2021 ISDA Interest Rate Derivatives Definitions
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Calculation Amount in a Nutshell™
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Original text
4.4 Calculation Amount.
- 4.4.1 Calculation Amount. “Calculation Amount” means the applicable Notional Amount or Currency Amount, as the case may be.
- 4.4.2 Notional Amount. “Notional Amount” means:
- (i) in respect of a Transaction involving one currency, other than an Option Transaction or a Transaction in which “Optional Early Termination” applies, the amount specified as such for the Transaction; and
- (ii) in respect of any Option Transaction or a Transaction to which “Optional Early Termination” applies:
- (a) if the Underlying Transaction or the Transaction, as appropriate, involves one currency, the amount specified as the Notional Amount of the Underlying Transaction or the Transaction, as appropriate;
- (b) if the Underlying Transaction or the Transaction, as appropriate, involves more than one currency, the Currency Amount in respect of the Buyer,
- in each case as reduced or increased in accordance with any relevant terms set out in the Confirmation or as set out in Section 11 (Mark-to-Market Currency Swaps) for amortizing or increasing the Notional Amount or Currency Amount, as applicable.
- 4.4.3 Currency Amount. “Currency Amount” means, subject to Section 11.4.9 (Variable Currency Amount), in respect of a Calculation Period for a Transaction involving more than one currency, the amount specified as such [for the] Transaction or a party.
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Resources and Navigation
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Comparisons
The 2006 ISDA Definitions treat each of the three definitions (Calculation Amount, Notional Amount and Currency Amount) as discrete things — albeit in successive paragraphs — while the 2021 ISDA Interest Rate Derivatives Definitions see them for what they are — subspecies of Calculation Amount — and roll them into a single paragraph.
Basics
Just imagine being the poor Aïessdiyé padawan tasked with redrafting a perfectly harmless — if faintly pointless — piece of orienting. Perhaps she felt honour-bound to convert it into a tract of overdetermined dreck. We will never know.
All it really achieves is, well, there’s this thing, and it might be a Notional Amount and it might be a Currency Amount, but either way, it’s a Calculation Amount. We think the 2006 version was nicer.
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See also
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References