect a close-out) of that Hedge Position or Hypothetical Hedge Position or, in relation to a Hedge Close-out and any Hedge Position, any loss of that Hedge Position (including payment or performance default by a counterparty and/or custodian or similar person relating to a Hedging Party in relation to that Hedge Position or any restrictions on that Hedging Party in receiving or recovering the proceeds of, or any amounts that are connected in a commercially reasonable manner with, that Hedge Position).
1.5.5 “Hedge Position Establishment” and “HP Establishment” mean, in relation to:
(i) a Hedge Position, any actual; or
(ii) a Hypothetical Hedge Position, any hypothetical,
acquisition, entry into, execution, establishment, re-establishment, maintenance or purchase of (including a sale in order to establish) that Hedge Position or Hypothetical Hedge Position.
1.5.6 “Hedge Position Gain” and “HP Gain” mean, in relation to a Hedge Position, any gain other than any indirect and/or consequential gain.
1.5.7 “Hedge Position Loss” and “HP Loss” mean, in relation to a Hedge Position, any loss other than any indirect and/or consequential loss.
Section 1.6 Terms relating to Non ED Legs.
1.6.1 Hierarchy relating to Non ED Legs and the 2011 Definitions. Each Non ED Leg shall be documented under a separate set of definitions or terms that shall govern the terms of that Non ED Leg. Non ED Legs shall not be documented under or subject to the 2011 Definitions, except that:
(i) subject as provided below, any provisions of the 2011 Definitions that apply to the ED Transaction as a whole shall apply to all Legs of that ED Transaction, including any Non ED Leg and, in the case of any conflict between the 2011 Definitions and the terms that govern any Non ED Leg, the 2011 Definitions shall govern; and
(ii) subject as provided below, the provisions of the 2011 Definitions relating to Linked Legs shall apply to the linked terms of the Non ED Legs and shall govern in the case of any conflict between the terms that govern any Non ED Leg that is a Linked Leg and the terms that govern any Linked Leg that is an ED Leg,
provided that any term of a Non ED Leg that:
(x) is expressed to govern in the event of a conflict between that term and the 2011 Definitions shall so govern; and/or
(y) expressly applies to an ED Leg shall so apply to that ED Leg and shall govern in the event of a conflict between that term and the other terms of that ED Leg.
ARTICLE 2
EQUITY DERIVATIVE LEG REFERENCE UNDERLIERS AND EQUITY DERIVATIVE LEG UNDERLIERS
Section 2.1 Equity Derivative Leg Reference Underlier and Equity Derivative Leg Underlier.
2.1.1 “Equity Derivative Leg Reference Underlier” and “ED Leg Reference Underlier” mean, in relation to an ED Leg, the equity asset and/or index to which the terms of that ED Leg relate, which may be a Basket, a Derivatives Contract, an Index or a Security as Specified.
2.1.2 “Equity Derivative Leg Underlier” and “ED Leg Underlier” mean each of a Basket, a Basket Component, a Derivatives Contract, an Index, an Index Component and a Security and, in relation to an ED Transaction and/or ED Leg, mean each of:
(i) each ED Leg Reference Underlier Specified; and
(ii) any Component, Derivatives Contract Underlier, Sub-Component and/or, if Underlying DR Shares Modification applies, Underlying DR Share relating to each such ED Leg Reference Underlier.
Section 2.2 Definitions relating to Baskets.
2.2.1 “Basket” means a notional basket composed of two or more equity assets and/or indices and, in relation to an ED Transaction and/or ED Leg, means:
(i) any Basket Specified as an ED Leg Reference Underlier; and
(ii) any Basket that is a Basket Component of another Basket that is an ED Leg Underlier.
2.2.2 “Basket Component” means, in relation to a Basket, each of the Derivatives Contracts, Indices, Securities or other notional baskets of equity assets and/or indices whose Components or ultimate Sub-Components are Securities and/or whose Components or ultimate Sub-Components are futures, options or other derivatives contracts relating to Securities or indices relating to Securities that constitute all or part of that Basket.
2.2.3 “Basket Composition” means, in relation to a Basket that is an ED Leg Underlier, the Basket Components Specified in the relative proportions (including by number of Components, weight, value, market capitalization or other factor) Specified or determined in accordance with the methodology Specified.
2.2.4 “Basket Unit” means, in relation to a Basket that is an ED Leg Underlier, the Value determined by reference to the Number of Basket Units Methodology.
2.2.5 “Derivatives Contract Basket Underlier” means a Basket that is an ED Leg Underlier in relation to which Derivatives Contract Basket is Specified as a Feature.
2.2.6 “Index Basket Underlier” means a Basket that is an ED Leg Underlier in relation to which Index Basket is Specified as a Feature.
2.2.7 “Mixed Basket Underlier” means a Basket that is an ED Leg Underlier in relation to which Mixed Basket is Specified as a Feature.
2.2.8 “Multi-Exchange Basket Underlier” means a Basket that is an ED Leg Underlier in relation to which Multi-Exchange Basket is Specified as a Feature.
2.2.9 “Security Basket Underlier” means a Basket that is an ED Leg Underlier in relation to which Security Basket is Specified as a Feature.
Section 2.3 Definitions relating to Derivatives Contracts.
2.3.1 “Derivatives Contract” means any future, option or other derivatives contract relating to one or more Indices or Securities and, in relation to an ED Transaction and/or ED Leg, means:
(i) any Derivatives Contract Specified as an ED Leg Reference Underlier;
(ii) in relation to a Basket or Index that is an ED Leg Underlier, any Derivatives Contract that is a Basket Component of that Basket or an Index Component of that Index, as the case may be; and
(iii) in relation to an Index or Security that is an ED Leg Underlier, any Derivatives Contract relating to that Index or Security.
2.3.2 “Derivatives Contract Underlier” means, in relation to a Derivatives Contract that is an ED Leg Underlier, each Index or Security to which that Derivatives Contract relates.
2.3.3 “Type of Derivatives Contract” means each of the following types of Derivatives Contract and any other type of Derivatives Contract Specified:
(i) Exercise Derivatives Contract;
(ii) Relevant Derivatives Contract; and
(iii) Pricing Disruption Derivatives Contract.
2.3.4 “Derivatives Contract Selection Methodology” means a formula or methodology, the terms of which identify one or more Derivatives Contracts and, in relation to a Type of Derivatives Contract, the Derivatives Contract Selection Methodology Specified.
2.3.5 “Exercise Derivatives Contract” means, in relation to an ED Leg Underlier that is a Derivatives Contract, an Index or a Security, the Derivatives Contract relating to that ED Leg Underlier identified in accordance with the Derivatives Contract Selection Methodology Specified for Exercise Derivatives Contracts.
2.3.6 “Relevant Derivatives Contract” means, in relation to an ED Leg Underlier that is a Derivatives Contract, an Index or a Security, the Derivatives Contract relating to that ED Leg Underlier identified in accordance with the Derivatives Contract Selection Methodology Specified for Relevant Derivatives Contracts.
2.3.7 “Pricing Disruption Derivatives Contract” means, in relation to an ED Leg Underlier that is an Index or a Security, each of the Derivatives Contracts relating to that ED Leg Underlier identified in accordance with the Derivatives Contract Selection Methodology Specified for Pricing Disruption Derivatives Contracts and, in relation to an ED Leg Underlier that is a Derivatives Contract, that
Derivatives Contract and each of the Derivatives Contracts relating to that ED Leg Underlier identified in accordance with the Derivatives Contract Selection Methodology Specified for Pricing Disruption Derivatives Contracts.
Section 2.4 Definitions relating to Indices.
2.4.1 “Index” means an index and, in relation to an ED Transaction and/or ED Leg, means:
(i) any Index Specified as an ED Leg Reference Underlier;
(ii) in relation to a Basket or Index that is an ED Leg Underlier, any Index that is a Basket Component of that Basket or an Index Component of that Index, as the case may be; and
(iii) in relation to a Derivatives Contract, any Derivatives Contract Underlier that is an Index,
and any related Successor Index.
2.4.2 “Index Component” means, in relation to an Index that is an ED Leg Underlier, each of the Derivatives Contracts, Indices or Securities that directly constitute that Index or that are directly referenced by that Index.
2.4.3 “Index Composition” means, on any date in relation to an Index and those Derivatives Contracts, Indices or Securities that are Index Components of that Index, the relative proportions of those Derivatives Contracts, Indices and/or Securities, as the case may be, that constitute the Index on that date, as determined in accordance with the Index Composition Determination Methodology.
2.4.4 “Index Composition Determination Methodology” means a formula or methodology for determining the identity and proportionate number of Derivatives Contracts, Indices and/or Securities, as the case may be, that constitute an Index and/or the Official Index Divisor for an Index and, in relation to a date and an Index that is an ED Leg Underlier, the Index Composition Determination Methodology Specified.
2.4.5 “Index Sponsor” means, in relation to an Index:
(i) the person Specified; or
(ii) if a Successor Index is identified pursuant to Section 2.4.8 (Successor Index), the person as determined by the Calculation Agent:
(a) that is primarily responsible for setting and reviewing the rules and procedures for, and the methods of, calculation and adjustment, if any, of the Index; or
(b) if there is no such person as described in Sub-section (a) above, that is primarily responsible for calculating, maintaining and announcing and/or publishing (directly or through an agent, appointee or delegate) the Value of the Index.
2.4.6 “Index Unit” means, in relation to an Index that is an ED Leg Underlier, the Value determined by reference to the Number of Index Units Methodology.
2.4.7 “Official Index Divisor” means the Value calculated, published and applied to the aggregate market value of one or more Index Components in accordance with the Index Composition Determination Methodology to ensure that the published Index level remains unchanged solely in relation to a change in the composition of the Index or certain corporate actions in relation to an Index Component of that Index and, in relation to an ED Leg, an Index that is an ED Leg Underlier and a day, means the Official Index Divisor calculated and published and/or applied, as the case may be, by the Index Sponsor in relation to that Index and that day.
2.4.8 “Successor Index” means, in relation to an Index that:
(i) ceases to be calculated, announced and/or published by the Index Sponsor but is calculated, announced and/or published by a successor sponsor determined by the Calculation Agent to be qualified and legally permitted to act as such, that index as calculated, announced and/or published by that successor sponsor; or
(ii) is replaced by a successor index using, in the determination of the Calculation Agent, the same or a substantially similar formula and method for calculation of the Index, that successor index.
2.4.9 “Multi-Exchange Index Underlier” means an Index that is an ED Leg Underlier in relation to which Multi-Exchange Index is Specified as a Feature.
Section 2.5 Definitions relating to Securities.
2.5.1 “Security” means each Type of Security and, in relation to an ED Transaction and/or ED Leg, means:
(i) any Security Specified as an ED Leg Reference Underlier;
(ii) in relation to a Basket or Index that is an ED Leg Underlier, any Security that is a Basket Component of that Basket or an Index Component of that Index, as the case may be; and
(iii) in relation to a Derivatives Contract, any Derivatives Contract Underlier that is a Security.
2.5.2 “Type of Security” means each of a Share, a Depositary Receipt and, in relation to an Index (and for the purpose of identifying Index Components), any other security that directly constitutes part of or is directly referenced by that Index.
2.5.3 “Issuer” means, in relation to a Type of Security, the person that is the issuer of that Type of Security.
2.5.4 “Share” means a financial instrument issued by a company that is in legal form a share, a stock or a unit in the equity capital of that company and, in relation to an ED Transaction and/or ED Leg, means:
(i) any Share Specified as an ED Leg Reference Underlier;
(ii) in relation to a Basket or Index that is an ED Leg Underlier, any Share that is a Basket Component of that Basket or an Index Component of that Index, as the case may be; and
(iii) in relation to a Derivatives Contract, any Derivatives Contract Underlier that is a Share.
2.5.5 “Depositary Receipt” means one of a series of identical or substantially identical financial instruments that are issued by a Depositary representing interests in, or entitlements to, Shares that are held by the Depositary for the purposes of issuing those financial instruments and, in relation to an ED Transaction and/or ED Leg, means:
(i) any Depositary Receipt Specified as an ED Leg Reference Underlier;
(ii) in relation to a Basket or Index that is an ED Leg Underlier, any Depositary Receipt that is a Basket Component of that Basket or an Index Component of that Index, as the case may be; and
(iii) in relation to a Derivatives Contract, any Derivatives Contract Underlier that is a Depositary Receipt.
2.5.6 “Deposit Agreement” means, in relation to a series of Depositary Receipts, the agreement or instrument under which those Depositary Receipts are issued or that otherwise constitutes those Depositary Receipts as amended, supplemented and/or superseded from time to time in accordance with its terms.
2.5.7 “Depositary” means, in relation to a series of Depositary Receipts, the depositary financial institution that is the issuer of those Depositary Receipts.
2.5.8 “Underlying DR Shares Issuer” means, in relation to a series of Depositary Receipts, the issuer of the Underlying DR Shares.
2.5.9 “Underlying DR Shares” means, in relation to a series of Depositary Receipts, the Shares to which those Depositary Receipts relate.
2.5.10 “Underlying DR Shares Modification” means, if Specified in relation to a definition or provision and an ED Leg, that the following changes shall be made to that definition or provision and any relevant terms used in that definition or provision in relation to that ED Leg:
(i) all references to Securities shall be construed as references to Depositary Receipts and/or the related Underlying DR Shares;
(ii) all references to Issuer shall be construed as references to Depositary and/or Underlying DR Shares Issuer, as appropriate; and
(iii) all references to a Type of Exchange shall be construed as references to that Type of Exchange and/or any equivalent Exchange relating to the Underlying DR Shares or Derivatives Contracts, if any, relating to the Underlying DR Shares (as determined by the Calculation Agent if no such Exchange is Specified).
Section 2.6 Definitions relating to Exchanges.
2.6.1 “Exchange” means any Derivatives Exchange or Securities Exchange.
2.6.2 “Derivatives Exchange” means, in relation to a Derivatives Contract, Index or Security that is an ED Leg Underlier or a Type of Derivatives Contract, any Primary Derivatives Exchange or Material Derivatives Exchange relating to that ED Leg Underlier or Type of Derivatives Contract.
2.6.3 “Securities Exchange” means, in relation to a Security or an Index that is an ED Leg Underlier, any Primary Securities Exchange or Material Securities Exchange relating to that ED Leg Underlier.
2.6.4 “Primary Derivatives Exchange” means, in relation to:
(i) an Index or Security that is an ED Leg Underlier, any Specified exchange, quotation system or execution facility on which one or more Derivatives Contracts relating to that Index or Security are listed, quoted or traded; and
(ii) a Derivatives Contract that is an ED Leg Underlier or a Type of Derivatives Contract, any Specified exchange, quotation system or execution facility on which that Derivatives Contract or Type of Derivatives Contract is listed, quoted or traded,
and, in each case, any related Successor Exchange and/or, for the duration of any related Exchange Relocation Period, any related Substitute Exchange.
2.6.5 “Primary Securities Exchange” means, in relation to an ED Leg Underlier that is a Security or an Index, any Specified exchange, quotation system or execution facility for that ED Leg Underlier and any related Successor Exchange and/or, for the duration of any related Exchange Relocation Period, any related Substitute Exchange.
2.6.6 “Material Derivatives Exchange” means, in relation to:
(i) an Index or a Security that is an ED Leg Underlier and any time, any exchange, quotation system or execution facility (other than the Primary Derivatives Exchange) on which one or more Derivatives Contracts relating to that Index or Security are listed, quoted or traded and in relation to which the Calculation Agent determines at the related time that such listing, quoting or trading has a material effect on the overall market for Derivatives Contracts relating to that Index or Security; and
(ii) a Derivatives Contract that is an ED Leg Underlier or a Type of Derivatives Contract, any exchange, quotation system or execution facility (other than the Primary Derivatives Exchange) on which that Derivatives Contract is listed, quoted or traded and in relation to which the Calculation Agent determines at the related time that such listing, quoting or trading has a material effect on the overall market for that Derivatives Contract.
2.6.7 “Material Securities Exchange” means, in relation to a Security or an Index that is an ED Leg Underlier and any time, any exchange, quotation system or execution facility (other than the Primary Securities Exchange) on which that Security is, or Securities that are Index Components or Sub-Components of that Index are, listed, quoted or traded and in relation to which the Calculation Agent determines at the related time that such listing, quoting or trading has a material effect on the overall market for that Security or those Securities, as the case may be.
2.6.8 “Successor Exchange” means, in relation to:
(i) a Securities Exchange relating to a Security or an Index that is an ED Leg Underlier, the successor exchange, quotation system or execution facility (if any) to that Securities Exchange to which listing, quotation or trading of that Security has, or Securities that are Index Components or Sub-Components of that Index have, transferred on an ongoing basis; provided that such successor exchange, quotation system or execution facility, as the case may be, is an Acceptable Securities Exchange as determined by the Calculation Agent and, if any such successor exchange, quotation system or execution facility is not an Acceptable Securities Exchange, there shall be deemed to be no Successor Exchange to that Securities Exchange; and
(ii) a Derivatives Exchange relating to a Derivatives Contract that is an ED Leg Underlier or a Type of Derivatives Contract, the successor exchange, quotation system or execution facility (if any) to that Derivatives Exchange to which listing or trading of the related ED Leg Underlier or Type of Derivatives Contract has transferred on an ongoing basis; provided that such successor exchange, quotation system or execution facility, as the case may be, is an Acceptable Derivatives Exchange as determined by the Calculation Agent and, if any such successor exchange, quotation system or execution facility is not an Acceptable Derivatives Exchange, there shall be deemed to be no Successor Exchange to that Derivatives Exchange.
2.6.9 “Substitute Exchange” means, in relation to:
(i) a Securities Exchange relating to a Security or an Index that is an ED Leg Underlier in relation to which an Exchange Relocation Event occurs and is continuing, any substitute exchange, quotation system or execution facility (if any) for that Securities Exchange to which listing, quotation or trading of any Security has, or Securities that are Index Components or Sub-Components of that Index have, temporarily relocated; provided that such substitute exchange, quotation system or execution facility, as the case may be, is an Acceptable Securities Exchange as determined by the Calculation Agent and, if any such substitute exchange, quotation system or execution facility is not an Acceptable Securities Exchange, there shall be deemed to be no Substitute Exchange for that Securities Exchange; and
(ii) a Derivatives Exchange relating to a Derivatives Contract that is an ED Leg Underlier or a Type of Derivatives Contract in relation to which an Exchange Relocation Event occurs and is continuing, any substitute exchange, quotation system or execution facility (if any) for that Derivatives Exchange to which listing or trading of the related ED Leg Underlier or Type of Derivatives Contract has temporarily relocated; provided that such substitute exchange, quotation system or execution facility, as the case may be, is an Acceptable Derivatives Exchange as determined by the Calculation Agent and, if any such substitute exchange, quotation system or execution facility is not an Acceptable
Derivatives Exchange, there shall be deemed to be no Substitute Exchange for that Derivatives Exchange.
