Template:2006 ISDA Definitions 6.2
Template:2006 ISDA Definitions 6.2(a)
Template:2006 ISDA Definitions 6.2(b)
Template:2006 ISDA Definitions 6.2(c)
Template:2006 ISDA Definitions 6.2(d)
6.2(e) “Spread” means the per annum rate (which may be negative), if any, expressed as a decimal, specified as such for the Swap Transaction or the party. For purposes of determining a Floating Amount, a Compounding Period Amount or a Basic Compounding Period Amount, the Spread will be added to the Floating Rate.
6.2(f)
“Floating Rate Day Count Fraction” means, in respect of any calculation of a Floating Amount:
- (i) if a Floating Rate Day Count Fraction is specified for the Swap Transaction or the Floating Rate Payer, the Floating Rate Day Count Fraction so specified; and
- (ii) if the Floating Rate Option specified as the applicable Floating Rate Option is listed in Section 6.2(g) and a Floating Rate Day Count Fraction is not specified for the Swap Transaction or the Floating Rate Payer, the Day Count Fraction indicated for that Floating Rate Option in Section 6.2(g); and
- (iii) in all other cases, if a Floating Rate Option defined in Section 7.1 (Rate Options) is specified as the applicable Floating Rate Option, “Actual/360”.
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:
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“AUD-AONIA-OIS-COMPOUND” |
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“AUD-AONIA-OIS-COMPOUND-SwapMarker” |
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“AUD-BBR-AUBBSW” |
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“AUD-BBR-BBSW” |
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“AUD-BBR-BBSW-Bloomberg” |
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“AUD-BBR-BBSY (BID)” |
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“AUD-Swap Rate-Reuters” |
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“CAD-BA-CDOR” |
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“CAD-BA-CDOR-Bloomberg” |
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“CAD-BA-Reuters” |
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“CAD-BA-Reference Banks” |
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“CAD-ISDA-Swap Rate” |
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“CAD-TBILL-Reuters” |
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“CAD-TBILL-Reference Banks” |
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“CAD-REPO-CORRA” |
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“EUR-EURIBOR-Act/365” |
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“EUR-EURIBOR-Act/365-Bloomberg” |
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“GBP-ISDA-Swap Rate” |
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“GBP-LIBOR-BBA” |
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“GBP-LIBOR-BBA-Bloomberg” |
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“GBP-LIBOR-Reference Banks” |
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“GBP-Semi-Annual Swap Rate” |
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“GBP-Semi-Annual Swap Rate-Reference Banks” |
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“GBP-WMBA-SONIA-COMPOUND” |
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“HKD-HIBOR-HKAB” |
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“HKD-HIBOR-HKAB-Bloomberg” |
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“HKD-HIBOR-HIBOR=“ |
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“HKD-HIBOR-HIBOR-Bloomberg” |
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“HKD-HIBOR-Reference Banks” |
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“HKD-HONIX-OIS-COMPOUND” |
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“HKD-ISDA-Swap Rate-11:00” |
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“HKD-ISDA-Swap Rate-4:00” |
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“IDR-IDMA -Bloomberg” |
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“ILS-TELBOR01-REUTERS” |
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“INR-BMK” |
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“INR-CMT” |
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“INR-INBMK-REUTERS” |
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“INR-MIBOR-OIS-COMPOUND” |
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“INR-MIFOR” |
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“INR-MIOIS” |
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“INR-MITOR-OIS-COMPOUND” |
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“JPY-BBSF-Bloomberg-10:00” |
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“JPY-BBSF-Bloomberg-15:00” |
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“KRW-CD-KSDA-Bloomberg” |
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“KRW-CD-3220” |
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“MYR-KLIBOR-BNM” |
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“MYR-KLIBOR-Reference Banks” |
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“NZD-NZIONA-OIS-COMPOUND” |
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“PLN-WIBOR-WIBO” |
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“PLN-WIBOR-Reference Banks” |
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“SGD-SIBOR-Reuters” |
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“SGD-SIBOR-Reference Banks” |
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“SGD-SONAR-OIS-COMPOUND” |
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“SGD-SOR-Reuters” |
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“SGD-SOR-Reference Banks” |
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“THB-SOR-Reuters” |
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“THB-SOR-Reference Banks” |
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“THB-THBFIX-Reuters” |
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“TWD-Reuters-6165” |
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“TWD-TWCPBA” |
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“TWD-Reference Dealers” |
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“USD-CMS-Reference Banks-ICAP SwapPX” |
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“USD-SIFMA Municipal Swap Index” |
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“USD-S&P Index-High Grade” |
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“ZAR-JIBAR-SAFEX” |
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“ZAR-JIBAR-Reference Banks” |
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“ZAR-PRIME-AVERAGE” |
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“ZAR-PRIME-AVERAGE-Reference Banks” |
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“ZAR-DEPOSIT-SAFEX” |
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“ZAR-DEPOSIT-Reference Banks” |
Template:2006 ISDA Definitions 6.2(h) Template:2006 ISDA Definitions 6.2(i) Template:2006 ISDA Definitions 6.2(j) Template:2006 ISDA Definitions 6.2(k)