Template:2006 ISDA Definitions 6.2(g): Difference between revisions

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{{isdadefprov|6.2(g)}} For purposes of Section {{isdadefprov|6.2(f)}}(ii), the {{isdadefprov|Day Count Fraction}} for each of the following {{isdadefprov|Floating Rate Option}}s is indicated below:
{{isdadefsprov|6.2(g)}} For purposes of Section {{isdadefsprov|6.2(f)}}(ii), the {{isdadefsprov|Day Count Fraction}} for each of the following {{isdadefsprov|Floating Rate Option}}s is indicated below:


{{table2cell|
{{tabletop}}
'''{{isdadefprov|Floating Rate Option}}'''
{{cellwidth|50}}
|
'''{{isdadefsprov|Floating Rate Option}}'''
'''{{isdadefprov|Day Count Fraction}}'''
{{cellwidth|50}}
|
'''{{isdadefsprov|Day Count Fraction}}'''
|-
| {{top}}
“AUD-AONIA-OIS-COMPOUND”
“AUD-AONIA-OIS-COMPOUND”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“AUD-AONIA-OIS-COMPOUND-SwapMarker”
“AUD-AONIA-OIS-COMPOUND-SwapMarker”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“AUD-BBR-AUBBSW”
“AUD-BBR-AUBBSW”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“AUD-BBR-BBSW”
“AUD-BBR-BBSW”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“AUD-BBR-BBSW-Bloomberg”
“AUD-BBR-BBSW-Bloomberg”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“AUD-BBR-BBSY (BID)”
“AUD-BBR-BBSY (BID)”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“AUD-Swap Rate-Reuters”
“AUD-Swap Rate-Reuters”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“CAD-BA-CDOR”
“CAD-BA-CDOR”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|-
| {{top}}
“CAD-BA-CDOR-Bloomberg”
“CAD-BA-CDOR-Bloomberg”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“CAD-BA-Reuters”
“CAD-BA-Reuters”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“CAD-BA-Reference Banks”
“CAD-BA-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“CAD-ISDA-Swap Rate”
“CAD-ISDA-Swap Rate”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“CAD-TBILL-Reuters”
“CAD-TBILL-Reuters”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“CAD-TBILL-Reference Banks”
“CAD-TBILL-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“CAD-REPO-CORRA”
“CAD-REPO-CORRA”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“EUR-EURIBOR-Act/365”
“EUR-EURIBOR-Act/365”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“EUR-EURIBOR-Act/365-Bloomberg”
“EUR-EURIBOR-Act/365-Bloomberg”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“GBP-ISDA-Swap Rate”
“GBP-ISDA-Swap Rate”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“GBP-LIBOR-BBA”
“GBP-LIBOR-BBA”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“GBP-LIBOR-BBA-Bloomberg”
“GBP-LIBOR-BBA-Bloomberg”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“GBP-LIBOR-Reference Banks”
“GBP-LIBOR-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“GBP-Semi-Annual Swap Rate”
“GBP-Semi-Annual Swap Rate”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“GBP-Semi-Annual Swap Rate-Reference Banks”
“GBP-Semi-Annual Swap Rate-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
{{isdadefsprov|Actual/365 (Fixed)}}
| {{top}}
|
“GBP-WMBA-SONIA-COMPOUND”
“GBP-WMBA-SONIA-COMPOUND”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“HKD-HIBOR-HKAB”
“HKD-HIBOR-HKAB”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“HKD-HIBOR-HKAB-Bloomberg”
“HKD-HIBOR-HKAB-Bloomberg”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
“HKD-HIBOR-HIBOR=”
| {{top}}
|
“HKD-HIBOR-HIBOR=“
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“HKD-HIBOR-HIBOR-Bloomberg”
“HKD-HIBOR-HIBOR-Bloomberg”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“HKD-HIBOR-Reference Banks”
“HKD-HIBOR-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“HKD-HONIX-OIS-COMPOUND”
“HKD-HONIX-OIS-COMPOUND”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“HKD-ISDA-Swap Rate-11:00”
“HKD-ISDA-Swap Rate-11:00”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“HKD-ISDA-Swap Rate-4:00”