2.6.10 “Acceptable Securities Exchange” means, in relation to a Security or an Index that is an ED Leg Underlier:
(i) each Securities Exchange Specified;
(ii) if Principal European Exchanges is Specified, each principal exchange, quotation system or execution facility on which Securities are traded in each jurisdiction within the European Union, Switzerland and Norway; provided that the Calculation Agent has determined that there is reasonably comparable liquidity on that exchange, quotation system or execution facility relative to the liquidity that existed on the Primary Securities Exchange; or
(iii) if no Acceptable Securities Exchange is Specified, an exchange, quotation system or execution facility which is:
(a) where the Primary Securities Exchange is located in the United States, any of the New York Stock Exchange, NYSE Arca, NYSE Amex, NASDAQ Global Market or NASDAQ Global Select Market (or their respective successors); or
(b) where the Primary Securities Exchange is located outside of the United States, located in the same jurisdiction as the Primary Securities Exchange; provided that the Calculation Agent has determined that there is reasonably comparable liquidity on that exchange, quotation system or execution facility relative to the liquidity that existed on the Primary Securities Exchange.
2.6.11 “Acceptable Derivatives Exchange” means, in relation to a Derivatives Contract that is an ED Leg Underlier or a Type of Derivatives Contract:
(i) each Derivatives Exchange Specified;
(ii) if Principal European Derivatives Exchanges is Specified, any of the principal exchanges, quotation systems or execution facilities on which Derivatives Contracts are traded in each jurisdiction within the European Union, Switzerland and Norway; provided that the Calculation Agent has determined that there is comparable liquidity on that exchange, quotation system or execution facility relative to the liquidity that existed on the Primary Derivatives Exchange; or
(iii) if no Acceptable Derivatives Exchange is Specified, an exchange, quotation system or execution facility which is:
(a) where the Primary Derivatives Exchange is located in the United States, any of the principal exchanges, quotation systems or execution facilities on which Derivatives Contracts are traded located in the United States; provided that the Calculation Agent has determined that there is comparable liquidity on that exchange, quotation system or execution facility relative to the liquidity that existed on the Primary Derivatives Exchange; or
(b) where the Primary Derivatives Exchange is located outside of the United States, any of the principal exchanges, quotation systems or execution facilities on which Derivatives Contracts are traded located in the same jurisdiction as the Primary Derivatives Exchange; provided that the Calculation Agent has determined that there is comparable liquidity on that exchange, quotation system or execution facility relative to the liquidity that existed on the Primary Derivatives Exchange.
2.6.12 “Exchange Relocation Event” means, in relation to:
(i) a Securities Exchange, the listing, quotation or trading of Securities that are ED Leg Underliers; or
(ii) a Derivatives Exchange, the listing, quotation or trading of Derivatives Contracts that are ED Leg Underliers or a Type of Derivatives Contract,
relocates temporarily from that Securities Exchange or Derivatives Exchange, as the case may be, to one or more Substitute Exchanges; provided that if, in relation to a Security that is an ED Leg Underlier, a Delisting occurs, any relocation of that Security from the Exchange shall not constitute an Exchange Relocation Event.
2.6.13 “Exchange Relocation Period” means, in relation to an Exchange in relation to which an Exchange Relocation Event occurs, the period during which that Exchange Relocation Event is continuing.
2.6.14 “Type of Exchange” means:
(i) If Primary Exchange – All is Specified, each Primary Securities Exchange and each Primary Derivatives Exchange.
(ii) If Primary Securities Exchange is Specified, each Primary Securities Exchange.
(iii) If Primary Derivatives Exchange is Specified, each Primary Derivatives Exchange.
(iv) If Primary Securities Exchange with Derivatives Exchange – All is Specified, each Primary Securities Exchange and each Derivatives Exchange.
(v) If Derivatives Exchange – All is Specified, each Derivatives Exchange.
(vi) If Securities Exchange – All is Specified, each Securities Exchange.
(vii) If Securities Exchange – All with Primary Derivatives Exchange is Specified, each Securities Exchange and each Primary Derivatives Exchange.
(viii) If All Exchanges is Specified, each Securities Exchange and each Derivatives Exchange.
2.6.15 “Pricing Disruption Exchange” means, in relation to a Pricing Disruption Event, the Type of Exchange Specified and, where:
(i) two or more Index Components are traded on different Exchanges;
(ii) two or more Basket Components are traded on different Exchanges;
(iii) two or more Sub-Components are traded on different Exchanges; or
(iv) two or more Pricing Disruption Derivatives Contracts are traded on different Derivatives Exchanges,
in relation to:
(x) each such Index Component, Basket Component or Sub-Component that is a Security, the related Primary Securities Exchange;
(y) each such Index Component, Basket Component or Sub-Component that is a Derivatives Contract, the related Primary Derivatives Exchange; and
(z) each such Pricing Disruption Derivatives Contract, the Primary Derivatives Exchange for such Pricing Disruption Derivatives Contract.
Section 2.7 Settlement Systems.
2.7.1 “Settlement System” means any Clearance System or Local Settlement Procedure and, in relation to a Derivatives Contract or a Security, the Clearance System for that Derivatives Contract or Security or, if that Derivatives Contract or Security does not have a Clearance System, the Local Settlement Procedure for that Derivatives Contract or Security.
2.7.2 “Clearance System” means, in relation to a Derivatives Contract or a Security on any date, the clearance system Specified or any Successor Clearance System and/or, for the duration of any Clearance System Relocation Period, any Substitute Clearance System.
2.7.3 “Local Settlement Procedure” means, in relation to a Derivatives Contract or a Security in each case for which there is no related Clearance System, the methodology by which physical settlement of that Derivatives Contract or Security is customarily effected, in the case of the Security, in the jurisdiction of organization of the Issuer or, in the case of the Derivatives Contract, under the law governing that Derivatives Contract.
2.7.4 “Successor Clearance System” means, in relation to a Derivatives Contract or a Security and the related Clearance System, the successor clearance system to that Clearance System (if any) to which the settlement of that Derivatives Contract or Security has transferred on an ongoing basis, as determined by the Calculation Agent.
2.7.5 “Substitute Clearance System” means, in relation to a Derivatives Contract or a Security and the related Clearance System in relation to which a Clearance System Relocation Event occurs and is continuing, the substitute clearance system for that Clearance System (if any) to which settlement of that Derivatives Contract or Security temporarily relocates from that Clearance System, as determined by the Calculation Agent.
2.7.6 “Clearance System Relocation Event” means, in relation to a Derivatives Contract or a Security and the related Clearance System, that the settlement of that Derivatives Contract or Security relocates temporarily from that Clearance System to another clearance system, as determined by the Calculation Agent.
2.7.7 “Clearance System Relocation Period” means, in relation to a Derivatives Contract or a Security and the related Clearance System in relation to which a Clearance System Relocation Event occurs, the period during which that Clearance System Relocation Event is continuing.
2.7.8 “TARGET System” means the Trans-European Automated Real-Time Gross Settlement Express Transfer (TARGET2) system or any successor to that system.
Section 2.8 Definitions relating to Components.
2.8.1 “Component” means each of a Basket Component and an Index Component.
2.8.2 “Sub-Component” means a Component of a Component (including of a Component that is itself a Sub-Component).
2.8.3 “Date Adjustment Event” means:
(i) in relation to a Pricing Date, that (a) such date is an Adjusted Date and/or (b) a Pricing Disruption Event occurs and/or is continuing in relation to a Pricing Election during an Applicable Pricing Disruption Testing Period on that date; and/or
(ii) in relation to an EO Physical Settlement Date, that (a) such date is an Adjusted Date and/or (b) a Physical Settlement Disruption Event occurs and/or is continuing in relation to an EO Physical Settlement Amount on that date.
2.8.4 “Adjustment Consequence” means, in relation to a Pricing Date or EO Physical Settlement Date, that:
(i) such date has been adjusted in accordance with an Eligible Day Adjustment Election;
(ii) a Pricing Disruption Consequence is Applicable to that date;
(iii) a Physical Settlement Disruption Consequence is Applicable to that date; and/or
(iv) Section 2.8.6(iv) (Component Modification) applies to that date.
2.8.5 “Affected Component” means, in relation to a Basket Component, Index Component or Sub-Component in relation to which Component Modification is Specified:
(i) in relation to a Pricing Date, any such Basket Component, Index Component or Sub-Component (a) in relation to which that Pricing Date is not a Component – Pricing Day or (b) that is a Disrupted Component;
(ii) in relation to an EO Physical Settlement Date, any such Basket Component, Index Component or Sub-Component in relation to which
(a) that EO Physical Settlement Date is not a Component – EO Physical Settlement Day or (b) a Physical Settlement Disruption Event occurs and/or is continuing in relation to the EO Physical Settlement Amount to which that EO Physical Settlement Date relates; and
(iii) if that Basket Component (level i) or Index Component (level i) is an Affected Component by virtue of Sub-section (i) or (ii) above or
pursuant to this Sub-section (iii), and, as a consequence, the related Affected Component – Pricing Date or Affected Component – EO Physical Settlement Date of that Component (level i) is postponed to a day that is later than the day on which the related Affected Component – Pricing Date or Affected Component – EO Physical Settlement Date of any Basket Component (level i-1) or Index Component (level i-1), as the case may be, of which that Basket Component (level i) or Index Component (level i), as the case may be, is a Component would otherwise fall, any such Basket Component (level i-1) and Index Component (level i-1).
2.8.6 “Component Modification” means:
(i) in relation to a Type of Day and a Basket or Index, that such Type of Day shall be Specified only in relation to those Components and/or Sub- Components of that Basket or Index in relation to which Component Modification is Specified or deemed Specified, with the result that an Eligible Day Adjustment Election shall be Specified only in relation to those Components and/or Sub-Components in relation to which Component Modification is Specified and different Adjustment Consequences may be Specified in relation to different Components and/or Sub-Components within that Basket or Index, even though a relevant event relating to that Basket or Index is scheduled, in the absence of a Date Adjustment Event, to occur on a single date for the whole of that Basket or Index;
(ii) in relation to a Pricing Date and/or EO Physical Settlement Date relating to a Basket or Index that is subject to a Date Adjustment Event, that such Date Adjustment Event or its related Adjustment Consequence shall be Specified only in relation to those Components and/or Sub-Components of that Basket or Index in relation to which Component Modification is Specified, with the result that the affected Pricing Date and/or EO Physical Settlement Date, while still considered to be a single Pricing Date and/or EO Physical Settlement Date for that Basket or Index, may
(a) fall on different days and/or (b) be subject to different Pricing Elections and/or settlement methodologies, as the case may be, in relation to different Components and/or Sub-Components of that Basket or Index and that Date Adjustment Event;
(iii) if a Component – Pricing Date and/or a Component – EO Physical Settlement Date is subject to any adjustment by reason of this Section 2.8.6, any term of the ED Transaction referring to the related Pricing Date and/or EO Physical Settlement Date in relation to a Basket or Index of which an Affected Component is a Component or Sub- Component that uses the occurrence of that Component – Pricing Date and/or Component – EO Physical Settlement Date (such as the occurrence of the related Price Determination Date) as a point of reference shall be construed as referring to the last such Component – Pricing Date and/or Component – EO Physical Settlement Date to occur in relation to that Basket or Index; and
(iv) if Section 2.8.5(iii) (Affected Component) applies in relation to a Basket Component (level i-1) and/or Index Component (level i-1) as described in that Section 2.8.5(iii) (Affected Component), the related Affected Component – Pricing Date or Affected Component – EO Physical Settlement Date of that Component (level i-1) shall be postponed to the last related Affected Component – Pricing Date or, as the case may be, Affected Component – EO Physical Settlement Date to occur in respect of each of its Components (level i).
2.8.7 Application of Component Modification to Higher Levels. If Component Modification is Specified in relation to an ED Leg Underlier (level i), it shall also be deemed Specified in relation to all ED Leg Underliers (levels i-1 and higher) of which that ED Leg Underlier (level i) is a Component or Sub-Component, but not to ED Leg Underliers (levels i-1 and higher) of which that ED Leg Underlier (level i) is not a Component or Sub-Component, unless Component Modification is Specified in relation to those ED Leg Underliers (levels i-1 and higher) of which that ED Leg Underlier (level i) is not a Component or Sub-Component other than by the operation of this Section 2.8.7.
2.8.8 “(level i + [n])” means, in relation to an ED Leg Underlier that is a Basket, Index, Basket Component or Index Component, a reference tool to assist interpretation of the 2011 Definitions that indicates how Baskets and Indices and their Components and Sub-Components relate to each other by reference to hypothetical levels, so that, for example, in relation to a Basket:
(i) a Component of an ED Leg Underlier that is a Basket (level i) will be a Component (level i+1), its Components (which will be Sub-Components of the ED Leg Underlier that is a Basket (level i)) will be Components (level i+2), its Sub-Components (which will also be Sub-Components of the ED Leg Underlier that is a Basket (level i)) will be Sub-Components (level i+3 and lower, with lower levels having higher numbers), and its Sub-Components (level i+4) will be Components (level i+4) of one of its Sub-Components (level i+3); and
(ii) an ED Leg Underlier that is a Basket Component (level i) will be a Component of an ED Leg Underlier that is a Basket (level i-1) and a Sub-Component of an ED Leg Underlier that is a Basket (level i-2 and/or higher, with higher levels having lower numbers),
and references to:
(x) “lower” in relation to a level i shall be construed as references to any level i+n (where n is any positive integer); and
(y) “higher” in relation to a level i shall be construed as references to any level i-n (where n is any positive integer),
and, in relation to an ED Leg, the related ED Leg Reference Underlier shall occupy a higher level i than its Components or Sub-Components (if any).
2.8.9 “Component –” means:
(i) where used as a prefix to any Type of Day relating to a Basket or Index, that Component Modification is deemed to be Specified in relation to that Type of Day;
(ii) where used as a prefix to any Pricing Date relating to a Basket or Index, that Component Modification is deemed to be Specified in relation to that Pricing Date; and
(iii) where used as a prefix to any EO Physical Settlement Date relating to a Basket or Index, that Component Modification is deemed to be Specified in relation to that EO Physical Settlement Date,
in each case, in relation to all Components of the Specified Basket or Index.
2.8.10 “Affected Component –” means, where used as a prefix to any Pricing Date or EO Physical Settlement Date relating to a Basket or an Index in relation to which Component Modification is Specified, that Pricing Date or EO Physical Settlement Date as it relates to an Affected Component after the application of any Adjustment Consequence.
ARTICLE 3 FEATURES
Section 3.1 Primary Feature of an ED Leg.
3.1.1 “Primary Feature” means, in relation to an ED Leg, one of “Forward”, “Option” or “Swap” as Specified.
Section 3.2 Party Feature of an ED Leg.
3.2.1 “Party Feature” means, in relation to an ED Leg, one of “All Parties”, “Client” or “Interdealer” as Specified.
Section 3.3 Performance Features of an ED Leg.
3.3.1 “Performance Feature” means, in relation to an ED Leg, one of “Accumulator”, “Barrier”, “Best Performing”, “Binary”, “Conditional”, “Correlation”, “Covariance”, “Decumulator”, “Dispersion”, “Equity Performance”, “Outperformance”, “Range”, “Underperformance”, “Variance”, “Volatility” or “Worst Performing” as Specified.
Section 3.4 Variable Features of an ED Leg.
3.4.1 “Variable Feature” means, in relation to an ED Leg, any of “Conditional ED Leg”, “Forward Starting”, “Include OET Events”, “OET All Linked Legs”, “OET Designated Linked Legs” and “Split Notional Accrual” as Specified.
Section 3.5 Settlement Features of an ED Leg or Pricing Group.
3.5.1 “Settlement Feature” means, in relation to an ED Leg or Pricing Group, one of “Adjustment”, “Cash Settlement”, “Electable Settlement”, “Net Physical Settlement” or “Physical Settlement” as Specified.
Section 3.6 ED Leg Reference Underlier Features of an ED Leg.
3.6.1 “ED Leg Reference Underlier Feature” means, in relation to an ED Leg, one of “Derivatives Contract Basket”, “Index Basket”, “Mixed Basket”, “Multi- Exchange Basket”, “Multi-Exchange Index”, “Security Basket”, “Single Derivatives Contract”, “Single-Exchange Index” or “Single Security” as Specified.
Section 3.7 Valuation Features of an ED Leg or Pricing Group.
3.7.1 “Valuation Feature” means, in relation to an ED Leg or Pricing Group, any of “ADTV Limitation”, “Averaging”, “Floor”, “Knock-in”, “Knock-out”, “Multi-Valuation”, “Observation”, “Single Valuation”, “Variable Obligation” and “VAR Valuation” as Specified.
Section 3.8 Option Features of an Option Leg.
3.8.1 “Option Exercise Feature” means, in relation to an Option Leg, any of “Automatic Exercise”, “Automatic Exercise Cancellation”, “Early Exercise Notice”, “Early NAE Notice”, “Knock-in of Exercise”, “Knock-out of Exercise”, “Multiple Exercise”, “Single Exercise” and “Swaption” as Specified.
3.8.2 “Option Style Feature” means, in relation to an Option Leg, one of “American”, “Bermudan”, “Bespoke Option Style” or “European” as Specified.
3.8.3 “Option Type Feature” means, in relation to an Option Leg, one of “Bespoke Option Type”, “Call”, “Collar” or “Put” as Specified.
Section 3.9 Dividend Features of an ED Leg.
3.9.1 “Dividend Feature” means, in relation to an ED Leg, any of “Cash Settlement of Non-Cash Dividends”, “Deemed Relevant Dividend”, “Dividend DvP”, “Dividend Index Correction”, “Dividend Recovery”, “Include Dividends”, “Physical Settlement of Non-Cash Dividends” and “Single Relevant Dividend Type” as Specified.
Section 3.10 Additional Obligation Features of an ED Leg.
3.10.1 “Additional Obligation Feature” means, in relation to an ED Leg, any of “Exchange Amount”, “Equity Premium”, “Equity Prepayment” and “Fee Obligation” as Specified.
Section 3.11 Linkage Features.
3.11.1 “Linkage Feature” means, in relation to a Leg, any of “Linked Calculation Date”, “Linked Cancellation and Payment”, “Linked DvP Settlement”, “Linked DvP/Net Physical Settlement”, “Linked Net Physical Settlement”, “Linked Pricing Date” and “Linked Settlement Date” as Specified.
Section 4.1 Linked Legs.
ARTICLE 4 LINKED LEGS
4.1.1 “Linked Leg” means any of two or more Legs that are Specified to be linked in accordance with this Article 4 and, where different Legs of an ED Transaction are subject to different types of linkage, means, in relation to each other, only those Legs that are expressed to be subject to the same type of linkage to each other.
4.1.2 “Linked Primary Leg” means an ED Leg that is Specified as a Linked Primary Leg.
4.1.3 “Linked Secondary Leg” means a Leg that is Specified as a Linked Secondary Leg.
4.1.4 “Linked Duplicate Leg” means an ED Leg that is Specified as a Linked Duplicate Leg.
