2006 ISDA Definitions 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”
“AUD-BBR-AUBBSW”
“AUD-BBR-BBSW”
“AUD-BBR-BBSW-Bloomberg”
“AUD-BBR-BBSY (BID)”
“AUD-Swap Rate-Reuters”
“CAD-BA-CDOR”
“CAD-BA-CDOR-Bloomberg”
“CAD-BA-Reuters”
“CAD-BA-Reference Banks”
“CAD-ISDA-Swap Rate”
“CAD-TBILL-Reuters”
“CAD-TBILL-Reference Banks”
“CAD-REPO-CORRA”
“EUR-EURIBOR-Act/365”
“EUR-EURIBOR-Act/365-Bloomberg”
“GBP-ISDA-Swap Rate”
“GBP-LIBOR-BBA”
“GBP-LIBOR-BBA-Bloomberg”
“GBP-LIBOR-Reference Banks”
“GBP-Semi-Annual Swap Rate”
“GBP-Semi-Annual Swap Rate-Reference Banks”
“GBP-WMBA-SONIA-COMPOUND”
“HKD-HIBOR-HKAB”
“HKD-HIBOR-HKAB-Bloomberg”
“HKD-HIBOR-HIBOR=“
“HKD-HIBOR-HIBOR-Bloomberg”
“HKD-HIBOR-Reference Banks”
“HKD-HONIX-OIS-COMPOUND”
“HKD-ISDA-Swap Rate-11:00”
“HKD-ISDA-Swap Rate-4:00”
“IDR-IDMA -Bloomberg”
Actual/Actual
“ILS-TELBOR01-REUTERS”
“INR-BMK”
“INR-CMT”
“INR-INBMK-REUTERS”
“INR-MIBOR-OIS-COMPOUND”
“INR-MIFOR”
“INR-MIOIS”
“INR-MITOR-OIS-COMPOUND”
“JPY-BBSF-Bloomberg-10:00”
“Actual/365 (Fixed)
“JPY-BBSF-Bloomberg-15:00”
“Actual/365(Fixed) )
“KRW-CD-KSDA-Bloomberg”
“KRW-CD-3220”
“MYR-KLIBOR-BNM”
“MYR-KLIBOR-Reference Banks”
“NZD-NZIONA-OIS-COMPOUND”
“PLN-WIBOR-WIBO”
“PLN-WIBOR-Reference Banks”
“SGD-SIBOR-Reuters”
“SGD-SIBOR-Reference Banks”
“SGD-SONAR-OIS-COMPOUND”
“SGD-SOR-Reuters”
“SGD-SOR-Reference Banks”
“THB-SOR-Reuters”
“THB-SOR-Reference Banks”
“THB-THBFIX-Reuters”
“TWD-Reuters-6165”
“TWD-TWCPBA”
“TWD-Reference Dealers”
“USD-CMS-Reference Banks-ICAP SwapPX”
30/360
“USD-SIFMA Municipal Swap Index”
“USD-S&P Index-High Grade”
“ZAR-JIBAR-SAFEX”
“ZAR-JIBAR-Reference Banks”
“ZAR-PRIME-AVERAGE”
“ZAR-PRIME-AVERAGE-Reference Banks”
“ZAR-DEPOSIT-SAFEX”
“ZAR-DEPOSIT-Reference Banks”
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