Text extracted via OCR from the original document. May contain errors from the scanning process.
Settlement Amount, or, if Seller is out-of-the-money, in the lower absolute value of the Cash
Settlement Amount;
provided that, if, in respect of a Swap Transaction to which Optional Early Termination is specified to be
applicable, an Event of Default or Potential Event of Default under the ISDA Master Agreement (other
than a Potential Event of Default arising pursuant to the provisions of Section 5(a)(ii) of the ISDA Master
Agreement) with respect to the Exercising Party has occurred and is continuing on the Cash Settlement
Valuation Date, then -Exercising Party Pays" will be deemed to have been specified in the related
Confirmation.
(k)
Relevant Swap Transaction. "Relevant Swap Transaction" means:
(i)
in respect of a Swaption and in respect of an Exercise Date, a Swap Transaction
on the same terms as the Underlying Swap Transaction but with a Notional Amount equal to the
Notional Amount of the Underlying Swap Transaction exercised or deemed exercised on that
Exercise Date;
(ii)
in respect of a Swap Transaction to which Optional Early Termination is
applicable and in respect of an Exercise Date, a Swap Transaction on the same terms as that Swap
Transaction but with a Notional Amount equal to the Notional Amount of the Swap Transaction
exercised or deemed exercised on that Exercise Date; and
(iii)
in respect of a Swap Transaction to which Mandatory Early Termination is
applicable, a Swap Transaction on the same terms as that Swap Transaction.
(I)
Cash Settlement Method. "Cash Settlement Method" means, in respect of a Swap
Transaction and the calculation of a Cash Settlement Amount, the Cash Settlement Method specified as
such, which may be specified by reference to any of the methods set forth in Section 18.3 (Cash
Settlement Methods) or may be specified by defining the Cash Settlement Method in the related
Confirmation.
(m)
Valuation Business Day. "Valuation Business Day" means, in respect of a Swap
Transaction, any day which is a Banking Day in the place(s) specified for that purpose in the relevant
Confirmation and. if place(s) are not so specified, a day:
(i)
which is (A) a Banking Day in respect of the financial center(s) indicated for the
currency which is the Cash Settlement Currency in Section 1.5 (Financial Centers), (B) a
TARGET Settlement Day, if the Cash Settlement Currency is the euro or (C) a Banking Day in
respect of the principal financial center for the Cash Settlement Currency, if the currency is other
than those currencies specified in Section 1.7 (Currencies); and
(ii)
which is a Banking Day in respect of the financial center, if any, referred to in the
specified Floating Rate Option; and
(iii)
which is a TARGET Settlement Day, if the specified Floating Rate Option refers
to a TARGET Settlement Day; and
(iv)
which is a U.S. Government Securities Business Day, if the specified Floating
Rate Option refers to a U.S. Government Securities Business Day.
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CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
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CONFIDENTIAL
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