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Template:DRVF 6: Difference between revisions
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{{drvfprov|6}} '''{{drvfprov|Calculation Method for Interest-Rate Related Transactions}}'''<br> | {{drvfprov|6}} '''{{drvfprov|Calculation Method for Interest-Rate Related Transactions}}'''<br> | ||
:{{drvfprov|6(1)}} Each floating amount to be paid in respect of a {{drvfprov|Transaction}} shall be the product of (a) the notional amount agreed for such {{drvfprov|Transaction}}, (b) the floating interest rate ('''{{drvfprov|Base Rate}}''') calculated in accordance with Clause 5 and the terms of such {{drvfprov|Transaction}}, expressed as a decimal figure, and (c) the {{drvfprov|Day Count Fraction}} within the meaning of | :{{drvfprov|6(1)}} Each floating amount to be paid in respect of a {{drvfprov|Transaction}} shall be the product of | ||
::(a) the notional amount agreed for such {{drvfprov|Transaction}}, | |||
::(b) the floating interest rate ('''{{drvfprov|Base Rate}}''') calculated in accordance with Clause {{drvfprov|5}} and the terms of such {{drvfprov|Transaction}}, expressed as a decimal figure, and | |||
::(c) the {{drvfprov|Day Count Fraction}} within the meaning of Clause {{drvfprov|6(5)}} below.<br> | |||
:{{drvfprov|6(2)}} Each fixed amount to be paid in respect of any {{drvfprov|Transaction}} shall be the amount stated in the terms of the {{drvfprov|Transaction}}, if the amount is specified as a figure. Otherwise it shall be the product of<br> | :{{drvfprov|6(2)}} Each fixed amount to be paid in respect of any {{drvfprov|Transaction}} shall be the amount stated in the terms of the {{drvfprov|Transaction}}, if the amount is specified as a figure. Otherwise it shall be the product of<br> | ||
::{{drvfprov|6(2)(a)}} the notional amount agreed for such {{drvfprov|Transaction}}, <br> | ::{{drvfprov|6(2)(a)}} the notional amount agreed for such {{drvfprov|Transaction}}, <br> | ||
::{{drvfprov|6(2)(b)}} the fixed interest rate ('''{{drvfprov|Fixed Rate}}''') agreed for such {{drvfprov|Transaction}}, expressed as a decimal figure, and <br> | ::{{drvfprov|6(2)(b)}} the fixed interest rate ('''{{drvfprov|Fixed Rate}}''') agreed for such {{drvfprov|Transaction}}, expressed as a decimal figure, and <br> | ||
::{{drvfprov|6(2)(c)}} the {{drvfprov|Day Count Fraction}} within the meaning of | ::{{drvfprov|6(2)(c)}} the {{drvfprov|Day Count Fraction}} within the meaning of Clause {{drvfprov|6(5)}} below.<br> | ||
:{{drvfprov|6(3)}} In the case of rate protection transactions, the {{drvfprov|Base Rate}} shall be in each case, subject to the terms of the relevant {{drvfprov|Transaction}} and without prejudice to the provisions of | :{{drvfprov|6(3)}} In the case of rate protection transactions, the {{drvfprov|Base Rate}} shall be in each case, subject to the terms of the relevant {{drvfprov|Transaction}} and without prejudice to the provisions of Clause {{drvfprov|6(4)}} below<br> | ||
::{{drvfprov|6(3)(a)}} for payments by the party designated as surplus payer (or Cap or FRA seller), the agreed {{drvfprov|Base Rate}} less the rate which is stated in the terms of the {{drvfprov|Transaction}} as the maximum rate (or cap rate) or as the forward rate, and<br> | ::{{drvfprov|6(3)(a)}} for payments by the party designated as surplus payer (or Cap or FRA seller), the agreed {{drvfprov|Base Rate}} less the rate which is stated in the terms of the {{drvfprov|Transaction}} as the maximum rate (or cap rate) or as the forward rate, and<br> | ||
:{{drvfprov|6(3)(b)}} for payments by the party designated as deficit payer (or Floor seller or FRA buyer), the rate which is stated in the terms of the {{drvfprov|Transaction}} as the minimum rate (or floor rate) or as the forward rate, less the agreed {{drvfprov|Base Rate}}.<br> | :{{drvfprov|6(3)(b)}} for payments by the party designated as deficit payer (or Floor seller or FRA buyer), the rate which is stated in the terms of the {{drvfprov|Transaction}} as the minimum rate (or floor rate) or as the forward rate, less the agreed {{drvfprov|Base Rate}}.<br> | ||
