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2014 ISDA Credit Derivatives Definitions
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Section 12 in a Nutshell™
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Full text of Section 12
Article 12. Initial Payment Amount, Fixed Amounts and Floating Rate Payer Calculation Amount
Section 12.1 Initial Payment. If an Initial Payment Payer and an Initial Payment Amount are specified in the related Confirmation, the Initial Payment Payer will pay to the other party an amount equal to the Initial Payment Amount on the Initial Payment Date.
Section 12.2 Initial Payment Payer. “Initial Payment Payer” means the party specified as such in the related Confirmation.
Section 12.3 Initial Payment Amount. “Initial Payment Amount” means the amount specified as such in the related Confirmation.
Section 12.4 Initial Payment Date. “Initial Payment Date” means the date specified as such in the related Confirmation, or, if no such date is specified, the date that is three Business Days immediately following the Trade Date.
Section 12.5 Fixed Amount. “Fixed Amount” means, in respect of a Credit Derivative Transaction and a Fixed Rate Payer, an amount that, subject to any applicable condition precedent, is payable by the Fixed Rate Payer on a Fixed Rate Payer Payment Date and is specified in the related Confirmation or, if no such amount is specified, is determined in accordance with Section 12.12 (Calculation of Fixed Amount).
Section 12.6 Fixed Rate Payer. “Fixed Rate Payer” means, in respect of a Credit Derivative Transaction, the party specified as such in the related Confirmation.
Section 12.7 Fixed Rate Payer Calculation Amount. “Fixed Rate Payer Calculation Amount” means the amount specified as such in the related Confirmation or, if an amount is not so specified, the Floating Rate Payer Calculation Amount.
Section 12.8 Fixed Rate Payer Period End Date. “Fixed Rate Payer Period End Date” means each date specified as such in the related Confirmation or, if no such dates are specified, each date specified in the related Confirmation as a Fixed Rate Payer Payment Date.
Section 12.9 Fixed Rate Payer Calculation Period. “Fixed Rate Payer Calculation Period” means each period from, and including, one Fixed Rate Payer Period End Date to, but excluding, the next following Fixed Rate Payer Period End Date, except that (a) the initial Fixed Rate Payer Calculation Period will commence on and include the Effective Date and (b) the final Fixed Rate Payer Calculation Period will end on and include the earliest to occur of (i) the Scheduled Termination Date, (ii) the Event Determination Dateand (iii) with respect to a Reference Obligation Only Trade only, the Termination Date.
Section 12.10 Effective Date. “Effective Date” means the date specified as such in the related Confirmation, and if a date is not so specified, the Fixed Rate Payer Payment Date falling on or immediately prior to the calendar day immediately following the Trade Date. The Effective Date shall not be subject to adjustment in accordance with any Business Day Convention.
Section 12.11 Fixed Rate Payer Payment Date. “Fixed Rate Payer Payment Date}” means each date specified as such in the related Confirmation, provided that (a) if an Event Determination Dateoccurs, the earlier of the Termination Date and the first Settlement Date with respect to the Credit Event to which such Event Determination Daterelates, shall be the final Fixed Rate Payer Payment Date and (b) if the Credit Derivative Transaction is a Reference Obligation Only Trade and the Termination Date occurs other than following the occurrence of an Event Determination Date, the final Fixed Rate Payer Payment Date shall be the Termination Date.
Section 12.12 Calculation of Fixed Amount. The Fixed Amount payable by a Fixed Rate Payer on a Fixed Rate Payer Payment Date will be:
- (a) if an amount is specified in the related Confirmation as the Fixed Amount payable by the Fixed Rate Payer for that Fixed Rate Payer Payment Date or for the related Fixed Rate Payer Calculation Period, such amount; or
- (b) if an amount is not specified in the related Confirmation as the Fixed Amount payable by the Fixed Rate Payer for that Fixed Rate Payer Payment Date or for the related Fixed Rate Payer Calculation Period, an amount calculated on a formula basis for that Fixed Rate Payer Payment Date or for the related Fixed Rate Payer Calculation Period as follows:
Fixed Amount = Fixed Rate Payer Calculation Amount x Fixed Rate x Fixed Rate Day Count Fraction
Section 12.13 Fixed Rate. “[[- Credit Derivatives Provision|]]” means, for any Fixed Rate Payer Payment Date or for any Fixed Rate Payer Calculation Period in respect of a Fixed Rate Payer Payment Date, a rate, expressed as a decimal, equal to the per annum rate specified in the related Confirmation.
