Calculation Period - 2021 ISDA Definition

2021 ISDA Interest Rate Derivatives Definitions A Jolly Contrarian owner’s manual™ Go premium Overview — Summary — Premium — See also — Wikitext Crosscheck: →2006 →2021 Calculation Period in a Nutshell™ The JC’s Nutshell™ summary of this term has moved uptown to the subscription-only ninja tier. For the cost of ½ a weekly 🍺 you can get it here. Sign up at Substack. Original text: 3.2.2 Calculation Period. “Calculation Period” means each period from, and including, one Period End Date for the relevant party to but excluding, the next following applicable Period End Date during the Term of the Transaction, except that: (i) the initial Calculation Period will commence on, and include, the Effective Date; and (ii) the final Calculation Period will end on, but exclude, the Termination Date. Template:M comp isda def Resources and Navigation Template:Res isda def

Summary

A simple and functional definition. Most swaps will have periods (shorter than the whole term of the swap) over which or by reference to which rates are calculated. the obvious one is the interest rate swap. If you are swapping three month LIBOR for fixed interest, then the Calculation period for the floating leg will be (drum roll) three months. The Calculation Period for the fixed leg maybe three, six or even twelve months: while with a floating rate, you set the new rate by reference to the prevailing benchmark at the end of a period, the length of the Calculation Period can make a big difference to the economic payoff of your swap; since fixed rates aren't affected by prevailing interest rates the length of Calculation Period is to a large extent uncontroversial, if not totally academic— all that really differs is how often you get your money, and with how much compounding.

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See also

• Benchmark
• Floating rate and fixed rate