WFC » Topics » Valuation Date

This excerpt taken from the WFC 8-K filed Oct 7, 2009.

Valuation Date

If a Market Disruption Event occurs or is continuing with respect to the S&P 500 Index on the scheduled Valuation Date, the Calculation Agent will determine the Closing Level of the S&P 500 Index for the Securities of this series by reference to the Closing Level of the S&P 500 Index on the next Trading Day on which there is not a Market Disruption Event for the S&P 500 Index; provided, however, if a Market Disruption Event occurs with respect to the S&P 500 Index on each of the five Trading Days following the originally scheduled Valuation Date, then (i) that fifth Trading Day will be deemed the Valuation Date for the S&P 500 Index and (ii) the Calculation Agent will determine the Closing Level of the S&P 500 Index based upon its good faith estimate of the Closing Level of the S&P 500 Index on that fifth Trading Day.

If a Market Disruption Event occurs or is continuing with respect to the Rogers Index on the scheduled Valuation Date, the Calculation Agent will determine the Closing Level of the Rogers Index for the Securities of this series using (A) for each Designated Contract included in the Rogers Index that did not suffer a Market Disruption Event on such date, the Settlement Price on that date of each such Designated Contract, and (B) for each Designated Contract included in the Rogers Index which did suffer a Market Disruption Event on such date, the Settlement Price of that Designated Contract on the next Trading Day on which no Market Disruption Event occurs with respect to such Designated Contract; provided, however, if a Market Disruption Event occurs with respect to a Designated Contract on each of the five Trading Days following the originally scheduled Valuation Date, then (i) that fifth Trading Day will be deemed the Valuation Date for such futures contract and (ii) the Calculation Agent will determine the Closing Level of the Rogers Index using a Settlement Price for such Designated Contract subject to a Market Disruption Event based upon its good faith estimate of the Settlement Price on that fifth Trading Day. In calculating the Closing Level for the Rogers Index for the purposes of this paragraph, the Calculation Agent will use the formula for calculating the Rogers Index last in effect prior to the scheduled Valuation Date. The term “Market Disruption Event,” when used in this paragraph with respect to a Designated Contract included in the Rogers Index, refers to an event affecting such futures contract that is included within the definition of Market Disruption Event with respect to the Rogers Index.

Notwithstanding a postponement of the Valuation Date with respect to a Basket Component that is subject to a Market Disruption Event, the originally scheduled Valuation Date will remain the Valuation Date for any Basket Component not subject to a Market Disruption Event.

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