4.1.5 Terms of a Linked Duplicate Leg. Each term of a Linked Duplicate Leg shall be the same as the corresponding term of the Linked Primary Leg, except only to the extent that a term is Specified in relation to the Linked Duplicate Leg and that term is either (i) different from its corresponding term in the Linked Primary Leg or (ii) additional to the terms of the Linked Primary Leg and, in each case, the additional or different term so Specified in the Linked Duplicate Leg shall be applicable to the Linked Duplicate Leg in replacement of, or in addition to, the relevant terms of the Linked Primary Leg.
Section 4.2 Linked Pricing Date.
4.2.1 “Linked Pricing Date” means, subject to Section 4.9 (Adjustments to Linked Date Terms), in relation to a Leg for which Linked Pricing Date is Specified as a Feature, that each:
(i) Pricing Date and Price Determination Date for each Linked ED Leg; and
(ii) date under each Linked Non ED Leg on which any Value is to be determined in relation to that Linked Leg,
that would (but for the occurrence of a Linked Date Adjustment Event) fall on the same date shall be a set of Linked Dates and the provisions of Section 4.8 (Linked Dates and Consequences) shall apply accordingly.
Section 4.3 Linked Calculation Date.
4.3.1 “Linked Calculation Date” means, subject to Section 4.9 (Adjustments to Linked Date Terms), in relation to a Leg for which Linked Calculation Date is Specified as a Feature, that each:
(i) Calculation Date for each Linked ED Leg; and
(ii) date under each Linked Non ED Leg on which any calculation or determination (other than a determination of a price) is to be made in relation to that Linked Leg,
that would (but for the occurrence of a Linked Date Adjustment Event) fall on the same date shall be a set of Linked Dates and the provisions of Section 4.8 (Linked Dates and Consequences) shall apply accordingly.
Section 4.4 Linked Settlement Date.
4.4.1 “Linked Settlement Date” means, subject to Section 4.9 (Adjustments to Linked Date Terms), in relation to a Leg for which Linked Settlement Date is Specified as a Feature, that each:
(i) EO Settlement Date for each Linked ED Leg; and
(ii) date under each Linked Non ED Leg on which any cash payment or physical delivery is to be made in relation to that Linked Leg,
that would (but for the occurrence of a Linked Date Adjustment Event) fall on the same date shall be a set of Linked Dates and the provisions of Section 4.8 (Linked Dates and Consequences) shall apply accordingly.
Section 4.5 Linked Net Physical Settlement.
4.5.1 “Linked Net Physical Settlement” means, subject to Section 4.9 (Adjustments to Linked Date Terms), in relation to an ED Leg for which Linked Net Physical Settlement is Specified as a Feature and for each EO Settlement Amount Specified, that Linked Settlement Date shall also be Specified as a Feature in relation to that Linked ED Leg and, whether or not the effect of a Linked Date Consequence is to postpone any Linked Date, each Party’s obligation to deliver any such EO Settlement Amounts that would otherwise be deliverable, to the extent that they constitute, wholly or partially, the same asset, in relation to the Linked Legs on that Linked Date to the other Party shall, on that Linked Date, be netted and automatically satisfied and discharged to the extent of the lower of the aggregate amounts of each asset that is deliverable by both Parties and, if the aggregate amount that would otherwise have been deliverable by one Party exceeds the aggregate amount that would otherwise have been deliverable by the other Party, replaced by an obligation upon the Party by whom the larger aggregate amount would have been deliverable to deliver to the other Party the excess of the larger aggregate amount over the smaller aggregate amount, in each case separately and only in respect of each asset contained in the related EO Settlement Amount that is so deliverable by both Parties.
Section 4.6 Linked DvP Settlement.
4.6.1 “Linked DvP Settlement” means, subject to Section 4.9 (Adjustments to Linked Date Terms), in relation to a Leg for which Linked DvP Settlement is Specified as a Feature, that Linked Settlement Date shall also be Specified as a Feature in relation to that Leg and each other Linked Leg and DvP shall be deemed to have been Specified in relation to each such Linked Leg.
Section 4.7 Linked DvP/Net Physical Settlement.
4.7.1 “Linked DvP/Net Physical Settlement” means, subject to Section 4.9 (Adjustments to Linked Date Terms), in relation to a Leg for which Linked DvP/Net Physical Settlement is Specified as a Feature, that Linked Settlement Date shall also be Specified as a Feature in relation to that Leg and each other Linked Leg, and, whether or not the effect of the related Linked Date
Consequence is to defer any Linked Date, Linked Net Physical Settlement shall apply in relation to each Party’s obligation to deliver any EO Settlement Amounts that would otherwise be deliverable to the extent that they constitute the same asset in relation to the Linked Legs on that Linked Date to the other Party and Linked DvP Settlement shall apply in relation to each Party’s other obligations to pay or deliver any other amounts in relation to the Linked Legs on that Linked Date to the other Party.
Section 4.8 Linked Dates and Consequences.
4.8.1 Linked Dates. If, as a result of the terms of any Linked Legs, any Linked Dates would fall on different days, then the Linked Date Consequence Specified shall apply in relation to those Linked Dates.
4.8.2 Linked Secondary Leg. Each Type of Date for a Linked Secondary Leg that is Specified as Primary Leg – [Type of Date] shall fall on the corresponding Type of Date Specified for the Linked Primary Leg.
4.8.3 Termination of a Linked Primary Leg. If, for any reason, a Linked Primary Leg is terminated, that termination shall not affect the existence or validity of any remaining existing Linked Duplicate Leg and/or Linked Secondary Leg that relates to the Linked Primary Leg, each of which shall continue to incorporate the relevant terms of the terminated Linked Primary Leg, unless the event leading to the termination of the Linked Primary Leg is Specified also to lead, or otherwise leads, to the termination of the Linked Duplicate Leg and/or Linked Secondary Leg.
4.8.4 “Linked Date Consequence” means each of the following defined terms and, in relation to more than one Linked Date, means whichever of the following defined terms is Specified:
(i) “Limited Postponement” means those Linked Dates shall together be postponed until the first succeeding Linked Day that is not a Linked Adjustment Day whether or not that day is also a day on which a Matching Set of Linked Dates falls or is deemed to fall; provided that, if the Linked Postponement Period has elapsed and those Linked Dates have not all fallen on the same day during that period, each of those Linked Dates shall be postponed to the first day after the Linked Postponement Period to which they would have been postponed had they not been Linked Dates, whether or not they fall on the same date.
(ii) “Modified Postponement” means those Linked Dates shall together be postponed until the first succeeding Linked Day that is not a Linked Adjustment Day and on which a Matching Set of Linked Dates does not or is not deemed to fall; provided that, if the Linked Postponement Period has elapsed and those Linked Dates have not all fallen on the same day during that period, each of those Linked Dates shall be postponed to the first day after the Linked Postponement Period to which they would have been postponed had they not been Linked Dates, whether or not they fall on the same date.
(iii) “Unlimited Postponement” means those Linked Dates shall together be postponed until the first succeeding Linked Day that is not a Linked Adjustment Day.
(iv) “Limited – Prior” means those Linked Dates shall together be the first preceding Linked Day that is not a Linked Adjustment Day, whether or not that day is also a day on which a Matching Set of Linked Dates falls or is deemed to fall; provided that, if those Linked Dates have not fallen on the same day during a period equal to the Linked Postponement Period before the originally scheduled Linked Leg Date, each of those Linked Dates shall occur on the first day preceding the originally scheduled Linked Leg Date to which they would have been adjusted had they not been Linked Dates, whether or not they fall on the same date.
(v) “Modified – Prior” means those Linked Dates shall together be the first preceding Linked Day that is not a Linked Adjustment Day and on which a Matching Set of Linked Dates does not or is not deemed to fall; provided that, if those Linked Dates have not fallen on the same day during a period equal to the Linked Postponement Period before the originally scheduled Linked Leg Date, each of those Linked Dates shall occur on the first day preceding the originally scheduled Linked Leg Date to which they would have been adjusted had they not been Linked Dates, whether or not they fall on the same date.
(vi) “Unlimited – Prior” means those Linked Dates shall together be the first preceding Linked Day that is not a Linked Adjustment Day.
Section 4.9 Adjustments to Linked Date Terms.
4.9.1 Adjustment Suffixes. Each of the Linkage Features named Linked Pricing Date, Linked Calculation Date and Linked Settlement Date, when followed by the suffix:
(i) “– Eligible Day” means that such term shall apply but shall be limited to Linked Date Adjustment Events arising by reason of a relevant date not falling on an Eligible Day;
(ii) “– Pricing Disruption” means that such term shall apply but shall be limited to Linked Date Adjustment Events arising by reason of a Pricing Disruption Event; or
(iii) “– Settlement Disruption” means that such term shall apply but shall be limited to Linked Date Adjustment Events arising by reason of a Settlement Disruption Event.
4.9.2 Settlement Suffixes. When either of the “– Eligible Day” and “– Settlement Disruption” suffixes follows Linked Net Physical Settlement, Linked DvP Settlement or Linked DvP/Net Physical Settlement, the deemed Linked Settlement Date Feature shall be subject to the relevant suffix.
Section 4.10 General Terms relating to Linked Legs.
4.10.1 “Linked” means, where Specified in relation to any two Legs and any dates that are related to them, that those Legs are Linked Legs in relation to each other and
that those dates are Linked Dates, in each case, to which the provisions of Section 4.8 (Linked Dates and Consequences) apply.
4.10.2 “Linked Adjustment Day” means, in relation to a Linked Leg and a Linked Date Adjustment Event that gives rise to a Linked Date Consequence, any day on which that Linked Date Adjustment Event occurs or is continuing.
4.10.3 “Linked Date Adjustment Event” means:
(i) in relation to a Linked Leg that is an ED Leg, a Date Adjustment Event relating to that ED Leg; and
(ii) in relation to a Linked Leg that is a Non ED Leg, an analogous event under the terms of that Leg (and references in the definition of Date Adjustment Event and in the definitions of the suffixes “– Eligible Day”, “– Pricing Disruption” and “– Settlement Disruption” to Eligible Day, Pricing Date, Price Determination Date, Pricing Disruption Event, EO Settlement Date and Settlement Disruption Event shall be construed as references to analogous provisions of that Non ED Leg).
4.10.4 “Linked Dates” means together any Pricing Date, Price Determination Date, Calculation Date and/or EO Settlement Date relating to a Linked Leg that is an ED Leg and one or more dates relating to other Legs to which it is Linked and, where different dates of one or more Legs are subject to different types of linkage, means, in relation to each other, only those dates that are expressed to be subject to the same type of linkage to each other and “Linked Date” shall be construed accordingly.
4.10.5 “Linked Day” means, in relation to a Linked Date, a day that fulfils the criteria Applicable to any day for it to be a day on which each such Linked Date may fall.
4.10.6 “Linked Leg Date” means a Pricing Date, Price Determination Date, Calculation Date or EO Settlement Date, as the case may be, to which a Linked Date Consequence applies.
4.10.7 “Linked Postponement Period” means, in relation to a Linked Date, the number of Linked Days Specified immediately following or preceding (by reference to Section 4.8 (Linked Dates and Consequences)) the originally scheduled Linked Leg Date.
4.10.8 “Matching Set” means, in relation to a group of Linked Dates (the “First Group”) scheduled to fall on the same day, another group of Linked Dates in relation to which the Type of Date (for each Linked Date relating to an ED Leg in that group) is the same as the Type of Date for each Linked Date relating to an ED Leg in the First Group and (if relevant) that are in the same Pricing Group, but fall on a different day.
Section 5.1 Type of Date.
ARTICLE 5
DATES, DAYS AND PERIODS
5.1.1 “Type of Date” means each of a Calculation Date, a Pricing Date, a Price Determination Date and each of the following defined terms and, in relation to an ED Leg and, if Specified as being different in relation to two or more Pricing Groups, in relation to each such Pricing Group separately, means each Type of Date Specified:
(i) “Automatic Exercise Cancellation Cut-off Date” and “AEC Cut-off Date” mean, in relation to an Option Leg and a Potential Exercise Date, each such date determined in accordance with the Date Selection Methodology Specified for Potential Exercise Dates.
(ii) “Automatic Exercise Date” and “AE Date” mean, in relation to an Option Leg for which Automatic Exercise is Specified as a Feature, each Specified Potential Exercise Date determined in accordance with the Date Selection Methodology Specified for Potential Exercise Dates.
(iii) “Averaging Date” means, in relation to an ED Leg for which Averaging is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Averaging Dates, and includes each ADTV Averaging Date.
(iv) “Averaging Period End Date” means, in relation to an ED Leg for which Averaging is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Averaging Dates.
(v) “Averaging Period Start Date” means, in relation to an ED Leg for which Averaging is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Averaging Dates.
(vi) “Combined Consideration Election Date” means, in relation to an ED Leg for which a Merger Event, Tender Offer or High Tender Offer occurs, the date determined in accordance with the Date Selection Methodology Specified for Combined Consideration Election Dates.
(vii) “Commencement Date” means, in relation to an Option Leg, each such date determined in accordance with the Date Selection Methodology Specified for Commencement Dates.
(viii) “Correction Cut-off Date” means, in relation to an Exchange, Index Sponsor or other price source and a Value published on such Exchange or by such Index Sponsor or other price source, the date falling the Time Period Election Specified after the original publication of that Value.
(ix) “Derivatives Contract Expiry Date” and “DCT Expiry Date” mean, in relation to a Derivatives Contract, the date on which that Derivatives Contract expires, matures or otherwise reaches the end of its term.
(x) “Determination Deadline Date” means, in relation to a dispute that is the subject of a Calculation Dispute Resolution Procedure, the date determined in accordance with the Date Selection Methodology Specified for Determination Deadline Dates or, if no Date Selection Methodology is Specified for Determination Deadline Dates, the third Reference Day immediately following the Selection Deadline Date.
(xi) “Dispute Notice Deadline Date” means, in relation to the initiation of a Calculation Dispute Resolution Procedure, the date determined in accordance with the Date Selection Methodology Specified for Dispute Notice Deadline Dates or, if no Date Selection Methodology is Specified for Dispute Notice Deadline Dates, the third Reference Day immediately following the Effective date of the notice to the Disputing Party containing the Calculation Agent’s original calculation or determination.
(xii) “Dividend Index Correction Cut-off Date” means, in relation to an ED Leg for which Include Dividends is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Dividend Index Correction Cut-off Dates.
(xiii) “Dividend Index Correction Notice Cut-off Date” means, in relation to an ED Leg for which Include Dividends is Specified as a Feature, the Specified Time Period Election after the related Dividend Index Correction Cut-off Date.
(xiv) “Dividend Issuer Distribution Cut-off Date” means, in relation to an ED Leg for which Include Dividends is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Dividend Issuer Distribution Cut-off Dates.
(xv) “Dividend Obligation Adjustment Date” and “DO Adjustment Date” mean, in relation to an ED Leg for which Include Dividends is Specified as a Feature, the related DO Party, the related DO Adjustment, a Dividend Period and a Relevant Dividend, each such date determined in accordance with the Date Selection Methodology Specified for DO Adjustment Dates, the occurrence of which may be dependent upon the exercise of an option in the case of an Option Leg.
(xvi) “Dividend Obligation Determination Date” and “DO Determination Date” mean, in relation to an ED Leg for which Include Dividends is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for DO Determination Dates.
(xvii) “Dividend Obligation Period End Date” and “DO Period End Date” mean, in relation to an ED Leg for which Include Dividends is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Dividend Periods.
(xviii) “Dividend Obligation Period Start Date” and “DO Period Start Date” mean, in relation to an ED Leg for which Include Dividends is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Dividend Periods.
(xix) “Dividend Obligation Settlement Date” and “DO Settlement Date” mean, in relation to an ED Leg for which Include Dividends is Specified as a Feature and a Dividend Period, the related DO Party, the related DO Settlement Amount and a Relevant Dividend, each such date determined in accordance with the Date Selection Methodology Specified for DO Settlement Dates, the occurrence of which may be dependent upon the exercise of an option in the case of an Option Leg.
(xx) “Dividend Recovery Event Notice Cut-off Date” means, in relation to an ED Leg for which Include Dividends is Specified as a Feature, the Specified Time Period Election after the related Dividend Issuer Distribution Cut-off Date.
(xxi) “Earliest Early Exercise Notice Date” and “Earliest EE Notice Date” mean, in relation to an Option Leg and a Potential Exercise Date, the date determined in accordance with the Date Selection Methodology Specified for Potential Exercise Dates.
(xxii) “Earliest No Automatic Exercise Notice Date” and “Earliest NAE Notice Date” mean, in relation to an Option Leg and a Potential Exercise Date, the date determined in accordance with the Date Selection Methodology Specified for Potential Exercise Dates.
(xxiii) “ED Period End Date” means, in relation to a Type of Period and a Leg, the last day in that Type of Period.
(xxiv) “ED Period Start Date” means, in relation to a Type of Period and a Leg, the first day in that Type of Period.
(xxv) “Electable Dividend Cut-off Date” means each such date determined in accordance with the Date Selection Methodology Specified for Electable Dividend Cut-off Dates.
(xxvi) “Equity Obligation Physical Settlement Date” and “EO Physical Settlement Date” mean, in relation to an ED Leg, an EO Party and an EO Physical Settlement Amount, the related EO Settlement Date.
(xxvii) “Equity Obligation Premium Payment Date” and “EO Premium Payment Date” mean, in relation to an ED Leg for which Equity Premium is Specified as a Feature, an EO Party and an EO Premium Amount, the date determined in accordance with the Date Selection Methodology Specified for EO Premium Payment Dates.
(xxviii) “Equity Obligation Prepayment Date” and “EO Prepayment Date” mean, in relation to an ED Leg for which Equity Prepayment is Specified as a Feature, an EO Party and an EO Prepayment Amount, the date determined in accordance with the Date Selection Methodology Specified for EO Prepayment Dates.
(xxix) “Equity Obligation Settlement Date” and “EO Settlement Date” mean, in relation to an ED Leg, an EO Party and an EO Settlement Amount, the date determined in accordance with the Date Selection Methodology Specified for EO Settlement Dates.
(xxx) “Equity Reference Date” means, in relation to:
(a) an Option Leg, the Strike Date; or
(b) a Swap Leg or a Forward Leg, the Initial Date.
(xxxi) “Equity Valuation Date” means, in relation to an ED Leg for which Single Valuation or Multi-Valuation is Specified as a Feature, each date determined in accordance with the Date Selection Methodology Specified for Equity Valuation Dates and includes any OET Acceleration Date.
(xxxii) “Exchange Date” means, in relation to an ED Leg for which Exchange Amount is Specified as a Feature, an EO Exchange Amount and an EO Party, each such date determined in accordance with the Date Selection Methodology Specified for Exchange Dates.
(xxxiii) “Exercise Date” means, in relation to an Option Leg, each Potential Exercise Date on which Option Units are exercised or deemed exercised.
(xxxiv) “Exercise Period End Date” means, in relation to an Option Leg, each such date determined in accordance with the Date Selection Methodology Specified for Potential Exercise Dates or, if earlier, the Expiration Date.