Section 12.14 Fixed Rate Day Count Fraction. “Fixed Rate Day Count Fraction” means, in respect of a Credit Derivative Transaction and the calculation of a Fixed Amount:
- (a) if “Actual/365” or “Actual/Actual” is specified as applicable in the related Confirmation, the actual number of days in the Fixed Rate Payer Calculation Period in respect of which payment is being made divided by 365 (or, if any portion of that Fixed Rate Payer Calculation Period falls in a leap year, the sum of (i) the actual number of days in that portion of the Fixed Rate Payer Calculation Period falling in a leap year divided by 366 and (ii) the actual number of days in that portion of the Fixed Rate Payer Calculation Period falling in a non-leap year divided by 365);
- (b) if “Actual/365 (Fixed)” is specified as applicable in the related Confirmation, the actual number of days in the Fixed Rate Payer Calculation Period in respect of which payment is being made divided by 365;
- (c) if “Actual/360”, “Act/360” or “A/360” is specified as applicable in the related Confirmation, the actual number of days in the Fixed Rate Payer Calculation Period in respect of which payment is being made divided by 360;
- (d) if “30/360” or “Bond Basis” is specified as applicable in the related Confirmation, the number of days in the Fixed Rate Payer Calculation Period in respect of which payment is being made divided by 360 (the number of days to be calculated on the basis of a year of 360 days with twelve thirty-day months unless (i) the last day of the Fixed Rate Payer Calculation Period is the thirty-first day of a month but the first day of the Fixed Rate Payer Calculation Period is a day other than the thirtieth or thirty-first day of a month, in which case the month that includes that last day shall not be considered to be shortened to a thirty-day month, or (ii) the last day of the Fixed Rate Payer Calculation Period is the last day of the month of February, in which case the month of February shall not be considered to be lengthened to a thirty-day month);
- (e) if “30E/360” or “Eurobond Basis” is specified as applicable in the related Confirmation, the number of days in the Fixed Rate Payer Calculation Period in respect of which payment is being made divided by 360 (the number of days to be calculated on the basis of a year of 360 days with twelve thirty-day months, without regard to the date of the first day or last day of the Fixed Rate Payer Calculation Period unless, in the case of the final Fixed Rate Payer Calculation Period, the last day of the final Fixed Rate Payer Calculation Period is the last day of the month of February, in which case the month of February shall not be considered to be lengthened to a thirty-day month); and
- (f) if neither “Actual/365”, “Actual/Actual”, “Actual/365 (Fixed)”, “Actual/360”, “Act/360”, “A/360”, “30/360”, “Bond Basis”, “30E/360” nor “Eurobond Basis” is specified as applicable in the related Confirmation, the Fixed Rate Day Count Fraction shall be “Actual/360”.
Section 12.15 Relating Fixed Rate Payer Payments to Fixed Rate Payer Calculation Periods. Unless otherwise specified in the related Confirmation, where the Fixed Amount is calculated by reference to a Fixed Rate Payer Calculation Period, the Fixed Amount applicable to a Fixed Rate Payer Payment Date will be the Fixed Amount calculated with reference to the Fixed Rate Payer Calculation Period ending on, but excluding, the Fixed Rate Payer Period End Date that is (or is closest in time to) that Fixed Rate Payer Payment Date or, in the case of the final Fixed Rate Payer Calculation Period, ending on and including the earliest to occur of (a) the Scheduled Termination Date, (b) the Event Determination Dateand (c) in the case of a Reference Obligation Only Trade only, the Termination Date.
Section 12.16 Floating Rate Payer. “Floating Rate Payer” means, in respect of a Credit Derivative Transaction, the party specified as such in the related Confirmation.
Section 12.17 Floating Rate Payer Calculation Amount. “ Floating Rate Payer Calculation Amount” means, on the Trade Date, the amount specified as such in the related Confirmation and on any day thereafter, such amount as may have been reduced pursuant to Sections 1.18 (Different Event Determination Dates), 1.33 ( Credit Event Notice after M(M)R Restructuring), or 2.2(n)(ii) (Provisions for Determining a Successor).
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