Day Count Fractions for certain Floating Rate Options - ISDA Definition

ISDA Definitions Go Premium 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” Actual/365 (Fixed) “AUD-BBR-AUBBSW” Actual/365 (Fixed) “AUD-BBR-BBSW” Actual/365 (Fixed) “AUD-BBR-BBSW-Bloomberg” Actual/365 (Fixed) “AUD-BBR-BBSY (BID)” Actual/365 (Fixed) “AUD-Swap Rate-Reuters” Actual/365 (Fixed) “CAD-BA-CDOR” Actual/365 (Fixed) “CAD-BA-CDOR-Bloomberg” Actual/365 (Fixed) “CAD-BA-Reuters” Actual/365 (Fixed) “CAD-BA-Reference Banks” Actual/365 (Fixed) “CAD-ISDA-Swap Rate” Actual/365 (Fixed) “CAD-TBILL-Reuters” Actual/365 (Fixed) “CAD-TBILL-Reference Banks” Actual/365 (Fixed) “CAD-REPO-CORRA” Actual/365 (Fixed) “EUR-EURIBOR-Act/365” Actual/365 (Fixed) “EUR-EURIBOR-Act/365-Bloomberg” Actual/365 (Fixed) “GBP-ISDA-Swap Rate” Actual/365 (Fixed) “GBP-LIBOR-BBA” Actual/365 (Fixed) “GBP-LIBOR-BBA-Bloomberg” Actual/365 (Fixed) “GBP-LIBOR-Reference Banks” Actual/365 (Fixed) “GBP-Semi-Annual Swap Rate” Actual/365 (Fixed) “GBP-Semi-Annual Swap Rate-Reference Banks” Actual/365 (Fixed) “GBP-WMBA-SONIA-COMPOUND” Actual/365 (Fixed) “HKD-HIBOR-HKAB” Actual/365 (Fixed) “HKD-HIBOR-HKAB-Bloomberg” Actual/365 (Fixed) “HKD-HIBOR-HIBOR=“ Actual/365 (Fixed) “HKD-HIBOR-HIBOR-Bloomberg” Actual/365 (Fixed) “HKD-HIBOR-Reference Banks” Actual/365 (Fixed) “HKD-HONIX-OIS-COMPOUND” Actual/365 (Fixed) “HKD-ISDA-Swap Rate-11:00” Actual/365 (Fixed) “HKD-ISDA-Swap Rate-4:00” Actual/365 (Fixed) “IDR-IDMA -Bloomberg” Actual/Actual “ILS-TELBOR01-REUTERS” Actual/365 (Fixed) “INR-BMK” Actual/365 (Fixed) “INR-CMT” Actual/365 (Fixed) “INR-INBMK-REUTERS” Actual/365 (Fixed) “INR-MIBOR-OIS-COMPOUND” Actual/365 (Fixed) “INR-MIFOR” Actual/365 (Fixed) “INR-MIOIS” Actual/365 (Fixed) “INR-MITOR-OIS-COMPOUND” Actual/365 (Fixed) “JPY-BBSF-Bloomberg-10:00” “Actual/365 (Fixed) “JPY-BBSF-Bloomberg-15:00” “Actual/365(Fixed) ) “KRW-CD-KSDA-Bloomberg” Actual/365 (Fixed) “KRW-CD-3220” Actual/365 (Fixed) “MYR-KLIBOR-BNM” Actual/365 (Fixed) “MYR-KLIBOR-Reference Banks” Actual/365 (Fixed) “NZD-NZIONA-OIS-COMPOUND” Actual/365 (Fixed) “PLN-WIBOR-WIBO” Actual/365 (Fixed) “PLN-WIBOR-Reference Banks” Actual/365 (Fixed) “SGD-SIBOR-Reuters” Actual/365 (Fixed) “SGD-SIBOR-Reference Banks” Actual/365 (Fixed) “SGD-SONAR-OIS-COMPOUND” Actual/365 (Fixed) “SGD-SOR-Reuters” Actual/365 (Fixed) “SGD-SOR-Reference Banks” Actual/365 (Fixed) “THB-SOR-Reuters” Actual/365 (Fixed) “THB-SOR-Reference Banks” Actual/365 (Fixed) “THB-THBFIX-Reuters” Actual/365 (Fixed) “TWD-Reuters-6165” Actual/365 (Fixed) “TWD-TWCPBA” Actual/365 (Fixed) “TWD-Reference Dealers” Actual/365 (Fixed) “USD-CMS-Reference Banks-ICAP SwapPX” 30/360 “USD-SIFMA Municipal Swap Index” Actual/Actual “USD-S&P Index-High Grade” Actual/Actual “ZAR-JIBAR-SAFEX” Actual/365 (Fixed) “ZAR-JIBAR-Reference Banks” Actual/365 (Fixed) “ZAR-PRIME-AVERAGE” Actual/365 (Fixed) “ZAR-PRIME-AVERAGE-Reference Banks” Actual/365 (Fixed) “ZAR-DEPOSIT-SAFEX” Actual/365 (Fixed) “ZAR-DEPOSIT-Reference Banks” Actual/365 (Fixed) (view template) Resources: 2006 ISDA DefinitionsArticles: 1 General definitions | 2 Parties | 3 Term and dates | 4 Definitions relating to payments | 5 Fixed Amounts | 6 Floating Amounts | 7 | 8 | 9 Payments | 10 | 11 | 12 | 13 Exercise of Options | 14 | 15 | 16 Optional Early Termination | 17 Mandatory Early Termination | 18 Cash Settlement | 19 ISDA Settlement Matrix | Comments? Questions? Suggestions? Requests? Insults? We’d love to 📧 hear from you. Sign up for our newsletter.

In brief, all Floating Rate Day Count Fractions are Actual/365 (Fixed) except:

• “IDR-IDMA -Bloomberg” (which is Actual/Actual)
• “USD-CMS-Reference Banks-ICAP SwapPX” (which is 30/360)
• “USD-SIFMA Municipal Swap Index” (which is Actual/Actual)
• “USD-S&P Index-High Grade” (which is Actual/Actual)