(xxxv) “Exercise Period Start Date” means, in relation to an Option Leg, each such date determined in accordance with the Date Selection Methodology Specified for Potential Exercise Dates.
(xxxvi) “Expiration Date” means, in relation to an Option Leg, the relevant date determined in accordance with the Date Selection Methodology Specified for Potential Exercise Dates.
(xxxvii) “Fee Adjustment Date” means, in relation to an ED Leg for which Fee Obligation is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Fee Adjustment Dates.
(xxxviii) “Fee Payment Date” means, in relation to an ED Leg for which Fee Obligation is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Fee Payment Dates.
(xxxix) “FX Determination Date” means, in relation to a Leg, each date determined in accordance with the Date Selection Methodology Specified for FX Determination Dates.
(xl) “FX Determination Period End Date” means, in relation to a Leg, each such date determined in accordance with the Date Selection Methodology Specified for FX Determination Dates.
(xli) “FX Determination Period Start Date” means, in relation to a Leg, each such date determined in accordance with the Date Selection Methodology Specified for FX Determination Dates.
(xlii) “Hedge Period Date” means, in relation to a Leg for which Hedge Period is Specified, each such date determined in accordance with the Date Selection Methodology Specified for Hedge Period Dates.
(xliii) “Hedge Period End Date” means, in relation to a Leg, each such date determined in accordance with the Date Selection Methodology Specified for Hedge Period Dates.
(xliv) “Hedge Period Start Date” means, in relation to a Leg, each such date determined in accordance with the Date Selection Methodology Specified for Hedge Period Dates.
(xlv) “Hypothetical Hedge Period Date” means, in relation to a Leg for which Hypothetical Hedge Period is Specified, each such date determined in accordance with the Date Selection Methodology Specified for Hypothetical Hedge Period Dates.
(xlvi) “Hypothetical Hedge Period End Date” means, in relation to a Leg, each such date determined in accordance with the Date Selection Methodology Specified for Hypothetical Hedge Period Dates.
(xlvii) “Hypothetical Hedge Period Start Date” means, in relation to a Leg, each such date determined in accordance with the Date Selection Methodology Specified for Hypothetical Hedge Period Dates.
(xlviii) “Initial Date” means, in relation to a Leg, each such date determined in accordance with the Date Selection Methodology Specified for Initial Dates.
(xlix) “Knock Event Date” means, in relation to an ED Leg for which Knock- in and/or Knock-out is Specified as a Feature, the Knock Event Determination Date on which the relevant Knock-in Event or Knock-out Event occurs.
(l) “Knock Event Determination Date” means, in relation to an ED Leg for which Knock-in and/or Knock-out is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Knock Event Dates.
(li) “Knock Event Period End Date” means, in relation to an ED Leg for which Knock-in and/or Knock-out is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Knock Event Dates.
(lii) “Knock Event Period Start Date” means, in relation to an ED Leg for which Knock-in and/or Knock-out is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Knock Event Dates.
(liii) “Knock Exercise Event Date” means, in relation to an ED Leg for which Knock-in of Exercise and/or Knock-out of Exercise is Specified as a Feature, the Knock Event Determination Date on which the relevant Knock-in of Exercise Event or Knock-out of Exercise Event occurs.
(liv) “Knock Exercise Event Determination Date” means, in relation to an ED Leg for which Knock-in of Exercise and/or Knock-out of Exercise is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Knock Exercise Event Dates.
(lv) “Knock Exercise Event Period End Date” means, in relation to an ED Leg for which Knock-in of Exercise and/or Knock-out of Exercise is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Knock Exercise Event Dates.
(lvi) “Knock Exercise Event Period Start Date” means, in relation to an ED Leg for which Knock-in of Exercise and/or Knock-out of Exercise is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Knock Exercise Event Dates.
(lvii) “Leg Effective Date” means, in relation to a Leg, each such date determined in accordance with the Date Selection Methodology Specified for Leg Effective Dates.
(lviii) “Observation Date” means, in relation to an ED Leg for which Observation is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Observation Dates.
(lix) “Observation Period End Date” means, in relation to an ED Leg for which Observation and Observation Period is Specified as a Feature, each such date determined in accordance with the Date Selection Methodology Specified for Observation Dates.
(lx) “Observation Period Start Date” means, in relation to an ED Leg for which Observation is Specified as a Feature and Observation Period is Specified, each such date determined in accordance with the Date Selection Methodology Specified for Observation Dates.
(lxi) “OET Acceleration Date” means, in relation to an OET Event and subject to Section 13.1.4 (OET Acceleration Date), the date that is designated as such in a valid OET Notice.
(lxii) “OET Period End Date” means, in relation to an ED Leg for which Include OET Events is Specified as a Feature, the relevant date determined in accordance with the Date Selection Methodology Specified for OET Periods.
(lxiii) “OET Period Start Date” means, in relation to an ED Leg for which Include OET Events is Specified as a Feature, the relevant date determined in accordance with the Date Selection Methodology Specified for OET Periods.
(lxiv) “OET Settlement Date” means, in relation to an OET Proportion, the final EO Settlement Date relating to the related designated OET Acceleration Date.
(lxv) “Party Resolution Deadline Date” means, in relation to a dispute that is the subject of a Calculation Dispute Resolution Procedure, the date determined in accordance with the Date Selection Methodology
Specified for Party Resolution Deadline Dates or, if no Date Selection Methodology is Specified for Party Resolution Deadline Dates, the Reference Day on which the Dispute Notice is Effective.
(lxvi) “Potential Exercise Date” means, in relation to an Option Leg, if the Option Style Feature Specified is:
(a) American, any Eligible Day during the Exercise Period determined in accordance with the Date Selection Methodology Specified for Potential Exercise Dates, including the Expiration Date;
(b) Bermudan, each of the Eligible Days during the Exercise Period determined in accordance with the Date Selection Methodology Specified for Potential Exercise Dates, including the Expiration Date;
(c) Bespoke Option Style, each such date determined in accordance with the Date Selection Methodology Specified for Potential Exercise Dates, including the Expiration Date; or
(d) European, the Expiration Date.
(lxvii) “Pricing (Non FX) Date” means any Pricing Date, other than an FX Determination Date.
(lxviii) “Protected Period Date” means, in relation to an ED Leg for which Protected Period is Specified, each such date determined in accordance with the Date Selection Methodology Specified for Protected Period Dates.
(lxix) “Protected Period End Date” means, in relation to an ED Leg for which Protected Period is Specified, each such date determined in accordance with the Date Selection Methodology Specified for Protected Period Dates.
(lxx) “Protected Period Start Date” means, in relation to an ED Leg for which Protected Period is Specified, each such date determined in accordance with the Date Selection Methodology Specified for Protected Period Dates.
(lxxi) “Purchase Period Date” means, in relation to an ED Leg for which Purchase Period is Specified, each such date determined in accordance with the Date Selection Methodology Specified for Purchase Period Dates.
(lxxii) “Purchase Period End Date” means, in relation to an ED Leg for which Purchase Period is Specified, each such date determined in accordance with the Date Selection Methodology Specified for Purchase Period Dates.
(lxxiii) “Purchase Period Start Date” means, in relation to an ED Leg for which Purchase Period is Specified, each such date determined in accordance with the Date Selection Methodology Specified for Purchase Period Dates.
(lxxiv) “Selection Deadline Date” means, in relation to a dispute that is the subject of a Calculation Dispute Resolution Procedure, the date determined in accordance with the Date Selection Methodology Specified for Selection Deadline Dates or, if no Date Selection Methodology is Specified for Selection Deadline Dates, the second Reference Day immediately following the Party Resolution Deadline Date.
(lxxv) “Settlement Election Cut-off Date” means, in relation to an ED Leg for which Electable Settlement is Specified as a Feature and, if Specified, a Pricing Group, the date determined in accordance with the Date Selection Methodology Specified for Settlement Election Cut-off Dates.
(lxxvi) “Strike Date” means, in relation to an ED Leg, each such date determined in accordance with the Date Selection Methodology Specified for Strike Dates.
(lxxvii) “Trade Date” means, in relation to an ED Transaction, the date Specified or, if no date is Specified, the date determined in accordance with the Date Selection Methodology Specified for Trade Dates.
Section 5.2 Identification of Certain Types of Date and Types of Period.
5.2.1 Initial, Interim and Final Types of Date. In relation to a Type of Date and/or Type of Period, if such Type of Date and/or Type of Period is preceded by the prefix:
(i) “Initial –”, that Type of Date and/or Type of Period shall be either:
(a) the first of a series of that Type of Date and/or Type of Period; or
(b) in relation to a Type of Date only, the first such Type of Date in a relevant Type of Period.
(ii) “Interim –”, that Type of Date and/or Type of Period shall be either:
(a) one of a series of that Type of Date and/or Type of Period (other than the first or last of that series); or
(b) in relation to a Type of Date only, such a Type of Date occurring during a relevant Type of Period (other than the first or the last such Type of Date in that relevant Type of Period).
(iii) “Final –”, that Type of Date and/or Type of Period shall be either:
(a) the last of a series of that Type of Date and/or Type of Period; or
(b) in relation to a Type of Date only, the last such Type of Date in a relevant Type of Period.
Section 5.3 Pricing Date, Price Determination Date, Calculation Date and Pricing Group.
5.3.1 “Pricing Date” means any Averaging Date, Equity Reference Date, Equity Valuation Date, FX Determination Date, Knock Event Determination Date, Knock Exercise Event Determination Date, Observation Date, Price
Determination Date or Potential Exercise Date and, for the purposes of determining whether a day is a Pricing Disruption Day and any Applicable Pricing Disruption Consequence in accordance with Article 9 (Pricing Disruption), includes any date that:
(i) is a Pricing Day that falls within a Pricing Period; and/or
(ii) would have been a Pricing Date but for the occurrence of a Pricing Disruption Event.
5.3.2 “Price Determination Date” means, in relation to an ED Leg and/or Pricing Group, each of the following:
(i) each Equity Reference Date;
(ii) if Averaging is Specified as a Feature, the last Averaging Date in each Averaging Period;
(iii) if Observation is Specified as a Feature, the last Observation Date in each Observation Period;
(iv) if Single Valuation or Multi-Valuation is Specified as a Feature, each Equity Valuation Date; and/or
(v) if Option is Specified as a Feature, each Exercise Date, unless Averaging or Observation is Specified as a Feature in relation to that Exercise Date, in which case Sub-section (ii) or (iii) above shall apply,
provided that, if the Applicable Pricing Period for any such date extends beyond such date, the Price Determination Date shall be postponed to the last day of that Pricing Period or, if that day is not a Pricing Day, the next following Pricing Day.
5.3.3 “Calculation Date” means, in relation to a Price Determination Date, the date falling on or after that Price Determination Date determined in accordance with the Date Selection Methodology Specified for Calculation Dates.
5.3.4 “Pricing Group” means each of the following and, in relation to an ED Leg, each type of Pricing Group Specified that relates to that ED Leg:
(i) Pricing Group – All,
and each other group of dates Specified.
5.3.5 “Pricing Group – All” means, in relation to an ED Leg, (i) each Pricing Date that is (or relates to) a single Price Determination Date, (ii) the related Calculation Date, if it relates to the Price Determination Date set out in Sub- section (i) above but not any other Price Determination Date, (iii) each EO Settlement Date relating to the Calculation Date set out in Sub-section (ii) above and (iv) such other Type of Date as may be Specified.
Section 5.4 Date Selection Methodology.
5.4.1 “Date Selection Methodology” means a formula or methodology for determining the date on which a Type of Date will fall and, in relation to an ED Leg or Pricing Group and a Type of Date, the Date Selection Methodology Specified.
Section 5.5 Eligible Days.
5.5.1 “Eligible Day” means, in relation to a Type of Date, a day that satisfies each of the Eligible Day Types Specified for the Type of Day Specified in relation to that Type of Date.
Section 5.6 Type of Day.
5.6.1 “Type of Day” means each of the following terms and, in relation to a Type of Date, means the Type of Day Specified for that Type of Date:
(i) “Cash Settlement Day” means a day determined in accordance with the Type of Day Selection Methodology Specified for Cash Settlement Days;
(ii) “FX Determination Day” means a day determined in accordance with the Type of Day Selection Methodology Specified for FX Determination Days;
(iii) a Linked Day;
(iv) “Notice Day” means a day determined in accordance with the Type of Day Selection Methodology Specified for Notice Days;
(v) “Physical Settlement Day” means a day determined in accordance with the Type of Day Selection Methodology Specified for Physical Settlement Days;
(vi) “Physical Settlement Cash Equivalent Day” means a day determined in accordance with the Type of Day Selection Methodology Specified for Physical Settlement Days;
(vii) “Potential Exercise Day” means a day determined in accordance with the Type of Day Selection Methodology Specified for Potential Exercise Days;
(viii) “Pricing Day” means a day determined in accordance with the Type of Day Selection Methodology Specified for Pricing Days;
(ix) “Reference Day” means a day determined in accordance with the Type of Day Selection Methodology Specified for Reference Days; and
(x) “Settlement Day” means each of a Cash Settlement Day, a Physical Settlement Cash Equivalent Day and a Physical Settlement Day.
Section 5.7 Eligible Day Type.
5.7.1 “Eligible Day Type” means each of the following terms:
(i) “Banking Day” means, in relation to a city, a day on which commercial banks are open for general business (including dealings in foreign exchange and foreign currency deposits) in that city;
(ii) a calendar day;
(iii) “Clearance System Business Day” means, in relation to a Clearance System, a day on which that Clearance System is open for the acceptance and execution of settlement instructions;
(iv) “Currency Business Day” means, in relation to the euro, a TARGET Business Day and, in relation to any other currency Specified, a day on which commercial banks are open for business (including dealings in foreign exchange and foreign currency deposits) in the principal financial center for that currency and, when followed by:
(a) “– (Settlement Currency)” as a suffix, in relation to the related Settlement Currency;
(b) “– (Local Currency)” as a suffix, in relation to the related Local Currency;
(c) “– (Reference Currency)” as a suffix, in relation to the related Reference Currency;
(d) “– (All Currencies – ED Leg)” as a suffix, in relation to all Local Currencies, Reference Currencies and the Settlement Currency relating to the ED Leg; or
(e) “– (All Currencies – ED Transaction)” as a suffix, in relation to all Local Currencies, Reference Currencies and Settlement Currencies relating to the ED Transaction;
(v) “Derivatives Contract Exercise Day” and “DCT Exercise Day” mean, in relation to a Derivatives Contract that is an option, a day on which that Derivatives Contract can be exercised under the rules of any Type of Derivatives Exchange Specified for that Derivatives Contract;
(vi) “Exchange Business Day” means, in relation to an Exchange, a day on which that Exchange is open for trading at any time during its regular trading session and, when followed by “– [Type of Exchange]” as a suffix, in relation to each Exchange of that Type of Exchange;
(vii) “FX Business Day” means, in relation to a Currency Pair, a day that is a Currency Business Day for each currency in that Currency Pair and, when followed by:
(a) “– [currency1:currency2]” as a suffix, in relation to the Specified Currency Pair; or
(b) “– [ED Leg Underlier]” as a suffix, in relation to the Local Currency and the related Settlement Currency;
(viii) “Index Calculation Day” means, in relation to an Index, a day as of which the Index Sponsor calculates a Value for the Index;
(ix) “Index Publication Day” means, in relation to an Index, a day on which the Index Sponsor publishes a Value for the Index;
(x) “Local Settlement Procedure Business Day” means, in relation to a Local Settlement Procedure, in the case of a Security, a Banking Day in the jurisdiction of organization of the Issuer or, in the case of a Derivatives Contract, a day that is a Banking Day for each city in which the offices through which the Parties entered into the ED Transaction are located;
(xi) “Official Daily Traded Price Day” means, in relation to an exchange traded Derivatives Contract, a Primary Derivatives Exchange Business Day on which the official settlement price (howsoever described under the rules of the Primary Derivatives Exchange) for the settlement of trades in that Derivatives Contract on the Primary Derivatives Exchange is published by the Primary Derivatives Exchange or its Clearance System;
(xii) “Official Settlement Price Day” means, in relation to an exchange traded Derivatives Contract, a Primary Derivatives Exchange Business Day on which the official settlement price of that Derivatives Contract (howsoever described under the rules of the Primary Derivatives Exchange Specified) is published by the Primary Derivatives Exchange or its Clearance System;
(xiii) “Settlement System Business Day” means each of a Clearance System Business Day or a Local Settlement Procedure Business Day;
(xiv) “TARGET Business Day” means a day on which the TARGET System is open; and
(xv) “TARGET Settlement Day” means a day on which the TARGET System is open for the settlement of payments in euro.
Section 5.8 Type of Day Selection Methodology.
5.8.1 “Type of Day Selection Methodology” means a formula or methodology for determining the Eligible Day Types relating to a Type of Day and, in relation to an ED Leg and a Type of Day, the Type of Day Selection Methodology Specified.
Section 5.9 Adjustment to Types of Dates.
5.9.1 Eligible Day Adjustment. Each Type of Date shall be adjusted in accordance with the Eligible Day Adjustment Election Specified.
5.9.2 “Eligible Day Adjustment Election” means, in relation to a Type of Date, the convention for adjusting that Type of Date if the day relating to that Type of Date would not be an Eligible Day and:
(i) if Following is Specified, that date will be the first following day that is an Eligible Day;
(ii) if Modified Following or Modified is Specified, that date will be the first following day that is an Eligible Day unless that day falls in the next calendar month in which case that date will be the first preceding day that was an Eligible Day; or
(iii) if Preceding is Specified, that date will be the first preceding day that was an Eligible Day.
5.9.3 “(Following)” and the suffix “– (Following)” mean, in relation to a date, that such date will be subject to adjustment as if Following had been Specified.
5.9.4 “(Modified Following)” or “(Modified)” and the suffix “– (Modified Following)” or “– (Modified)” mean, in relation to a date, that such date will be subject to adjustment as if Modified Following or Modified had been Specified.
5.9.5 “(Preceding)” and the suffix “– (Preceding)” mean, in relation to a date, that such date will be subject to adjustment as if Preceding had been Specified.
5.9.6 “(unadjusted)” and the suffix “– (unadjusted)” mean, in relation to a date, that no Eligible Day Adjustment Election shall apply to that date.
5.9.7 “Adjusted Date” means a Type of Date that is subject to adjustment in accordance with an Eligible Day Adjustment Election.
Section 5.10 Period Election.
