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2006 ISDA Definitions
A Jolly Contrarian owner’s manual™
6.2 in a Nutshell™
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6.2 in all its glory
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:
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)
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2021 ISDA Interest Rate Derivatives Definitions
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Overview
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Summary
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See also
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References
6.2(a) Floating Rate
6.2(b) Reset Date
6.2(c) Relevant Rate
6.2(d) Rate Cut-off Date
6.2(e) Spread
6.2(f) Floating Rate Day Count Fraction
6.2(g) Day Count Fractions for certain Floating Rate Options
6.2(h) Floating Rate Option
6.2(i) Rate Option
6.2(j) CapRate
6.2(k) Floor Rate