“HKD-ISDA-Swap Rate-4:00”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“IDR-IDMA -Bloomberg”
“IDR-IDMA -Bloomberg”
|
| {{top}}
“{{isdadefsprov|Actual/Actual}}
{{isdadefsprov|Actual/Actual}}
|
|-
| {{top}}
“ILS-TELBOR01-REUTERS”
“ILS-TELBOR01-REUTERS”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“INR-BMK”
“INR-BMK”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“INR-CMT”
“INR-CMT”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“INR-INBMK-REUTERS”
“INR-INBMK-REUTERS”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“INR-MIBOR-OIS-COMPOUND”
“INR-MIBOR-OIS-COMPOUND”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“INR-MIFOR”
“INR-MIFOR”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“INR-MIOIS”
“INR-MIOIS”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“INR-MITOR-OIS-COMPOUND”
“INR-MITOR-OIS-COMPOUND”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“JPY-BBSF-Bloomberg-10:00”
“JPY-BBSF-Bloomberg-10:00”
|
| {{top}}
“{{isdadefsprov|Actual/365 (Fixed)}}
“{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“JPY-BBSF-Bloomberg-15:00”
“JPY-BBSF-Bloomberg-15:00”
|
| {{top}}
“{{isdadefsprov|Actual/365(Fixed) )}}
“{{isdadefsprov|Actual/365(Fixed) )}}
|
|-
| {{top}}
“KRW-CD-KSDA-Bloomberg”
“KRW-CD-KSDA-Bloomberg”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“KRW-CD-3220”
“KRW-CD-3220”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“MYR-KLIBOR-BNM”
“MYR-KLIBOR-BNM”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“MYR-KLIBOR-Reference Banks”
“MYR-KLIBOR-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“NZD-NZIONA-OIS-COMPOUND”
“NZD-NZIONA-OIS-COMPOUND”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“PLN-WIBOR-WIBO”
“PLN-WIBOR-WIBO”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“PLN-WIBOR-Reference Banks”
“PLN-WIBOR-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“SGD-SIBOR-Reuters”
“SGD-SIBOR-Reuters”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“SGD-SIBOR-Reference Banks”
“SGD-SIBOR-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“SGD-SONAR-OIS-COMPOUND”
“SGD-SONAR-OIS-COMPOUND”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“SGD-SOR-Reuters”
“SGD-SOR-Reuters”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“SGD-SOR-Reference Banks”
“SGD-SOR-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“THB-SOR-Reuters”
“THB-SOR-Reuters”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“THB-SOR-Reference Banks”
“THB-SOR-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“THB-THBFIX-Reuters”
“THB-THBFIX-Reuters”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“TWD-Reuters-6165”
“TWD-Reuters-6165”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“TWD-TWCPBA”
“TWD-TWCPBA”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“TWD-Reference Dealers”
“TWD-Reference Dealers”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“USD-CMS-Reference Banks-ICAP SwapPX”
“USD-CMS-Reference Banks-ICAP SwapPX”
|
| {{top}}
{{isdadefprov|30/360}}
{{isdadefsprov|30/360}}
|
|-
| {{top}}
“USD-SIFMA Municipal Swap Index”
“USD-SIFMA Municipal Swap Index”
|
| {{top}}
{{isdadefsprov|Actual/Actual}}
{{isdadefsprov|Actual/Actual}}
|
|-
| {{top}}
“USD-S&P Index-High Grade”
“USD-S&P Index-High Grade”
|
| {{top}}
{{isdadefsprov|Actual/Actual}}
{{isdadefsprov|Actual/Actual}}
|
|-
| {{top}}
“ZAR-JIBAR-SAFEX”
“ZAR-JIBAR-SAFEX”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“ZAR-JIBAR-Reference Banks”
“ZAR-JIBAR-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“ZAR-PRIME-AVERAGE”
“ZAR-PRIME-AVERAGE”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“ZAR-PRIME-AVERAGE-Reference Banks”
“ZAR-PRIME-AVERAGE-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“ZAR-DEPOSIT-SAFEX”
“ZAR-DEPOSIT-SAFEX”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
|
|-
| {{top}}
“ZAR-DEPOSIT-Reference Banks”
“ZAR-DEPOSIT-Reference Banks”
|
| {{top}}
{{isdadefsprov|Actual/365 (Fixed)}}
{{isdadefsprov|Actual/365 (Fixed)}}
}}
{{tablebottom}}