5.10.1 “Period Election” means each of the following suffixes and, in relation to a Type of Period when followed by the suffix:
(i) | “– (inclusive)(inclusive)” means the period from, and including, the ED Period Start Date to, and including, the ED Period End Date; | |
(ii) | “– (inclusive)(exclusive)” means the period from, and including, the ED Period Start Date to, but excluding, the ED Period End Date; | |
(iii) | “– (exclusive)(inclusive)” means the period from, but excluding, the ED Period Start Date to, and including, the ED Period End Date; or | |
(iv) | “– (exclusive)(exclusive)” means the period from, but excluding, the ED Period Start Date to, but excluding, the ED Period End Date. | |
Section 5.11 | Type of Period. |
5.11.1 “Type of Period” means each of the following defined terms and, in relation to an ED Leg and/or a Pricing Group, means the Type of Period Specified or otherwise Applicable to that ED Leg:
(i) “Averaging Period” means a period from an Averaging Period Start Date to an Averaging Period End Date;
(ii) “Dividend Period” means a period from a DO Period Start Date to a DO Period End Date;
(iii) “Exercise Period” means a period from an Exercise Period Start Date to an Exercise Period End Date;
(iv) “FX Determination Period” means a period from an FX Determination Period Start Date to an FX Determination Period End Date;
(v) “Hedge Period” means a period from a Hedge Period Start Date to a Hedge Period End Date;
(vi) “Hypothetical Hedge Period” means a period from a Hypothetical Hedge Period Start Date to a Hypothetical Hedge Period End Date;
(vii) “Knock Event Period” means a period from a Knock Event Period Start Date to a Knock Event Period End Date;
(viii) “Knock Exercise Event Period” means a period from a Knock Exercise Event Period Start Date to a Knock Exercise Event Period End Date;
(ix) “Observation Period” means a period from an Observation Period Start Date to an Observation Period End Date;
(x) “OET Period” means a period from an OET Period Start Date to an OET Period End Date;
(xi) “Protected Period” means a period from a Protected Period Start Date to a Protected Period End Date; and
(xii) “Purchase Period” means a period from a Purchase Period Start Date to a Purchase Period End Date.
Section 5.12 Settlement Cycle.
5.12.1 “Settlement Cycle” means any of:
(i) a Settlement Cycle – Exchange;
(ii) a Settlement Cycle – Off Exchange; or
(iii) a Settlement Cycle – Basket or Index – Mixed,
provided that if a Settlement Cycle – Agreed is Specified, “Settlement Cycle” shall mean that Settlement Cycle – Agreed.
5.12.2 “Settlement Cycle – Exchange” means, in relation to:
(i) a Basket or an Index of which all the Components and/or ultimate Sub- Components (if any) that are Securities and/or Derivatives Contracts are traded on a Primary Securities Exchange and/or a Primary Derivatives Exchange;
(ii) a Derivatives Contract that is traded on a Primary Derivatives Exchange; or
(iii) a Security that is traded on a Primary Securities Exchange,
the period of Settlement System Business Days following a trade in the Components and ultimate Sub-Components of the Basket or Index, the Derivatives Contract or the Security, as the case may be, on the Primary Securities Exchange, in the case of a Security, or the Primary Derivatives Exchange, in the case of a Derivatives Contract, in which settlement will customarily occur according to the rules of that Exchange, such that:
(w) in relation to the Components and ultimate Sub-Components of a Basket or Index in relation to which the same Settlement System is Specified, the settlement cycle shall be the period of Settlement System Business Days following a trade in those Components and ultimate Sub- Components in which settlement would customarily occur according to any rules of or governing the Settlement System and the Primary Securities Exchange or Primary Derivatives Exchange;
(x) in relation to the Components and ultimate Sub-Components of a Basket or Index, or a Security and one or more related Derivatives Contracts, in relation to which different Settlement Systems are Specified, the settlement cycle shall be the Multi-Settlement System Settlement Cycle;
(y) in relation to a Derivatives Contract, the settlement cycle shall be the period of Settlement System Business Days following a trade in that Derivatives Contract on the Primary Derivatives Exchange in which
settlement would customarily occur according to any rules of or governing the Settlement System and the Primary Derivatives Exchange; and
(z) in relation to a Security, the settlement cycle shall be the period of Settlement System Business Days following a trade in that Security on the Primary Securities Exchange in which settlement would customarily occur according to any rules of or governing the Settlement System and the Primary Securities Exchange.
5.12.3 “Settlement Cycle – Off Exchange” means, in relation to:
(i) a Basket or Index of which none of the Components and ultimate Sub-
Components (if any) are traded on an Exchange; or
(ii) a Derivatives Contract or a Security that is not traded on an Exchange,
the period of Settlement System Business Days following a trade in the Components and ultimate Sub-Components of the Basket or Index, the Derivatives Contract or the Security, as the case may be, in which settlement will customarily occur, such that:
(w) in relation to the Components and ultimate Sub-Components of a Basket or Index that have the same Settlement System, the settlement cycle shall be the period of Settlement System Business Days following a trade in those Components and ultimate Sub-Components in which settlement under the Settlement System would customarily occur;
(x) in relation to the Components and ultimate Sub-Components of a Basket or Index that do not have the same Settlement System, or a Security and one or more related Derivatives Contracts, the settlement cycle shall be the Multi-Settlement System Settlement Cycle;
(y) in relation to a Derivatives Contract, the settlement cycle shall be the period of Settlement System Business Days following a trade in that Derivatives Contract in which settlement would customarily occur; and
(z) in relation to a Security, the settlement cycle shall be the period of Settlement System Business Days following a trade in that Security in which settlement would customarily occur.
5.12.4 “Settlement Cycle – Basket or Index – Mixed” means, in relation to a Basket or Index for which some of the Components and ultimate Sub-Components (if any) are traded on an Exchange and some of the Components and ultimate Sub- Components that are Securities and/or Derivatives Contracts are not traded on an Exchange, the settlement cycle shall be the Multi-Settlement System Settlement Cycle.
5.12.5 “Settlement Cycle – Agreed” means the Specified number of the Specified Type of Day.
5.12.6 “Multi-Settlement System Settlement Cycle” means the Specified number of the Specified Type of Day.
ARTICLE 6 TIMES
Section 6.1 Actual, Scheduled and Times.
6.1.1 “Actual” means, in relation to a circumstance and a day or time, the actual day on which, or the actual time at which, that circumstance occurs or occurred.
6.1.2 “Scheduled” means, in relation to a circumstance and a day or time:
(i) the circumstance was expected as of the Schedule Reference Date to apply to that day or time; or
(ii) after the Schedule Reference Date the circumstance becomes expected to apply to that day or time by reason of a Change of Schedule,
but shall not include a circumstance that was expected to apply to that day or time as at the Schedule Reference Date or pursuant to Sub-section (ii) above but that ceases to apply to that date or time by reason of a Change of Schedule.
6.1.3 “Scheduled (no Change of Schedule)” and “Scheduled (no CoS)” mean, in relation to a circumstance and a day or time, the circumstance was expected as of the Schedule Reference Date to apply to that day or time, whether or not that circumstance subsequently ceases to be expected to apply and disregarding any circumstance that becomes expected to apply to that day or time by reason of a Change of Schedule after the Schedule Reference Date.
6.1.4 “Change of Schedule” and “CoS” mean, in relation to a circumstance that was (or was not, as the case may be) expected as of the Schedule Reference Date to apply to a type of and/or a specific day or time, a change, other than as a result of a Pricing Disruption Event or a Settlement Disruption Event, in the expected application of that circumstance to that type of and/or specific day or time (including a change of open or closed days or business hours) on a routine, permanent, ongoing basis and/or in relation to one or more such days or times, that occurs on or before the CoS Cut-off Date.
6.1.5 “Schedule Reference Date” means, in relation to a Scheduled or Scheduled (no CoS) date or time, the date Specified.
6.1.6 “Change of Schedule Cut-off Date” and “CoS Cut-off Date” mean, in relation to a Change of Schedule and a Type of Date, the Specified number of Eligible Days prior to the date of the circumstance that was or was not expected at the Schedule Reference Date to apply.
6.1.7 Times. References to times shall be construed as follows:
(i) all references to times shall, unless otherwise Specified, be to local times in the location Specified or that is relevant to that time (such as (a) the location of an Exchange or Clearance System where reference is made to it being open or closed, (b) the Notice City where a Type of Notice is to be delivered or (c) the relevant place where action is required to be taken);
(ii) any reference to a specific time in two or more places (such as a closing time for more than one Exchange or a Specified time for two cities) shall be construed as a reference to two or more separate times where those places are not in the same time zone; and
(iii) references requiring events to occur and/or continue at the same type of time or during the same type of time period in different places or contexts shall be treated as satisfied if those events occur and/or continue at the time or during the time period related to the relevant place or context (e.g. an Exchange fails to open at the Scheduled Open – Regular relevant to that Exchange), but those events need not occur at or during a time or time period that is not related to the relevant place or context (e.g. that Exchange need not fail to open at the Scheduled Open
– Regular for a different Exchange).
Section 6.2 General Times.
6.2.1 “Close – Extended Hours” means, in relation to an Exchange or Clearance System and a day on which it is open, the closing time of that Exchange or Clearance System on that day (with regard to any after hours trading on that Exchange or after hours settlement through that Clearance System outside of the regular trading session times or regular clearing times).
6.2.2 “Close – Regular” means, in relation to an Exchange or Clearance System and a day on which it is open, the closing time of that Exchange or Clearance System on that day (without regard to any after hours trading on that Exchange or after hours settlement through that Clearance System outside of the regular trading session times or regular clearing times).
6.2.3 “Open – Extended Hours” means, in relation to an Exchange or Clearance System and a day on which it is open, the opening time of that Exchange or Clearance System on that day (with regard to any pre-open trading on that Exchange or pre-open settlement through that Clearance System outside of the regular trading session times or regular clearing times).
6.2.4 “Open – Regular” means, in relation to an Exchange or Clearance System and a day on which it is open, the opening time of that Exchange or Clearance System on that day (without regard to any pre-open trading on that Exchange or pre-open settlement through that Clearance System outside of the regular trading session times or regular clearing times).
Section 6.3 Time Election.
6.3.1 “Time Election” means, in relation to a time on any Type of Date, each of the following terms, as Specified:
(i) a Standard Time; or
(ii) if preceded by:
(a) a “[Time Duration] post –” as a prefix, in relation to a Standard Time, the time falling the Specified Time Duration after that Standard Time; or
(b) a “[Time Duration] pre –” as a prefix, in relation to a Standard Time, the time falling the Specified Time Duration before that Standard Time.
6.3.2 “Standard Time” means each of the following defined terms:
(i) “ACTE” means the Actual Close – Extended Hours.
(ii) “ACTR” means the Actual Close – Regular.
(iii) “AOTE” means the Actual Open – Extended Hours.
(iv) “AOTR” means the Actual Open – Regular.
(v) “Closing Auction Order Cut-off Time” and “CAOCT” mean, in relation to a Primary Securities Exchange and a day on which a closing auction takes place, the time by which regular-way orders or trades for that closing auction must be submitted to that Primary Securities Exchange on that day.
(vi) “Closing Auction Start Time” and “CAST” mean, in relation to a Primary Securities Exchange and a day on which a closing auction takes place, the time at which that closing auction starts on that day.
(vii) “Closing Auction Publication Time” and “CAPT” mean, in relation to a Primary Securities Exchange and a Closing Auction Price – Security relating to a closing auction, the time at which that Primary Securities Exchange publishes or makes available that Closing Auction Price – Security.
(viii) “Derivatives Contract Earliest Exercise Time” and “DCT EET” mean, in relation to an Exercise Derivatives Contract that is an option, the earliest time at which that Exercise Derivatives Contract can be exercised under the rules of any Primary Derivatives Exchange for that Exercise Derivatives Contract.
(ix) “Derivatives Contract Latest Exercise Time” and “DCT LET” mean, in relation to an Exercise Derivatives Contract that is an option, the latest time at which that Exercise Derivatives Contract can be exercised under the rules of any Primary Derivatives Exchange for that Exercise Derivatives Contract.
(x) “Official Daily Traded Price Publication Time” and “ODTPPT” mean, in relation to an exchange traded Derivatives Contract, the time at which the official settlement price (howsoever described under the rules of the Primary Derivatives Exchange) for the settlement of trades in that Derivatives Contract on the Primary Derivatives Exchange is published by that Primary Derivatives Exchange or its Clearance System.
(xi) “Opening Auction Order Cut-off Time” and “OAOCT” mean, in relation to a Primary Securities Exchange and a day on which an opening auction takes place, the time by which regular-way orders or trades for that opening auction must be submitted to that Primary Securities Exchange on that day.
(xii) “Opening Auction Publication Time” and “OAPT” mean, in relation to a Primary Securities Exchange and an Opening Auction Price – Security relating to an opening auction, the time at which that Primary Securities Exchange publishes or makes available that Opening Auction Price – Security.
(xiii) “Opening Auction Start Time” and “OAST” mean, in relation to a Primary Securities Exchange and a day on which an opening auction takes place, the time at which that opening auction starts on that day.
(xiv) “Publication Time” means, in relation to a Type of Value and a Value Source, the time at which the Value Source publishes or makes available that Type of Value.
(xv) “SCTR” means the Scheduled Close – Regular.
(xvi) “SOTR” means the Scheduled Open – Regular.
(xvii) “[Time]” means the time Specified in the city Specified.
6.3.3 “Time Duration” means a length of time, expressed in hours and/or minutes.
Section 6.4 Time Period Election.
6.4.1 “Time Period Election” means each of the following terms:
(i) “Fixed Period” means (a) the Specified number of the Specified Type of Day and/or (b) the Specified Time Duration.
(ii) “[Time I] – [Time II]” means, in relation to a day, the period starting at the Specified time (“Time I”) and ending at the subsequent Specified time (“Time II”) on the same day.
(iii) “[Time Election I] – [Time Election II]” means, in relation to a day, the period starting at the Specified Time Election (“Time Election I”) and ending at the subsequent Specified Time Election (“Time Election II”) on the same day.
(iv) “[Date I] – [Date II]” means the period starting on the Specified Type of Date (“Date I”) and ending on the subsequent Specified Type of Date (“Date II”) and, when followed by one of the suffixes set out in Section 5.10.1 (Period Election), references in Section 5.10.1 (Period Election) to ED Period Start Date and ED Period End Date shall be construed as references to Date I and Date II, respectively.
(v) “[Time I, Date I] – [Time II, Date II]” means the period starting at the Specified time (“Time I”) on the Specified Type of Date (“Date I”) and ending at the Specified time (“Time II”) on the subsequent Specified Type of Date (“Date II”).
(vi) “[Type of Period]” means the Type of Period Specified.
(vii) A Daily Exercise Period.
(viii) “Entire Day” means, in relation to a day, the period starting at 12:00 a.m. and ending at, but excluding, 12:00 a.m. on the next day.
(ix) “Hedge Execution – Intra Day” means, in relation to a Pricing Date, such time period in which the Hedging Party effects an HP Trade during Trading Hours for each Exchange that relates to a Hedge Position on that Pricing Date.
(x) “Hedge Execution – [number of Pricing Days]” means such time period in which the Hedging Party effects an HP Trade during Trading Hours for each Exchange that relates to a Hedge Position that commences on the related Pricing Date and ends no later than the expiry of the Specified number of Pricing Days after that related Pricing Date.
(xi) “Hedge Execution – Unlimited” means such time period in which the Hedging Party effects an HP Trade during Trading Hours for each Exchange that relates to a Hedge Position that commences on the related Pricing Date, whether or not it ends on a subsequent day.
(xii) “Hypothetical Broker Dealer Execution – Intra Day” means such time period in which a Hypothetical Broker Dealer would have been able (as determined by the HHP Determining Party) to effect an HP Trade during Trading Hours for each Exchange that relates to a Hypothetical Hedge Position on the related Pricing Date.
(xiii) “Hypothetical Broker Dealer Execution – [number of Pricing Days]” means such time period in which a Hypothetical Broker Dealer would have been able (as determined by the HHP Determining Party) to effect an HP Trade during Trading Hours for each Exchange that relates to a Hypothetical Hedge Position that commences on the related Pricing Date and ends no later than the expiry of the Specified number of Pricing Days after that related Pricing Date.
(xiv) “Hypothetical Broker Dealer Execution – Unlimited” means such time period in which a Hypothetical Broker Dealer would have been able (as determined by the HHP Determining Party) to effect an HP Trade, whether or not it ends on a subsequent day, during Trading Hours for each Exchange that relates to a Hypothetical Hedge Position that commences on the related Pricing Date.
(xv) “Trading Hours – Extended Hours” means, in relation to an Exchange and a day, the hours that the Exchange is open for trading (with regard to pre-open or after hours trading on that Exchange outside of the regular trading session) during that day.
(xvi) “Trading Hours – Regular” means, in relation to an Exchange and a day, the hours that the Exchange is open for trading (without regard to pre-open or after hours trading on that Exchange outside of the regular trading session) during that day.
6.4.2 Time Period Election Suffixes.
(i) “– Extended Hours” means, if used as a suffix to any Time Period Election which refers to Trading Hours, that each reference to Trading Hours in that Time Period Election shall mean, in relation to an Exchange and a day, the hours that the Exchange is open for trading
(with regard to pre-open or after hours trading on that Exchange outside of the regular trading session) during that day.
(ii) “– Regular” means, if used as a suffix to any Time Period Election which refers to Trading Hours, that each reference to Trading Hours in that Time Period Election shall mean, in relation to an Exchange and a day, the hours that the Exchange is open for trading (without regard to pre-open or after hours trading on that Exchange outside of the regular trading session) during that day.
(iii) “– [Time I] – [Time II]” means, if used as a suffix to any Time Period Election, that such Time Period Election shall be construed as referring only to the period starting at a Specified time (“Time I”) and ending at a subsequent Specified time (“Time II”) on each day constituting the period described in the definition of that Time Period Election.
(iv) “– [Time Election I] – [Time Election II]” means, if used as a suffix to any Time Period Election, that such Time Period Election shall be construed as referring only to the period starting at a Specified Time Election (“Time Election I”) and ending at a subsequent Specified Time Election (“Time Election II”) on each day constituting the period described in the definition of that Time Period Election.
(v) “– Intra Day – [Time Period Election]” means, if used as a suffix to any Time Period Election, that such Time Period Election shall be construed as referring only to the Specified type of intra-day Time Period Election on each day constituting the period described in the definition of that Time Period Election in relation to which the suffix is Specified.
(vi) “– Daily Exercise Period” means, if used as a suffix to any Time Period Election, that such Time Period Election shall be construed as referring only to the relevant Daily Exercise Period on each day constituting the period described in the definition of that Time Period Election.
(vii) “– Trading Hours – Extended Hours” means, if used as a suffix to any Time Period Election, in relation to an Exchange and a day, that such Time Period Election shall be construed as relating only to the hours that the Exchange is open for trading (with regard to pre-open or after hours trading on that Exchange outside of the regular trading session) during each day constituting the period described in the definition of that Time Period Election.
(viii) “– Trading Hours – Regular” means, if used as a suffix to any Time Period Election, in relation to an Exchange and a day, that such Time Period Election shall be construed as relating only to the hours that the Exchange is open for trading (without regard to pre-open or after hours trading on that Exchange outside of the regular trading session) during each day constituting the period described in the definition of that Time Period Election.
