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Derivatives Provisions relating to Calculations, etc.


We have put together a collection of commonly used general definitions and wording used in derivatives agreements. You will also find other generally use derivatives provisions at the derivatives terms main section and derivatives templates.

cap amount

...provided that in the event such x amount when added to y amount (excluding such x amount) would exceed z amount, then the payable x amount shall be reduced by the amount by which such sum exceed z

divide

x is an amount equal to the quotient of Y and Z

netting

If on any date amounts in same currency would otherwise be payable hereunder by each party to the other, then, on such date, each party's obligation to make payment of any such amount will be automatically satisfied and discharged and, if the aggregate amount that would otherwise have been payable by one party exceeds the aggregate amount that would otherwise have been payable by the other party, replaced by an obligation upon the party by whom the larger aggregate amount would have been payable to pay to the other party the excess of the larger aggregate amount over the smaller aggregate amount.

MTM Amount

The amount, if any, that would be payable to the 2nd Party by the 1st Party (in which case the MTM Amount shall be expressed as a positive number) or to the 1st Party by the 2nd Party (in which case the Mark-to-market Value shall be expressed as a negative number), in either case pursuant to Section 6(e)(ii)(2)(A) of the Agreement, as if (i) the Transaction were the sole Terminated Transaction as of the date the MTM Amount is determined, and (ii) there were no Unpaid Amounts.

pro rata

in respect of a participating party and any day, the proportion expressed as percentage which its participation as of such day bears to the aggregate of the participations of all participating parties as of such day.

rounding

The agent shall attempt to round to the nearest integral multiple of the Lot Size, but may round on such other basis as is commercially reasonable to ensure that the aggregate of all allocations of shares does not exceed the total amount.

value per unit

The per unit value as of the valuation date will be calculated by
(a) determining the value of the assets,
(b) deducting from the resultant amount the liabilities attributable,
(c) dividing the resulting sum by the number of units outstanding, and
(d) rounding down to the nearest cent.

valuation

Valuation (a) The calculation agent shall attempt to obtain quotations on the valuation date from four dealers.

(b) If the calculation agent is unable to obtain three or more quotations on the valuation date, then the calculation agent shall attempt to obtain quotations from four or more dealers on each business day thereafter until the earlier of (i) the first cut-off date and (ii) the business day on which the calculation agent obtains three or more quotations.

(c) If more than three quotations are obtained, the payment amount will be the arithmetic mean of the quotations, disregarding the quotations having the highest and lowest values.

(d) If exactly three quotations are obtained, the payment amount will be the quotation remaining after disregarding the highest and lowest quotations.

(e) For these purposes, if more than one quotation has the same highest value or lowest value, then one of such quotations shall be disregarded.

(f) If the calculation agent is unable to obtain three or more quotations on the same business day on or prior to the first cut-off date, then the calculation agent shall attempt to obtain quotations from four dealers on each business day thereafter until the earlier of (i) the second cut-off date and (ii) the business day on which the calculation agent obtains two quotations.

(g) If two quotations are obtained, the payment amount will be the arithmetic mean of such quotations.

(h) If the calculation agent is unable to obtain at least two quotations on the same business day on or prior to the second cut-off date, then the calculation agent shall determine the payment amount in good faith.
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The above notes are intended to highlight issues and provide only general outlines and not intended to be comprehensive nor legal advice. Where applicable, the same should be read in conjunction with, and are qualified in their entirety by, the full provisions of the relevant ISDA provisions and definitions. They shall never be used in place of professional advice. We accept no responsibility for any loss arising from any action taken or not taken by anyone using this material or using this material in conjunction with any ISDA documentation in reliance thereof. If you have any question, please contact us.

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