Template:EUA Annex Cost of Carry Amount: Difference between revisions
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::(ii) in respect of an {{euaprov|Allowance Option Transaction}}, the {{euaprov|Allowance Strike Price}} multiplied by the {{euaprov|Number of Allowances}} delivered on or before the {{euaprov|Delayed Delivery Date}} following the occurrence of a {{euaprov|Suspension Event}}; | ::(ii) in respect of an {{euaprov|Allowance Option Transaction}}, the {{euaprov|Allowance Strike Price}} multiplied by the {{euaprov|Number of Allowances}} delivered on or before the {{euaprov|Delayed Delivery Date}} following the occurrence of a {{euaprov|Suspension Event}}; | ||
:multiplied by: | :multiplied by: | ||
:(c) the {{euaprov|Cost of Carry Delay}}, divided by 360.<ref> | :(c) the {{euaprov|Cost of Carry Delay}}, divided by 360.<ref>Since {{icds}} elected to express a mathematical proposition on its own tortured prose, it is not entirely clear ''what'' is meant to be divided by 360: the stray comma suggests maybe it is meant to be a denominator for the whole sum, but we think it makes more sense to divide only the {{euaprov|Cost of Carry Delay}} by 360, as that gets you an annualised day count fraction that the rest of the sum can be multiplied by. If you ignored the ambiguous comma, that is the most consistent with the paragraph layout. </ref> | ||
Latest revision as of 15:56, 26 July 2022
Cost of Carry Amount: Means an amount in EUR equal to:
- (a) the Cost of Carry Rate multiplied by:
- (b)
- (i) in respect of an Allowance Forward Transaction, the Allowance Purchase Price multiplied by the Number of Allowances delivered on or before the Delayed Delivery Date following the occurrence of a Suspension Event; or
- (ii) in respect of an Allowance Option Transaction, the Allowance Strike Price multiplied by the Number of Allowances delivered on or before the Delayed Delivery Date following the occurrence of a Suspension Event;
- multiplied by:
- (c) the Cost of Carry Delay, divided by 360.[1]
- ↑ Since ISDA’s crack drafting squad™ elected to express a mathematical proposition on its own tortured prose, it is not entirely clear what is meant to be divided by 360: the stray comma suggests maybe it is meant to be a denominator for the whole sum, but we think it makes more sense to divide only the Cost of Carry Delay by 360, as that gets you an annualised day count fraction that the rest of the sum can be multiplied by. If you ignored the ambiguous comma, that is the most consistent with the paragraph layout.