6.4.3 “Trading Hours” means, if neither “– Extended Hours” nor “– Regular” is Specified as a suffix in relation to any Time Period Election that refers to Trading Hours, that the suffix “– Regular” shall be deemed to be Specified.
Section 6.5 General Terms relating to Time Periods.
6.5.1 “Daily Observation Time Period” means, in relation to an ED Leg, the time period determined in accordance with the relevant Time Period Election Specified for Daily Observation Time Period.
ARTICLE 7
GENERAL TERMS RELATING TO ED TRANSACTIONS
Section 7.1 FX Provisions.
7.1.1 “FX Rate” means, in relation to an FX Determination Date, the currency exchange rate for any Value to be converted from one currency of a Currency Pair into the other currency of the Currency Pair as of such FX Determination Date. An FX Rate may be:
(i) an Agreed FX Rate;
(ii) a Calculation Agent Determination FX Rate;
(iii) a Hedge Execution FX Rate;
(iv) a Hypothetical FX Rate;
(v) an FX Definitions Rate; or
(vi) a Price Source FX Rate,
and, in the case of Sub-sections (v) and (vi) above, subject to the occurrence of an FX Price Source Disruption.
7.1.2 “FX Definitions Rate” means an FX Rate equal to the Spot Rate determined using the Settlement Rate Option Specified on the basis that the Rate Calculation Date is the FX Determination Date, as determined by the Calculation Agent, where “Settlement Rate Option”, “Spot Rate” and “Rate Calculation Date” have the meanings assigned to them in the FX Definitions Book (or have the equivalent meanings given to any successor terms in the FX Definitions Book).
7.1.3 “FX Definitions Book” means the document Specified.
7.1.4 “Currency Pair” means, in relation to a Value to be determined in a particular currency by applying a currency exchange rate, the two currencies in relation to that currency exchange rate.
7.1.5 “Calculation Agent Determination FX Rate” means an FX Rate determined by the Calculation Agent.
7.1.6 “Agreed FX Rate” means a fixed FX Rate Specified.
7.1.7 “FX Price Source FX Rate” means each of an FX Definitions Rate and a Price Source FX Rate.
7.1.8 “Hedge Execution FX Rate” means an FX Rate (whether determined directly or through cross rates and including on a weighted arithmetic mean basis) actually obtained by the Hedging Party for converting:
(i) amounts to be used for any HP Establishment (whether in whole or in part) of; or
(ii) the proceeds of any HP Close-out (whether in whole or in part) of,
any relevant Hedge Positions (or any amounts in connection with any relevant Hedge Positions) over a period of time that is within any Applicable Pricing
Period or as soon as commercially practicable following any such Pricing Period. If no such FX Rate is obtained by the Hedging Party or if there is no Hedging Party, “Hedge Execution FX Rate” means the Calculation Agent Determination FX Rate.
7.1.9 “Hypothetical FX Rate” means an FX Rate (whether determined directly or through cross rates and including on a weighted arithmetic mean basis) determined by the HHP Determining Party that a Hypothetical Broker Dealer would obtain for converting:
(i) amounts to be used for any HP Establishment of; or
(ii) the proceeds of any HP Close-out of,
any relevant Hypothetical Hedge Positions (or any amounts in connection with any relevant Hypothetical Hedge Positions) over a period of time that is within any Applicable Pricing Period or as soon as commercially practicable following any such Pricing Period.
7.1.10 “Local Currency” means, in relation to an ED Leg, the currency Specified and, in relation to an ED Transaction, the currency Specified in relation to that ED Transaction and/or each Specified Local Currency in relation to an ED Leg of that ED Transaction.
7.1.11 “Price Source FX Rate” means an FX Rate as determined by any Specified price source (or any successor source, as Applicable) or Specified methodology, including a method for determining a currency exchange rate or cross rate based on two or more currency exchange rates.
7.1.12 “Reference Currency” means, in relation to an ED Leg, the Local Currency and each currency Specified, and in relation to an ED Transaction, the Local Currency and each currency Specified in relation to that ED Transaction and/or each Specified Reference Currency in relation to an ED Leg of that ED Transaction.
7.1.13 “Settlement Currency” means, in relation to an ED Transaction, the currency Specified.
Section 7.2 Certain Published and Displayed Sources relating to FX Price Source FX Rates.
7.2.1 Multiple Price Sources. If the FX Rate referred to in an FX Price Source FX Rate is published or announced by more than one price source and the price source referred to in that FX Price Source FX Rate fails to publish or announce that currency exchange rate on the FX Determination Date (or, if different, the day on which rates for that date would, in the ordinary course, be published or announced by that price source), then the FX Rate for that FX Determination Date will be determined by the Calculation Agent as if the Parties had Specified any other available price source that actually publishes or announces that currency exchange rate on that FX Determination Date (or, if different, the day on which rates for that date would, in the ordinary course, be published or announced by the relevant price source) as the Applicable FX Price Source FX Rate.
7.2.2 Official Successor FX Rate. If the FX Rate referred to in the Applicable FX Price Source FX Rate is reported, sanctioned, recognized, published, announced
or adopted (or other similar action is taken) by the relevant Governmental Authority, and that currency exchange rate ceases to exist and is replaced by a successor FX Rate that is reported, sanctioned, recognized, published, announced or adopted (or other similar action is taken) by that Governmental Authority (the “Official Successor FX Rate”), then the FX Rate for the relevant FX Determination Date will be determined by the Calculation Agent as if the Parties had Specified any available price source that publishes or announces the Official Successor FX Rate (including an official publication of that Governmental Authority) on that FX Determination Date (or, if different, the day on which rates for that date would, in the ordinary course, be published or announced by the relevant price source) as the Applicable FX Price Source FX Rate.
7.2.3 “Governmental Authority” means, in relation to a Currency Pair, any de facto or de jure government (or any agency or instrumentality thereof), court, tribunal, administrative or other governmental authority or any other person (private or public) charged with the regulation of the financial markets (including the central bank) of the jurisdiction of either of the currencies forming that Currency Pair.
Section 7.3 Averaging.
7.3.1 Averaging. In relation to an ED Leg and/or a Pricing Group, if Averaging is Specified as a Feature, the Calculation Agent shall determine the Price of the ED Leg Underlier in relation to each Averaging Date. Unless otherwise Specified, the Price of the ED Leg Underlier in relation to each Price Determination Date relating to a series of Averaging Dates (which may be a different Price from the Price of the ED Leg Underlier in relation to the final Averaging Date of a series if it falls on the same day as the Price Determination Date) shall be the arithmetic mean of the Prices of the ED Leg Underlier in relation to each Averaging Date in the series. If, in relation to an Averaging Period or series of Averaging Dates, “– (Weighted Mean)” is Specified as a suffix, the arithmetic mean of the Prices of the relevant ED Leg Underlier in relation to each Averaging Date in that series or Averaging Period shall be determined in accordance with the Weighted Mean Methodology.
7.3.2 “Weighted Mean Methodology” means a formula or methodology for determining a weighted arithmetic mean and, in relation to a calculation, the Weighted Mean Methodology Specified.
Section 7.4 Depositary Fee Pass-through.
7.4.1 Depositary Fee Pass-through Obligation. If, in relation to an ED Leg for which a Depositary Receipt is an ED Leg Underlier, Depositary Fee Pass-through is Specified, then, upon or following the announcement by the Depositary, or the occurrence, of a Depositary Fee:
(i) the related EO Party may give notice (which shall be given promptly after that announcement or occurrence) to the other Party of the amount of that Depositary Fee and the relevant record date and payment date set by the Depositary; and
(ii) that other Party shall, no later than the relevant assessment date set by the Depositary or, if later, one Currency Business Day (Depositary Fee currency) following the Effective date of that notice, pay that EO Party
an amount equal to the product of (a) the Depositary Fee, (b) the number of Securities that are Depositary Receipts and (c) the Depositary Fee Pass-through Factor.
7.4.2 “Depositary Fee” means, in relation to an ED Leg for which a Depositary Receipt is an ED Leg Underlier, any fee or charge (expressed as a fee or charge per Depositary Receipt) assessed by the Depositary against holders of that Depositary Receipt as of a record date set by the Depositary and occurring on or after the Leg Effective Date and on or prior to the final EO Settlement Date for that ED Leg, with a relevant payment date of such fee or charge set by the Depositary no later than the date occurring one calendar year following that EO Settlement Date, but shall not include any such fee or charge that is:
(i) deducted from one or more payments in relation to cash dividends or cash distributions on that Depositary Receipt as a result of Dividend Costs being Specified in relation to a Relevant Dividend and a Relevant Dividend Quantum Methodology; and/or
(ii) otherwise deducted in relation to a related ED Transaction Settlement Amount such that payment of the Depositary Fee would result, in the determination of the Calculation Agent, in double counting of such fee or charge.
7.4.3 “Depositary Fee Pass-through Factor” means 100 per cent. or such other percentage that is Specified.
ARTICLE 8 PRICES AND VALUES
Section 8.1 Price and Pricing Election.
8.1.1 “Price” means, in relation to an ED Leg and a Pricing Date, the Value determined for the Type of Price Specified in accordance with each Applicable Pricing Election.
8.1.2 “Pricing Election” means each of the defined terms set out in the Appendix or as otherwise Specified, each of which shall identify a Pricing Time or Pricing Period, Type of Value, Value Source and Valuer.
8.1.3 “Conditional Pricing Election” means each of the defined terms set out in the Appendix or as otherwise Specified, each of which shall identify a Type of Value Condition and an Applicable Pricing Election.
Section 8.2 Type of Price.
8.2.1 “Type of Price” means each of the following defined terms and, if a Pricing Election is Specified in relation to a Type of Price, that Type of Price determined in accordance with that Pricing Election.
(i) “Alternative Observed Price” means, in relation to an ED Leg, each Value Specified.
(ii) “Automatic Exercise Price” and “AE Price” mean, in relation to an ED Leg and an AE Date, the Value Specified in relation to that AE Date.
(iii) “Averaging Price” means, in relation to an ED Leg, each Value Specified.
(iv) “Barrier Price” means, in relation to an ED Leg, each Value Specified.
(v) “Cap Price” means, in relation to an ED Leg, each Value Specified.
(vi) “Conditional Cap Price” means, in relation to an ED Leg, each Value Specified.
(vii) “Conditional Floor Price” means, in relation to an ED Leg, each Value Specified.
(viii) “Equity Reference Price” means, in relation to:
(a) an Option Leg, each Strike Price; or
(b) a Swap Leg or a Forward Leg, each Initial Price.
(ix) “Final Price” means, in relation to an ED Leg, each Value Specified.
(x) “Floor Price” means, in relation to an ED Leg, each Value Specified.
(xi) “Forward Price” means, in relation to an ED Leg, each Value Specified.
(xii) “Initial Price” means, in relation to an ED Leg, each Value Specified.
(xiii) “Interim Price” means, in relation to an ED Leg, each Value Specified.
(xiv) “Knock-in Event Price” means, in relation to an ED Leg, each Value Specified.
(xv) “Knock-out Event Price” means, in relation to an ED Leg, each Value Specified.
(xvi) “Knock-in of Exercise Event Price” means, in relation to an ED Leg, each Value Specified.
(xvii) “Knock-out of Exercise Event Price” means, in relation to an ED Leg, each Value Specified.
(xviii) “Lock-in Observed Price” means, in relation to an ED Leg, each Value Specified.
(xix) “Lock-out Observed Price” means, in relation to an ED Leg, each Value Specified.
(xx) “Observation Price” means, in relation to an ED Leg, each Value Specified.
(xxi) “Settlement Price” means, in relation to an ED Leg, each Value Specified.
(xxii) “Strike Price” means, in relation to an ED Leg, each Value Specified.
8.2.2 “Determination Type of Price” means the Type of Price Specified, and in relation to a Price Determination Date, the Specified Type of Price determined in relation to that Price Determination Date.
Section 8.3 Pricing Time or Period.
8.3.1 “Pricing Time” and “Pricing Period” mean, in relation to a Pricing Election, either the Time Election or Time Period Election that is Specified as:
(i) the Pricing Time or Period;
(ii) the Pricing Time; or
(iii) the Pricing Period,
as the case may be, depending upon whether the Pricing Election provides for the Price to be determined as of a time or by reference to a period and taking Section 6.1 (Actual, Scheduled and Times) into account.
8.3.2 “Pricing Time or Period” means each of the terms Specified in the Appendix or otherwise Specified and, in relation to an ED Leg, means the Pricing Time or Period Specified.
Section 8.4 Type of Value.
8.4.1 “Type of Value” means each of the following defined terms and, in relation to a Pricing Election, means the Type of Value Specified:
(i) “Agreed Price” means, in relation to a Price, the Value Specified.
(ii) “Basket Price – Basic” means, in relation to the Price of any Basket, the Value of the Basket determined by the Valuer by taking into account:
(a) the Basket Composition; and
(b) the Price of each Basket Component, as of the Pricing Time on the relevant Component – Pricing Date.
(iii) “Calculation Agent Price Determination” means, in relation to a Price, the Value determined by the Calculation Agent as such taking into consideration any relevant information it determines appropriate to determine that Price.
(iv) “Closing Auction Price – Security” means, in relation to the price of a Security, the auction settlement price (howsoever described under the rules of the Primary Securities Exchange) published as of the Pricing Time by the Primary Securities Exchange for the closing auction relating to that Security held by that Primary Securities Exchange.
(v) “Daily Observed Price” means, in relation to the Price of any ED Leg Underlier and a Pricing Date, the Value determined in accordance with the Daily Observation Price Criterion Specified by reference to the Daily Observation Time Period and the Pricing Election for which the Pricing Time shall be any time during the Daily Observation Time Period Specified.
(vi) “Derivatives Contract Exchange Exercise Price” and “DCT Exchange Exercise Price” mean, in relation to the price of an Exercise Derivatives Contract that is an option contract, the price at which the Primary Derivatives Exchange Specified for that Exercise Derivatives Contract would automatically exercise that Exercise Derivatives Contract under the rules of that Primary Derivatives Exchange.
(vii) “Hedge Execution – Basket – All” means, in relation to the Price of any Basket, the Value of the Basket determined by the Hedging Party, taking into account the Basket Composition, which shall be based on the Value per Component, Sub-Component, Relevant Derivatives Contract and/or, in relation to a Component or Sub-Component that is a Derivatives Contract, Derivatives Contract Underlier achieved or realized by the Hedging Party, in effecting HP Trades (if any) in those Components, Sub-Components, Relevant Derivatives Contracts and/or Derivatives Contract Underliers during the Pricing Period and, to the extent that none or not all of those HP Trades are effected, on the basis of Calculation Agent Price Determination.
(viii) “Hedge Execution – Basket – Components” means, in relation to the Price of any Basket, the Value of the Basket determined by the Hedging Party, taking into account the Basket Composition, which shall be based on the Value per Component and/or Sub-Component achieved or realized by the Hedging Party in effecting HP Trades (if any) in those Components and/or Sub-Components during the Pricing Period and, to the extent that none or not all of those HP Trades are effected, on the basis of Calculation Agent Price Determination.
(ix) “Hedge Execution – Basket – Security” means, in relation to the Price of any Basket, the Value of the Basket determined by the Hedging Party, taking into account the Basket Composition, which shall be based on the Value per Security achieved or realized by the Hedging Party in
effecting HP Trades (if any) in the Securities constituting the Basket during the Pricing Period and, to the extent that none or not all of those HP Trades are effected, on the basis of Calculation Agent Price Determination.
(x) “Hedge Execution – Basket – Relevant Derivatives Contract” means, in relation to the Price of any Basket, the Value of the Basket determined by the Hedging Party, taking into account the Basket Composition, which shall be based on the Value per Relevant Derivatives Contract achieved or realized by the Hedging Party in effecting HP Trades (if any) in those Relevant Derivatives Contracts during the Pricing Period and, to the extent that none or not all of those HP Trades are effected, on the basis of Calculation Agent Price Determination.
(xi) “Hedge Execution – Index – All” means, in relation to the Price of any Index, the Value of the Index determined by the Hedging Party in accordance with the Index Composition Determination Methodology, which shall be based on the Value per Component, Sub-Component, Relevant Derivatives Contract and/or, in relation to a Component or Sub-Component that is a Derivatives Contract, Derivatives Contract Underlier achieved or realized by the Hedging Party in effecting HP Trades (if any) in those Components, Sub-Components, Relevant Derivatives Contracts and/or Derivatives Contract Underliers during the Pricing Period and, to the extent that none or not all of those HP Trades are effected, on the basis of Calculation Agent Price Determination.
(xii) “Hedge Execution – Index – Components” means, in relation to the Price of any Index, the Value of the Index determined by the Hedging Party in accordance with the Index Composition Determination Methodology, which shall be based on the Value per Component and/or Sub-Component achieved or realized by the Hedging Party, in effecting HP Trades (if any) in those Components and/or Sub-Components during the Pricing Period and, to the extent that none or not all of those HP Trades are effected, on the basis of Calculation Agent Price Determination.
(xiii) “Hedge Execution – Index – Relevant Derivatives Contract” means, in relation to the Price of any Index, the Value of the Index determined by the Hedging Party in accordance with the Index Composition Determination Methodology, which shall be based on the Value per Relevant Derivatives Contract achieved or realized by the Hedging Party in effecting HP Trades (if any) in those Relevant Derivatives Contracts during the Pricing Period and, to the extent that none or not all of those HP Trades are effected, on the basis of Calculation Agent Price Determination.
(xiv) “Hedge Execution – Security” means, in relation to the Price of any Security, the Value per Security determined by the Hedging Party, which shall be equal to the Value per Security achieved or realized by the Hedging Party in effecting HP Trades (if any) in those Securities during the Pricing Period and, to the extent that none or not all of those HP
Trades are effected, on the basis of Calculation Agent Price Determination.
(xv) “Hedge Execution – Security – All” means, in relation to the Price of any Security, the Value per Security determined by the Hedging Party, which shall be based on the Value per Security and/or Relevant Derivatives Contract achieved or realized by the Hedging Party in effecting HP Trades (if any) in those Securities and/or Relevant Derivatives Contracts during the Pricing Period and, to the extent that none or not all of those HP Trades are effected, on the basis of Calculation Agent Price Determination.
(xvi) “Hedge Execution – Security – Relevant Derivatives Contract” means, in relation to the Price of any Security, the Value per Security determined by the Hedging Party, which shall be based on the Value per Relevant Derivatives Contract achieved or realized by the Hedging Party in effecting HP Trades (if any) in Relevant Derivatives Contracts during the Pricing Period and, to the extent that none or not all of the HP Trades are effected, on the basis of Calculation Agent Price Determination.
(xvii) “Hypothetical Broker Dealer – Basket – All” means, in relation to the Price of any Basket, the Value of the Basket determined by the Valuer taking into account the Basket Composition, which shall be based on the Value per Component, Sub-Component, Relevant Derivatives Contract and/or, in relation to a Component or Sub-Component that is a Derivatives Contract, Derivatives Contract Underlier that the Valuer determines the Hypothetical Broker Dealer would have achieved or realized in effecting HP Trades in those Components, Sub-Components, Relevant Derivatives Contracts and/or Derivatives Contract Underliers during the Pricing Period.