Latest revision as of 14:01, 4 December 2023

6.2(g) For purposes of Section 6.2(f)(ii), the Day Count Fraction for each of the following Floating Rate Options is indicated below:

Floating Rate Option

Day Count Fraction

“AUD-AONIA-OIS-COMPOUND”

Actual/365 (Fixed)

“AUD-AONIA-OIS-COMPOUND-SwapMarker”

Actual/365 (Fixed)

“AUD-BBR-AUBBSW”

Actual/365 (Fixed)

“AUD-BBR-BBSW”

Actual/365 (Fixed)

“AUD-BBR-BBSW-Bloomberg”

Actual/365 (Fixed)

“AUD-BBR-BBSY (BID)”

Actual/365 (Fixed)

“AUD-Swap Rate-Reuters”

Actual/365 (Fixed)

“CAD-BA-CDOR”

Actual/365 (Fixed)

“CAD-BA-CDOR-Bloomberg”

Actual/365 (Fixed)

“CAD-BA-Reuters”

Actual/365 (Fixed)

“CAD-BA-Reference Banks”

Actual/365 (Fixed)

“CAD-ISDA-Swap Rate”

Actual/365 (Fixed)

“CAD-TBILL-Reuters”

Actual/365 (Fixed)

“CAD-TBILL-Reference Banks”

Actual/365 (Fixed)

“CAD-REPO-CORRA”

Actual/365 (Fixed)

“EUR-EURIBOR-Act/365”

Actual/365 (Fixed)

“EUR-EURIBOR-Act/365-Bloomberg”

Actual/365 (Fixed)

“GBP-ISDA-Swap Rate”

Actual/365 (Fixed)

“GBP-LIBOR-BBA”

Actual/365 (Fixed)

“GBP-LIBOR-BBA-Bloomberg”

Actual/365 (Fixed)

“GBP-LIBOR-Reference Banks”

Actual/365 (Fixed)

“GBP-Semi-Annual Swap Rate”

Actual/365 (Fixed)

“GBP-Semi-Annual Swap Rate-Reference Banks”

Actual/365 (Fixed)

“GBP-WMBA-SONIA-COMPOUND”

Actual/365 (Fixed)

“HKD-HIBOR-HKAB”

Actual/365 (Fixed)

“HKD-HIBOR-HKAB-Bloomberg”

Actual/365 (Fixed)

“HKD-HIBOR-HIBOR=“

Actual/365 (Fixed)

“HKD-HIBOR-HIBOR-Bloomberg”

Actual/365 (Fixed)

“HKD-HIBOR-Reference Banks”

Actual/365 (Fixed)

“HKD-HONIX-OIS-COMPOUND”

Actual/365 (Fixed)

“HKD-ISDA-Swap Rate-11:00”

Actual/365 (Fixed)

“HKD-ISDA-Swap Rate-4:00”

Actual/365 (Fixed)

“IDR-IDMA -Bloomberg”

Actual/Actual

“ILS-TELBOR01-REUTERS”

Actual/365 (Fixed)

“INR-BMK”

Actual/365 (Fixed)

“INR-CMT”

Actual/365 (Fixed)

“INR-INBMK-REUTERS”

Actual/365 (Fixed)

“INR-MIBOR-OIS-COMPOUND”

Actual/365 (Fixed)

“INR-MIFOR”

Actual/365 (Fixed)

“INR-MIOIS”

Actual/365 (Fixed)

“INR-MITOR-OIS-COMPOUND”

Actual/365 (Fixed)

“JPY-BBSF-Bloomberg-10:00”

“Actual/365 (Fixed)

“JPY-BBSF-Bloomberg-15:00”

“Actual/365(Fixed) )

“KRW-CD-KSDA-Bloomberg”

Actual/365 (Fixed)

“KRW-CD-3220”

Actual/365 (Fixed)

“MYR-KLIBOR-BNM”

Actual/365 (Fixed)

“MYR-KLIBOR-Reference Banks”

Actual/365 (Fixed)

“NZD-NZIONA-OIS-COMPOUND”

Actual/365 (Fixed)

“PLN-WIBOR-WIBO”

Actual/365 (Fixed)

“PLN-WIBOR-Reference Banks”

Actual/365 (Fixed)

“SGD-SIBOR-Reuters”

Actual/365 (Fixed)

“SGD-SIBOR-Reference Banks”

Actual/365 (Fixed)

“SGD-SONAR-OIS-COMPOUND”

Actual/365 (Fixed)

“SGD-SOR-Reuters”

Actual/365 (Fixed)

“SGD-SOR-Reference Banks”

Actual/365 (Fixed)

“THB-SOR-Reuters”

Actual/365 (Fixed)

“THB-SOR-Reference Banks”

Actual/365 (Fixed)

“THB-THBFIX-Reuters”

Actual/365 (Fixed)

“TWD-Reuters-6165”

Actual/365 (Fixed)

“TWD-TWCPBA”

Actual/365 (Fixed)

“TWD-Reference Dealers”

Actual/365 (Fixed)

“USD-CMS-Reference Banks-ICAP SwapPX”

30/360

“USD-SIFMA Municipal Swap Index”

Actual/Actual

“USD-S&P Index-High Grade”

Actual/Actual

“ZAR-JIBAR-SAFEX”

Actual/365 (Fixed)

“ZAR-JIBAR-Reference Banks”

Actual/365 (Fixed)

“ZAR-PRIME-AVERAGE”

Actual/365 (Fixed)

“ZAR-PRIME-AVERAGE-Reference Banks”

Actual/365 (Fixed)

“ZAR-DEPOSIT-SAFEX”

Actual/365 (Fixed)

“ZAR-DEPOSIT-Reference Banks”

Actual/365 (Fixed)

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