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User's Guide to the 2002 ISDA Equity Derivatives Definitions

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User's Guide to the 2002 ISDA Equity Derivatives Definitions ______________________________________________________ User’s Guide to the 2002 ISDA Equity Derivatives Definitions ______________________________________________________ 2003 EDITION ISDA® INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. Copyright © 2003 by INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION, INC. 360 Madison Avenue, 16th Floor New York, N.Y. 10017 TABLE OF CONTENTS INTRODUCTION...........................................................................................................................1 A NOTE ON COPYRIGHT.............................................................................................................1 A. OVERVIEW OF THE 2002 DEFINITIONS.........................................................2 B. ARCHITECTURE OF DOCUMENTATION........................................................3 1. Use of 2002 Definitions with other ISDA Definitional Booklets...............................3 2. Confirmations..............................................................................................................3 C. DISCUSSION OF THE 2002 DEFINITIONS.......................................................4 1. ARTICLE 1 – CERTAIN GENERAL DEFINITIONS..............................................4 Section 1.1. Transaction........................................................................................4 Section 1.2. Option Transaction............................................................................4 Section 1.3. Forward Transaction.........................................................................4 Section 1.4. Equity Swap Transaction..................................................................4 Section 1.5. Index Transaction..............................................................................4 Section 1.6. Share Transaction..............................................................................4 Section 1.7. Index Basket Transaction..................................................................4 Section 1.8. Share Basket Transaction..................................................................4 Section 1.9. Basket Option Transaction................................................................4 Section 1.10. Basket Forward Transaction.............................................................5 Section 1.11. Basket Swap Transaction..................................................................5 Section 1.12. Confirmation.....................................................................................5 Section 1.13. Index.................................................................................................5 Section 1.14. Shares................................................................................................5 Section 1.15. Basket................................................................................................5 Section 1.16. Issuer.................................................................................................5 Section 1.17. Trade Date.........................................................................................5 Section 1.18. Buyer.................................................................................................5 Section 1.19. Seller.................................................................................................5 Section 1.20. Number of Shares.............................................................................5 Section 1.21. Number of Baskets............................................................................5 Section 1.22. Multiplier..........................................................................................6 Section 1.23. Relevant Price...................................................................................6 Section 1.24. Equity Notional Amount...................................................................6 Section 1.25. Exchange...........................................................................................6 Section 1.26. Related Exchange..............................................................................7 Section 1.27. Clearance System..............................................................................7 Section 1.28. Index Sponsor...................................................................................7 Section 1.29. Exchange Business Day....................................................................7 Section 1.30. Scheduled Closing Time...................................................................8 Section 1.31. Scheduled Trading Day.....................................................................8 Section 1.32. Currency Business Day.....................................................................8 Section 1.33. Settlement Currency..........................................................................8 Section 1.34. Euro...................................................................................................8 Section 1.35. EC Treaty..........................................................................................8 i Section 1.36. Clearance System Business Day.......................................................8 Section 1.37. Settlement Cycle...............................................................................9 Section 1.38. Cash-settled.......................................................................................9 Section 1.39. Physically-settled..............................................................................9 Section 1.40. Calculation Agent.............................................................................9 Section 1.41. ISDA Master Agreement..................................................................9 Section 1.42. Knock-in Price................................................................................10 Section 1.43. Knock-out Price..............................................................................10 Section 1.44. Knock-in Event...............................................................................10 Section 1.45. Knock-out Event.............................................................................10 Section 1.46. Knock-in Reference Security..........................................................11 Section 1.47. Knock-out Reference Security........................................................11 Section 1.48. Knock-in Determination Day..........................................................11 Section 1.49. Knock-out Determination Day........................................................11 Section 1.50. Knock-in Valuation Time...............................................................11 Section 1.51. Knock-out Valuation Time.............................................................12 2. ARTICLE 2 – GENERAL TERMS RELATING TO OPTION TRANSACTIONS12 Section 2.1. Certain Definitions and Provisions Relating to Option Transactions ........................................................................................................12 Section 2.2. Option Style....................................................................................12 Section 2.3. Option Type....................................................................................13 Section 2.4. Terms Relating to Premium............................................................13 3. ARTICLE 3 – EXERCISE OF OPTIONS................................................................13 Section 3.1. General Terms Relating to Exercise...............................................13 Section 3.2. Procedure for Exercise....................................................................14 Section 3.3. Multiple Exercise............................................................................14 Section 3.4. Automatic Exercise.........................................................................14 4. ARTICLE 4 – GENERAL TERMS RELATING TO FORWARD TRANSACTIONS....................................................................................................15 Section 4.1. Certain Definitions Relating to Forward Transactions...................15 Section 4.2. Terms Relating to Prepayment........................................................16 5. ARTICLE 5 – GENERAL TERMS RELATING TO EQUITY SWAP TRANSACTIONS....................................................................................................16 Section 5.1. Equity Amount Payer......................................................................16 Section 5.2. Equity Amount Receiver.................................................................16 Section 5.3. Initial Exchange Amount................................................................16 Section 5.4. Initial Exchange Date......................................................................16 Section 5.5. Final Exchange Amount..................................................................17 Section 5.6. Final Exchange Date.......................................................................17 Section 5.7. Rate of Return.................................................................................17 Section 5.8. Initial Price......................................................................................17 Section 5.9. Final Price.......................................................................................17 Section 5.10. Equity Notional Reset.....................................................................19 ii 6. ARTICLE 6 - VALUATION....................................................................................19
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