(xviii) “Hypothetical Broker Dealer – Basket – Components” means, in relation to the Price of any Basket, the Value of the Basket determined by the Valuer taking into account the Basket Composition, which shall be based on the Value per Component and/or Sub-Component that the Valuer determines the Hypothetical Broker Dealer would have achieved or realized in effecting HP Trades in those Components and/or Sub- Components during the Pricing Period.
(xix) “Hypothetical Broker Dealer – Basket – Relevant Derivatives Contract” means, in relation to the Price of any Basket, the Value of the Basket determined by the Valuer taking into account the Basket Composition, which shall be based on the Value per Relevant Derivatives Contract that the Valuer determines the Hypothetical Broker Dealer would have achieved or realized in effecting HP Trades in those Relevant Derivatives Contracts during the Pricing Period.
(xx) “Hypothetical Broker Dealer – Basket – Security” means, in relation to the Price of any Basket, the Value of the Basket determined by the Valuer taking into account the Basket Composition, which shall be based on the Value per Security that the Valuer determines the Hypothetical
Broker Dealer would have achieved or realized in effecting HP Trades in the Securities constituting the Basket during the Pricing Period.
(xxi) “Hypothetical Broker Dealer – Index – All” means, in relation to the Price of any Index, the Value of the Index determined by the Valuer in accordance with the Index Composition Determination Methodology, which shall be based on the Value per Component, Sub-Component, Relevant Derivatives Contract and/or, in relation to a Component or Sub-Component that is a Derivatives Contract, Derivatives Contract Underlier that the Valuer determines the Hypothetical Broker Dealer would have achieved or realized in effecting HP Trades in those Components, Sub-Components, Relevant Derivatives Contracts and/or Derivatives Contract Underliers during the Pricing Period.
(xxii) “Hypothetical Broker Dealer – Index – Components” means, in relation to the Price of any Index, the Value of the Index determined by the Valuer in accordance with the Index Composition Determination Methodology, which shall be based on the Value per Component and/or Sub-Component that the Valuer determines the Hypothetical Broker Dealer would have achieved or realized in effecting HP Trades in those Components and/or Sub-Components during the Pricing Period.
(xxiii) “Hypothetical Broker Dealer – Index – Relevant Derivatives Contract” means, in relation to the Price of any Index, the Value of the Index determined by the Valuer in accordance with the Index Composition Determination Methodology, which shall be based on the Value per Relevant Derivatives Contract that the Valuer determines the Hypothetical Broker Dealer would have achieved or realized in effecting HP Trades in those Relevant Derivatives Contracts during the Pricing Period.
(xxiv) “Hypothetical Broker Dealer – Security” means, in relation to the Price of any Security, the Value per Security determined by the Valuer, which shall be equal to the Value per Security that the Valuer determines the Hypothetical Broker Dealer would have achieved or realized in effecting HP Trades in the Security during the Pricing Period.
(xxv) “Hypothetical Broker Dealer – Security – All” means, in relation to the Price of any Security, the Value per Security determined by the Valuer, which shall be equal to the Value per Security and/or Relevant Derivatives Contract that the Valuer determines the Hypothetical Broker Dealer would have achieved or realized in effecting HP Trades in the Security and/or Relevant Derivatives Contracts during the Pricing Period.
(xxvi) “Hypothetical Broker Dealer – Security – Relevant Derivatives Contract” means, in relation to the Price of any Security, the Value per Security determined by the Valuer, which shall be based on the Value per Relevant Derivatives Contract that the Valuer determines that the Hypothetical Broker Dealer would have achieved or realized in effecting HP Trades in those Relevant Derivatives Contracts during the Pricing Period.
(xxvii) “Index Price – All” means, in relation to the Price of any Index, the Value of the Index determined by the Valuer in accordance with the Index Composition Determination Methodology by taking into account the Price of each Component and/or Relevant Derivatives Contract as of the Pricing Time on the relevant Pricing Date.
(xxviii) “Index Price – Component” means, in relation to the Price of any Index, the Value of the Index determined by the Valuer in accordance with the Index Composition Determination Methodology by taking into account the Price of each Component, as of the Pricing Time on the relevant Pricing Date.
(xxix) “Index Price – Relevant Derivatives Contract” means, in relation to the Price of any Index, the Value of the Index determined by the Valuer in accordance with the Index Composition Determination Methodology by taking into account the Price of each Relevant Derivatives Contract as of the Pricing Time on the relevant Pricing Date.
(xxx) “Official Settlement Price – Derivatives Contract” means, in relation to the Price of any Derivatives Contract, the official settlement price (howsoever described under the rules of the Primary Derivatives Exchange) of the Derivatives Contract published by the Value Source as of the related Pricing Time as determined by the Valuer.
(xxxi) “Official Value” means, in relation to the Price of any Security or Index, the official Value of that Security or Index as of the related Pricing Time published by the Value Source as determined by the Valuer.
(xxxii) “Opening Auction Price – Security” means, in relation to the Price of any Security, the auction settlement price (howsoever described under the rules of the Primary Securities Exchange) published as of the Pricing Time by the Primary Securities Exchange for the opening auction relating to that Security held by that Primary Securities Exchange.
(xxxiii) “Prior Price – Pricing Date – No Disruption” means, in relation to the Price of any ED Leg Underlier or Derivatives Contract on a Pricing Date, the Price of that ED Leg Underlier or Derivatives Contract as of the related Pricing Time on the immediately preceding Pricing Date that is not a Pricing Disruption Day or, if there is no such preceding Pricing Date, the Leg Effective Date, as published by the Value Source as determined by the Valuer.
(xxxiv) “Prior Price – Pricing Day – No Disruption” means, in relation to the Price of any ED Leg Underlier or Derivatives Contract on a Pricing Date, the Price of that ED Leg Underlier or Derivatives Contract as of the related Pricing Time on the immediately preceding Pricing Day that is not a Pricing Disruption Day, as published by the Value Source as determined by the Valuer.
(xxxv) “Prior Price – Time” means, in relation to the Price of any ED Leg Underlier or Derivatives Contract on a Pricing Date that is a Pricing Disruption Day due to the occurrence of a Pricing Disruption Event in relation to that ED Leg Underlier or Derivatives Contract, the Price of
that ED Leg Underlier or Derivatives Contract as of the time immediately prior to the occurrence of the related Pricing Disruption Event.
(xxxvi) “Prior Price – Pricing Date – Whether Or Not Disrupted” means, in relation to the Price of any ED Leg Underlier or Derivatives Contract on a Pricing Date, the Price of that ED Leg Underlier or Derivatives Contract as of the related Pricing Time on the immediately preceding Pricing Date or, if there is no such preceding Pricing Date, the Leg Effective Date, whether or not that date is a Pricing Disruption Day, as published by the Value Source as determined by the Valuer.
(xxxvii) “Traded Price – Derivatives Contract” means, in relation to the Price of any Derivatives Contract, the settlement price (howsoever described under the rules of the Primary Derivatives Exchange Specified) for the settlement of trades in the Relevant Derivatives Contract as of the related Pricing Time, as published by the Value Source as determined by the Valuer.
(xxxviii) “Volume Weighted Average Price – Composite” and “VWAP – Composite” mean, in relation to the Price of any Security, the composite volume weighted arithmetic mean Value per Security during the Pricing Period determined by the Valuer by reference to the Value Source.
(xxxix) “Volume Weighted Average Price – Composite – Calculation Agent” and “VWAP – Composite – Calculation Agent” mean, in relation to the Price of any Security, the volume weighted arithmetic mean Value per Security during the Pricing Period determined by the Valuer by reference to the information and/or valuation models that the Calculation Agent determines relevant by reference to the quantity and price of trades executed in relation to those Securities on any relevant exchanges, quotation systems and/or electronic trading facilities.
(xl) “Volume Weighted Average Price – Exchange” and “VWAP – Exchange” mean, in relation to the Price of any Security, the volume weighted arithmetic mean Value per Security during the Pricing Period in respect of the Primary Securities Exchange determined by the Valuer by reference to the Value Source.
(xli) “Volume Weighted Average Price – Exchange – Calculation Agent” and “VWAP – Exchange – Calculation Agent” mean, in relation to the Price of any Security, the volume weighted arithmetic mean Value per Security during the Pricing Period determined by the Valuer by reference to the information and/or valuation models that the Calculation Agent determines relevant by reference to the quantity and price of trades executed in relation to that Security on the Primary Securities Exchange.
8.4.2 “Type of Value Condition” means each of the defined terms set out in the Appendix or as otherwise Specified and, in relation to a Conditional Pricing Election, means the Type of Value Condition Specified.
Section 8.5 General Terms relating to Type of Value.
8.5.1 Determination of Type of Value. If a Type of Value is followed by the suffix:
(i) “– (Bid)” means that such Type of Value shall be determined on a bid price/quotation basis.
(ii) “– (Mid)” means that such Type of Value shall be determined on a mid price/quotation basis by reference to the averaging of bid and offer prices/quotations.
(iii) “– (Offer)” means that such Type of Value shall be determined on an offer price/quotation basis.
(iv) “– (Traded)” means that such Type of Value shall be determined on a traded price basis.
(v) “– (Cap)” means that such Type of Value shall be subject to a maximum of the Cap Price Specified.
(vi) “– (Floor)” means that such Type of Value shall be subject to a minimum of the Floor Price Specified.
(vii) “– (Bounded)” means that such Type of Value shall be subject to a maximum of the Cap Price and a minimum of the Floor Price Specified.
(viii) “– (TofV per cent.)” means that such Type of Value shall be multiplied by the Type of Value Pricing Percentage.
(ix) “– (Calculation Agent Correction)” means that, if the Calculation Agent determines that the Data obtained from a price source (including any Value Source) required to determine such Type of Value is erroneous, the Calculation Agent shall make such adjustment to the Type of Value calculation as it determines necessary to account for such error.
Section 8.6 Observation Price Criteria.
8.6.1 “Daily Observation Price Criterion” means each of the following defined terms and, in relation to a Daily Observed Price, the Daily Observation Price Criterion Specified:
(i) “Highest Daily Observed Price” means that the Daily Observed Price shall be the highest Price for the Pricing Election that the Calculation Agent determines prevailed during the Daily Observation Time Period.
(ii) “Lock-in Daily Observed Price” means that the Daily Observed Price shall be the Lock-in Observed Price if the Calculation Agent determines that the Price for the Pricing Election equalled or exceeded the Lock-in Observed Price at any time during the Daily Observation Time Period and otherwise it shall be the Alternative Observed Price.
(iii) “Lock-out Daily Observed Price” means that the Daily Observed Price shall be the Lock-out Observed Price if the Calculation Agent determines that the Price for the Pricing Election equalled or was less than the Lock-out Observed Price at any time during the Daily Observation Time Period and otherwise it shall be the Alternative Observed Price.
(iv) “Lowest Daily Observed Price” means that the Daily Observed Price shall be the lowest Price for the Pricing Election that the Calculation Agent determines prevailed during the Daily Observation Time Period.
Section 8.7 Modifications to Type of Value.
8.7.1 Modification. Each Type of Value when followed by the suffix:
(i) “– Exclude [Time Election]” means the Values determined at each Time Election Specified shall be excluded from the determination of the Price.
(ii) “– Exclude [Time Period Election]” means the Values determined during each Time Period Election Specified shall be excluded from the determination of the Price.
(iii) “– Exclude [Type of Pricing Trade]” means the Values arising from any Specified Type of Pricing Trade shall be excluded from the determination of the Price.
8.7.2 “Type of Value Pricing Percentage” and “TofV per cent.” mean, in relation to a Type of Value or Type of Price relating to a Pricing Date, the percentage Specified for that Type of Value or Type of Price and that Pricing Date.
8.7.3 “Type of Pricing Trade” means each of the defined terms set out in the Appendix or as otherwise Specified.
Section 8.8 Comparative Prices and Conditional Prices.
8.8.1 “Comparative Price (Across Dates)” means, in relation to one or more ED Leg Underliers (whether or not in relation to the same ED Leg), a Calculation Date and two or more Price Determination Dates, the Price determined in accordance with the Comparative Price (Across Dates) Criterion Specified by reference to the Calculation Date Specified, the Determination Type of Price Specified and each Price Determination Date Specified.
8.8.2 “Comparative Price (Across Dates) Criterion” means each of the following defined terms and, in relation to a Comparative Price (Across Dates), the Comparative Price (Across Dates) Criterion Specified:
(i) “Best of (Across Dates)” means that the Comparative Price (Across Dates) shall be the Determination Type of Price that the Calculation Agent determines was the highest across all the Price Determination Dates.
(ii) “Difference (Across Dates)” means that the Comparative Price (Across Dates) shall be the difference between the Determination Types of Price for any two Price Determination Dates Specified.
(iii) “Mean (Across Dates)” means that the Comparative Price (Across Dates) shall be the arithmetic mean of the Determination Types of Price across all the Price Determination Dates.
(iv) “Median (Across Dates)” means that the Comparative Price (Across Dates) shall be the Determination Type of Price that the Calculation Agent determines was the median across all the Price Determination
Dates and, where there is an even number of Determination Types of Price, the median shall be the arithmetic mean of the middle Values.
(v) “One Way Difference (Across Dates)” means that the Comparative Price (Across Dates) shall be (a) the Determination Type of Price for the Price Determination Date Specified as “first” minus (b) the Determination Type of Price for the Price Determination Date Specified as “second”, subject to a minimum of zero.
(vi) “Rank [n] (Across Dates)” means that the Comparative Price (Across Dates) shall be the Determination Type of Price that the Calculation Agent determines was the nth highest across all the Price Determination Dates, where “n” is a number ranging from 1 to the total number of Price Determination Dates Specified and “n=1” indicates the highest Value.
(vii) “Two Way Difference (Across Dates)” means that the Comparative Price (Across Dates) shall be (a) the Determination Type of Price for the Price Determination Date Specified as “first” minus (b) the Determination Type of Price for the Price Determination Date Specified as “second”.
(viii) “Weighted Mean (Across Dates)” means that the Comparative Price (Across Dates) shall be the weighted arithmetic mean of the Determination Types of Price across all the Price Determination Dates, determined in accordance with the Weighted Mean Methodology.
(ix) “Worst of (Across Dates)” means that the Comparative Price (Across Dates) shall be the Determination Type of Price that the Calculation Agent determines was the lowest across all the Price Determination Dates.
8.8.3 “Daily Conditional Price” means, in relation to an ED Leg Underlier and a Pricing Date, that the Daily Conditional Price shall be either “True” or “False” for that Pricing Date as determined in accordance with the Daily Conditional Price Criterion Specified in relation to that Pricing Date by reference to the Daily Observation Time Period Specified and the Pricing Election Specified for which the Pricing Time shall be any time during the Daily Observation Time Period.
8.8.4 “Daily Conditional Price Criterion” means each of the following defined terms and, in relation to a Daily Conditional Price, the Daily Conditional Price Criterion Specified:
(i) “Daily Barrier – Cap” means that the Daily Conditional Price shall be True if the Calculation Agent determines that the Price for the Pricing Election equalled or was greater than the Cap Price at any time during the Daily Observation Time Period and otherwise it shall be False.
(ii) “Daily Barrier – Floor” means that the Daily Conditional Price shall be True if the Calculation Agent determines that the Price for the Pricing Election equalled or was less than the Floor Price at any time during the Daily Observation Time Period and otherwise it shall be False.
(iii) “Inside Daily Range” means that the Daily Conditional Price shall be True if the Calculation Agent determines that the Price for the Pricing Election fell within the Price Range (which includes the highest and lowest prices in the Price Range) at all times during the Daily Observation Time Period and otherwise it shall be False.
(iv) “Outside Daily Range” means that the Daily Conditional Price shall be True if the Calculation Agent determines that the Price for the Pricing Election fell outside the Price Range at all times during the Daily Observation Time Period and otherwise it shall be False.
8.8.5 “Number of Daily Conditional Prices” means, in relation to an Observation Period or other Time Period Election and a Daily Conditional Price, the number of Observation Dates in the Observation Period or, as the case may be, other Pricing Dates in the Time Period Election for which that Daily Conditional Price is True.
8.8.6 “Price Range” means, in relation to a Daily Conditional Price, the range of prices Specified.
Section 8.9 Value Source.
8.9.1 “Value Source” means, in relation to a Pricing Election, the value source Specified.
8.9.2 “Reference Screen” means the page, screen or other published source Specified and any Successor Reference Screen Source.
8.9.3 “Bloomberg” means the Bloomberg service and, when used in connection with any Specified Reference Screen, the display page so designated on the Bloomberg service, or any Successor Reference Screen Source.
8.9.4 “Reuters” means the Reuters service and, when used in connection with any Specified Reference Screen, the display page so designated on the Reuters service, or any Successor Reference Screen Source.
8.9.5 “Successor Reference Screen Source” means, in relation to a Reference Screen:
(i) the successor display page, other published source, information vendor, service or provider that has been officially designated by the sponsor of the original page or source; or
(ii) if the sponsor has not officially designated a successor display page, other published source, information vendor, service or provider (as the case may be), the successor display page, other published source, information vendor, service or provider, if any, designated by the relevant information vendor, service or provider (if different from the sponsor).
Section 8.10 Valuer.
8.10.1 “Valuer” means, in relation to a Pricing Election, the person Specified.
Section 8.11 Modifications to Pricing Elections.
8.11.1 Modifications to Pricing Elections. Each Pricing Election, when followed by “– ([Pricing Modification Methodology])” as a suffix, means that the Price
determined in accordance with that Pricing Election shall be as modified by the Pricing Modification Methodology Specified.
8.11.2 “Pricing Modification Methodology” means a formula or methodology for determining modifications to a Pricing Election and, in relation to a Pricing Election, the Pricing Modification Methodology Specified.
8.11.3 “Present Value Calculation Methodology” means a formula or methodology for determining a discount to a Value by reference to the period of time between two dates and, in relation to a Value, a Type of Date and another date, the Present Value Calculation Methodology Specified.
ARTICLE 9 PRICING DISRUPTION
Section 9.1 Occurrence of a Pricing Disruption Event.
9.1.1 Pricing Disruption Events relating to ED Leg Reference Underliers. If a Pricing Disruption Event that is Specified occurs or is continuing in relation to an ED Leg Reference Underlier and a Pricing Election on a Pricing Date during a Pricing Disruption Testing Period, the Pricing Disruption Consequence Specified shall apply in relation to that ED Leg Reference Underlier, Pricing Election and Pricing Date.
9.1.2 Pricing Disruption Events relating to ED Leg Reference Underliers for Physically Settled Option Legs. If a Pricing Disruption Event that is Specified occurs or is continuing in relation to an ED Leg Reference Underlier, an Option Leg for which Physical Settlement is Specified as a Feature or Electable Settlement is Specified as a Feature (and Physical Settlement is elected) and a Potential Exercise Date during a Pricing Disruption Testing Period, the Pricing Disruption Consequence Specified shall apply in relation to that ED Leg Reference Underlier and Potential Exercise Date.
Section 9.2 Pricing Disruption Events.
9.2.1 “Pricing Disruption Event” means, subject to any modification to Pricing Disruption Events in accordance with Section 9.4 (Modifications to Pricing Disruption Events), each of the defined terms in Section 9.3 (General Terms relating to Pricing Disruption Events) and:
(i) in relation to a Pricing Election on a Pricing Date; or
(ii) in relation to a Potential Exercise Date to which Section 9.1.2 (Pricing Disruption Events relating to ED Leg Reference Underliers for Physically Settled Option Legs) applies,
whichever of those defined terms is Specified.
Section 9.3 General Terms relating to Pricing Disruption Events.
9.3.1 “Basic Trading Disruption – Security” means, in relation to a Security, any suspension of or limitation (other than an Early Closure) imposed on trading in:
(i) the Security; and/or
(ii) if any Pricing Disruption Derivatives Contract is Specified, any such Pricing Disruption Derivatives Contract,
in each case, on the related Pricing Disruption Exchange at any time during the Pricing Disruption Testing Period, including by reason of movements in price exceeding limits established by any Pricing Disruption Exchange.
9.3.2 “Basic Trading Disruption – Whole Index” means, in relation to an Index, any suspension of or limitation (other than an Early Closure) imposed on trading in:
(i) one or more Index Components and/or Sub-Components of that Index constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index; and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such:
(a) Pricing Disruption Derivatives Contracts relating to one or more Index Components and/or Sub-Components constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index; and/or
(b) Pricing Disruption Derivatives Contracts relating to that Index,
in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Index Components, Sub-Components and/or Pricing Disruption Derivatives Contracts relating to Index Components and/or Sub-Components, if any) during the Pricing Disruption Testing Period, including by reason of movements in price exceeding limits established by the related Pricing Disruption Exchange.
9.3.3 “Basic Trading Disruption – Index Component” means, in relation to either an Index only (in the case of Sub-section (ii)(b) below) or (other than in the case of Sub-section (ii)(b) below) an Index and an Index Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), any suspension of or limitation (other than an Early Closure) imposed on trading in:
(i) one or more Index Components (and/or, in relation to an Index Component that has Components, one or more Components and/or Sub- Components of that Index Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index Component); and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such:
(a) Pricing Disruption Derivatives Contracts relating to one or more Index Components (and/or, in relation to an Index Component that has Components, one or more Components and/or Sub- Components of that Index Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index Component); and/or
(b) Pricing Disruption Derivatives Contracts relating to that Index,
in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Index Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period, including by reason of movements in price exceeding limits established by the related Pricing Disruption Exchange.
9.3.4 “Basic Trading Disruption – de minimis Index” means, in relation to an Index and an Index Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), an event that is a
Basic Trading Disruption – Index Component, but not a Basic Trading Disruption
– Whole Index.
9.3.5 “Basic Trading Disruption – Whole Basket” means, in relation to a Basket, any suspension of or limitation (other than an Early Closure) imposed on trading in:
(i) one or more Basket Components and/or Sub-Components of that Basket constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket; and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such Pricing Disruption Derivatives Contracts relating to one or more Basket Components and/or Sub-Components constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket,
in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Basket Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period, including by reason of movements in price exceeding limits established by the related Pricing Disruption Exchange.
9.3.6 “Basic Trading Disruption – Basket Component” means, in relation to a Basket and a Basket Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), any suspension of or limitation (other than an Early Closure) imposed on trading in:
(i) one or more Basket Components (and/or, in relation to a Basket Component that has Components, one or more Components and/or Sub- Components of that Basket Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket Component); and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such Pricing Disruption Derivatives Contracts relating to one or more Basket Components (and/or, in relation to a Basket Component that has Components, one or more Components and/or Sub- Components of that Basket Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket Component),
in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Basket Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period, including by reason of movements in price exceeding limits established by the related Pricing Disruption Exchange.
9.3.7 “Basic Trading Disruption – de minimis Basket” means, in relation to a Basket and a Basket Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), an event that is a Basic Trading Disruption – Basket Component, but not a Basic Trading Disruption – Whole Basket.
9.3.8 “Bid-up Offer-down Trading Disruption – Security” means, in relation to a Security, any suspension of or limitation imposed on trading in:
(i) the Security; and/or
(ii) if any Pricing Disruption Derivatives Contract is Specified, any such Pricing Disruption Derivatives Contract,
in each case, on the related Pricing Disruption Exchange during the Pricing Disruption Testing Period; provided that, where a limitation imposed on trading arises by reason of movements in price to or exceeding limits permitted by any Pricing Disruption Exchange, it shall be a Bid-up Offer-down Trading Disruption
– Security only if:
(x) there is at least one occurrence, on any Pricing Disruption Exchange at any time during the Pricing Disruption Testing Period, of either a Bid-up or an Offer-down in relation to that Security and/or that Pricing Disruption Derivatives Contract; or
(y) where the official price for that Security and/or that Pricing Disruption Derivatives Contract is a Limit Price, there have been bids or offers that remained unexecuted at the highest or lowest Limit Price, as the case may be, at the Actual Close – Regular on the related Pricing Disruption Exchange on that Pricing Date.
9.3.9 “Bid-up Offer-down Trading Disruption – Whole Index” means, in relation to an Index, any suspension of or limitation imposed on trading in:
(i) one or more Index Components and/or Sub-Components of that Index constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index; and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such:
(a) Pricing Disruption Derivatives Contracts relating to one or more Index Components and/or Sub-Components constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index; and/or
(b) Pricing Disruption Derivatives Contracts relating to that Index,
in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Index Components, Sub-Components and/or Pricing Disruption Derivatives Contracts relating to Index Components and/or Sub-Components, if any) during the Pricing Disruption Testing Period; provided that, where a limitation imposed on trading in relation either to:
(x) an Index Component, Sub-Component and/or Pricing Disruption Derivatives Contract relating to an Index Component and/or Sub-
Component; or
(y) a Pricing Disruption Derivatives Contract relating to that Index,
arises by reason of movements in price to or exceeding limits permitted by the related Pricing Disruption Exchange, that Index Component, Sub-Component
and/or Pricing Disruption Derivatives Contract shall only be included for the purposes of determining a Bid-up Offer-down Trading Disruption – Whole Index if:
(1) there is at least one occurrence, on the related Pricing Disruption Exchange, at any time (including at a different time in relation to different Index Components, Sub-Components and/or Pricing Disruption Derivatives Contracts relating to Index Components and/or Sub- Components, if any) during the Pricing Disruption Testing Period, of either a Bid-up or an Offer-down in relation to that Index Component,
Sub-Component and/or Pricing Disruption Derivatives Contract; or
(2) where the official price for that Index Component, Sub-Component and/or Pricing Disruption Derivatives Contract is a Limit Price, there have been bids or offers that remained unexecuted at the highest or lowest Limit Price, as the case may be, at the Actual Close – Regular on the related Pricing Disruption Exchange on that Pricing Date.
9.3.10 “Bid-up Offer-down Trading Disruption – Index Component” means, in relation to either an Index only (in the case of Sub-section (ii)(b) below) or (other than in the case of Sub-section (ii)(b) below) an Index and an Index Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), any suspension of or limitation imposed on trading in:
(i) one or more Index Components (and/or, in relation to an Index Component that has Components, one or more Components and/or Sub- Components of that Index Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index Component); and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such:
(a) Pricing Disruption Derivatives Contracts relating to one or more Index Components (and/or, in relation to an Index Component that has Components, one or more Components and/or Sub- Components of that Index Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index Component); and/or
(b) Pricing Disruption Derivatives Contracts relating to that Index,
in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Index Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period; provided that, where a limitation imposed on trading arises by reason of movements in price to or exceeding limits permitted by the related Pricing Disruption Exchange, it shall be a Bid-up Offer-down Trading Disruption – Index Component in relation to either:
(x) an Index only (in the case of Sub-section (ii)(b) above); or
(y) (other than in the case of Sub-section (ii)(b) above) an Index and an Index Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component),
only if:
(1) there is at least one occurrence, on the related Pricing Disruption Exchange, at any time (including at a different time in relation to different Index Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period, of either a Bid-up or an Offer-down in relation to either
(X) Pricing Disruption Derivatives Contracts relating to that Index or
(Y) that Index Component, its Sub-Components and/or Pricing Disruption Derivatives Contracts relating to that Index Component, as the case may be; or
(2) where the official price for either (X) Pricing Disruption Derivatives Contracts relating to that Index or (Y) that Index Component, its Sub- Components and/or Pricing Disruption Derivatives Contracts relating to that Index Component, as the case may be, is a Limit Price, there have been bids or offers that remained unexecuted at the highest or lowest Limit Price, as the case may be, at the Actual Close – Regular on the related Pricing Disruption Exchange on that Pricing Date.
9.3.11 “Bid-up Offer-down Trading Disruption – de minimis Index” means, in relation to an Index and an Index Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), an event that is a Bid-up Offer-down Trading Disruption – Index Component, but not a Bid-up Offer-down Trading Disruption – Whole Index.
9.3.12 “Bid-up Offer-down Trading Disruption – Whole Basket” means, in relation to a Basket, any suspension of or limitation imposed on trading in:
(i) one or more Basket Components and/or Sub-Components of that Basket constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket; and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such Pricing Disruption Derivatives Contracts relating to one or more Basket Components and/or Sub-Components constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket,
in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Basket Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period; provided that, where a limitation imposed on trading in relation to a Basket Component, Sub-Component and/or Pricing Disruption Derivatives Contract arises by reason of movements in price to or exceeding limits permitted by the related Pricing Disruption Exchange, that Basket Component, Sub-Component and/or Pricing Disruption Derivatives Contract shall only be included for the purposes of determining a Bid-up Offer-down Trading Disruption – Whole Basket if:
(x) there is at least one occurrence, on the related Pricing Disruption Exchange, at any time (including at a different time in relation to different Basket Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period, of either a Bid-up or an Offer-down in relation to that Basket Component, Sub-Component and/or Pricing Disruption Derivatives Contract; or
(y) where the official price for that Basket Component, Sub-Component and/or Pricing Disruption Derivatives Contract is a Limit Price, there have been bids or offers that remained unexecuted at the highest or lowest Limit Price, as the case may be, at the Actual Close – Regular on the related Pricing Disruption Exchange on that Pricing Date.
9.3.13 “Bid-up Offer-down Trading Disruption – Basket Component” means, in relation to a Basket and a Basket Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), any suspension of or limitation imposed on trading in:
(i) one or more Basket Components (and/or, in relation to a Basket Component that has Components, one or more Components and/or Sub- Components of that Basket Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket Component); and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such Pricing Disruption Derivatives Contracts relating to one or more Basket Components (and/or, in relation to a Basket Component that has Components, one or more Components and/or Sub- Components of that Basket Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket Component),
in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Basket Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period; provided that, where a limitation imposed on trading arises by reason of movements in price to or exceeding limits permitted by the related Pricing Disruption Exchange, it shall be a Bid-up Offer-down Trading Disruption – Basket Component in relation to a Basket Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component) only if:
(x) there is at least one occurrence, on the related Pricing Disruption Exchange, at any time (including at a different time in relation to different Basket Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period, of either a Bid-up or an Offer-down in relation to that Basket Component and/or its Sub-Components and/or Pricing Disruption Derivatives Contract; or
(y) where the official price for that Basket Component and/or its Sub- Components and/or Pricing Disruption Derivatives Contract is a Limit
Price, there have been bids or offers that remained unexecuted at the highest or lowest Limit Price, as the case may be, at the Actual Close – Regular on the related Pricing Disruption Exchange on that Pricing Date.
9.3.14 “Bid-up Offer-down Trading Disruption – de minimis Basket” means, in relation to a Basket and a Basket Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), an event that is a Bid-up Offer-down Trading Disruption – Basket Component, but not a Bid-up Offer-down Trading Disruption – Whole Basket.
9.3.15 “Continuous Bid-up Offer-down Trading Disruption – Security” means, in relation to a Security, any suspension of or limitation imposed by the related Pricing Disruption Exchange on trading in:
(i) the Security; and/or
(ii) if any Pricing Disruption Derivatives Contract is Specified, any such Pricing Disruption Derivatives Contract,
arising by reason of movements in price to or exceeding daily limits permitted by the related Pricing Disruption Exchange, in each case, on the related Pricing Disruption Exchange during the Pricing Disruption Testing Period; provided that it shall be a Continuous Bid-up Offer-down Trading Disruption – Security only if there is a Continuous Bid-up or a Continuous Offer-down in relation to that Security and/or that Pricing Disruption Derivatives Contract during the Pricing Disruption Testing Period.
9.3.16 “Continuous Bid-up Offer-down Trading Disruption – Whole Index” means, in relation to an Index, any suspension of or limitation imposed by the related Pricing Disruption Exchange on trading in:
(i) one or more Index Components and/or Sub-Components of that Index constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index; and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such:
(a) Pricing Disruption Derivatives Contracts relating to one or more Index Components and/or Sub-Components constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index; and/or
(b) Pricing Disruption Derivatives Contracts relating to that Index,
arising by reason of movements in price to or exceeding daily limits permitted by the related Pricing Disruption Exchange, in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Index Components, Sub-Components and/or Pricing Disruption Derivatives Contracts relating to Index Components and/or Sub-Components, if any) during the Pricing Disruption Testing Period; provided that:
(x) an Index Component, its Components and/or Sub-Components;
(y) a Pricing Disruption Derivatives Contract relating to an Index Component and/or Sub-Component; and/or
(z) a Pricing Disruption Derivatives Contract relating to that Index,
shall only be included for the purposes of determining a Continuous Bid-up Offer-down Trading Disruption – Whole Index if there is a Continuous Bid-up or a Continuous Offer-down in relation to that Index Component, those Components and/or those Sub-Components and/or that Pricing Disruption Derivatives Contract during the Pricing Disruption Testing Period.
9.3.17 “Continuous Bid-up Offer-down Trading Disruption – Index Component” means, in relation to either an Index only (in the case of Sub- section (ii)(b) below) or (other than in the case of Sub-section (ii)(b) below) an Index and an Index Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), any suspension of or limitation imposed by the related Pricing Disruption Exchange on trading in:
(i) one or more Index Components (and/or, in relation to an Index Component that has Components, one or more Components and/or Sub- Components of that Index Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index Component); and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, any such:
(a) Pricing Disruption Derivatives Contracts relating to one or more Index Components (and/or, in relation to an Index Component that has Components, one or more Components and/or Sub- Components of that Index Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Index Component); and/or
(b) Pricing Disruption Derivatives Contracts relating to that Index,
arising by reason of movements in price to or exceeding daily limits permitted by the related Pricing Disruption Exchange, in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Index Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period; provided that:
(x) an Index Component, its Components and/or Sub-Components;
(y) a Pricing Disruption Derivatives Contract relating to an Index Component and/or Sub-Component; and/or
(z) a Pricing Disruption Derivatives Contract relating to that Index,
shall only be included for the purposes of determining a Continuous Bid-up Offer-down Trading Disruption – Index Component if there is a Continuous Bid- up or a Continuous Offer-down in relation to that Index Component, those Components and/or those Sub-Components and/or that Pricing Disruption Derivatives Contract during the Pricing Disruption Testing Period.
9.3.18 “Continuous Bid-up Offer-down Trading Disruption – de minimis Index” means, in relation to an Index and an Index Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), an event that is a Continuous Bid-up Offer-down Trading Disruption – Index Component, but not a Continuous Bid-up Offer-down Trading Disruption – Whole Index.
9.3.19 “Continuous Bid-up Offer-down Trading Disruption – Whole Basket” means, in relation to a Basket, any suspension of or limitation imposed by the related Pricing Disruption Exchange on trading in:
(i) one or more Basket Components and/or Sub-Components of that Basket constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket; and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such Pricing Disruption Derivatives Contracts relating to one or more Basket Components and/or Sub-Components constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket,
arising by reason of movements in price to or exceeding daily limits permitted by the related Pricing Disruption Exchange, in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Basket Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period; provided that (x) a Basket Component, its Components and/or Sub-Components and/or (y) a Pricing Disruption Derivatives Contract shall only be included for the purposes of determining a Continuous Bid-up Offer-down Trading Disruption
– Whole Basket if there is a Continuous Bid-up or a Continuous Offer-down in relation to that Basket Component, those Components and/or those Sub- Components and/or that Pricing Disruption Derivatives Contract during the Pricing Disruption Testing Period.
9.3.20 “Continuous Bid-up Offer-down Trading Disruption – Basket Component” means, in relation to a Basket and a Basket Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), any suspension of or limitation imposed by the related Pricing Disruption Exchange on trading in:
(i) one or more Basket Components (and/or, in relation to a Basket Component that has Components, one or more Components and/or Sub- Components of that Basket Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket Component); and/or
(ii) if any Pricing Disruption Derivatives Contracts are Specified, one or more of any such Pricing Disruption Derivatives Contracts relating to one or more Basket Components (and/or, in relation to a Basket Component that has Components, one or more Components and/or Sub- Components of that Basket Component constituting in aggregate a percentage equal to or greater than the Pricing Disruption Percentage in relation to that Basket Component),
arising by reason of movements in price to or exceeding daily limits permitted by the related Pricing Disruption Exchange, in each case, on the related Pricing Disruption Exchange at any time (including at a different time in relation to different Basket Components, Sub-Components and/or Pricing Disruption Derivatives Contracts, if any) during the Pricing Disruption Testing Period; provided that (x) a Basket Component, its Components and/or Sub-Components and/or (y) a Pricing Disruption Derivatives Contract shall only be included for the purposes of determining a Continuous Bid-up Offer-down Trading Disruption
– Basket Component if there is a Continuous Bid-up or a Continuous Offer-down in relation to that Basket Component, those Components and/or those Sub- Components and/or that Pricing Disruption Derivatives Contract during the Pricing Disruption Testing Period.
9.3.21 “Continuous Bid-up Offer-down Trading Disruption – de minimis Basket” means, in relation to a Basket and a Basket Component (in relation to which Component Modification shall be deemed Specified and which shall be an Affected Component), an event that is a Continuous Bid-up Offer-down Trading Disruption – Basket Component, but not a Continuous Bid-up Offer-down Trading Disruption – Whole Basket.
9.3.22 “Derivatives Contract Unacceptable Relocation” means, in relation to a Derivatives Contract that is an ED Leg Underlier or a Type of Derivatives Contract, that the listing, quotation, or trading of that Derivatives Contract relocates to an exchange, quotation system or execution facility that is not an Acceptable Derivatives Exchange as determined by the Calculation Agent.
9.3.23 “Early Closure – Security” means, in relation to a Security, the closure of the related Pricing Disruption Exchange on which:
(i) the Security; and/or
(ii) if any Pricing Disruption Derivatives Contract is Specified, any such Pricing Disruption Derivatives Contract,
is traded prior to its Scheduled Close – Regular, unless that earlier closing time is announced by that Pricing Disruption Exchange at least the Early Cl