:{{drvfprov|6(3)(c)}} If a payment is not made upon expiration of the relevant {{drvfprov|Calculation Period}}, but at the beginning thereof, the amount to be determined in accordance with | :{{drvfprov|6(3)(c)}} If a payment is not made upon expiration of the relevant {{drvfprov|Calculation Period}}, but at the beginning thereof, the amount to be determined in accordance with Clauses {{drvfprov|6(1)}} or {{drvfprov|6(2)}} above shall be discounted by dividing such amount by an amount which is calculated, in the case of a {{drvfprov|Calculation Period}} of one year or less in accordance with the formula '''1+((L*D)/B)''' and in the case of a {{drvfprov|Calculation Period}} of more than one year in accordance with the formula '''(1+L) <sup>(D/B)</sup>'''<br> | ||
:where<br> | :where<br> | ||
:'''L''' means the {{drvfprov|Base Rate}} determined, or other discount rate agreed, in respect of the relevant {{drvfprov|Calculation Period}}, expressed as a decimal figure (i. e. 0.07, for instance, in the case of a {{drvfprov|Base Rate}} or discount rate of 7 %);<br> | :'''L''' means the {{drvfprov|Base Rate}} determined, or other discount rate agreed, in respect of the relevant {{drvfprov|Calculation Period}}, expressed as a decimal figure (i. e. 0.07, for instance, in the case of a {{drvfprov|Base Rate}} or discount rate of 7 %);<br> | ||
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::{{drvfprov|6(4)(c)}} the number of days actually elapsed within such {{drvfprov|Calculation Period}}, divided by 365 or, in the case of a leap year, 366, ('''365/365''') or<br> | ::{{drvfprov|6(4)(c)}} the number of days actually elapsed within such {{drvfprov|Calculation Period}}, divided by 365 or, in the case of a leap year, 366, ('''365/365''') or<br> | ||
::{{drvfprov|6(4)(d)}} the number of days actually elapsed within such {{drvfprov|Calculation Period}}, divided by 365 ('''{{drvfprov|366/365}}''').<br> | ::{{drvfprov|6(4)(d)}} the number of days actually elapsed within such {{drvfprov|Calculation Period}}, divided by 365 ('''{{drvfprov|366/365}}''').<br> | ||
:{{drvfprov|6(5)}} '''{{drvfprov|Calculation Period}}''' means the period beginning with, and including, the effective date of the {{drvfprov|Transaction}}, or a {{drvfprov|Payment Date}}, and ending with, but excluding, the next following {{drvfprov|Payment Date}} or the termination date, or, where the parties have specified '''{{drvfprov|Due Date}}/{{drvfprov|Due Date}}''' in the terms of the {{drvfprov|Transaction}} with respect to floating amounts, the period beginning with, and including, the effective date of the {{drvfprov|Transaction}}, or a {{drvfprov|Due Date}}, and ending with, but excluding, the next following {{drvfprov|Due Date}} or the termination date. For the purposes of this {{drvfprov|Agreement}}, '''{{drvfprov|Payment Date}}''' means the day on which the payment is actually to be made, where applicable after adjustment in accordance with Clause 3 | :{{drvfprov|6(5)}} '''{{drvfprov|Calculation Period}}''' means the period beginning with, and including, the effective date of the {{drvfprov|Transaction}}, or a {{drvfprov|Payment Date}}, and ending with, but excluding, the next following {{drvfprov|Payment Date}} or the termination date, or, where the parties have specified '''{{drvfprov|Due Date}}/{{drvfprov|Due Date}}''' in the terms of the {{drvfprov|Transaction}} with respect to floating amounts, the period beginning with, and including, the effective date of the {{drvfprov|Transaction}}, or a {{drvfprov|Due Date}}, and ending with, but excluding, the next following {{drvfprov|Due Date}} or the termination date. For the purposes of this {{drvfprov|Agreement}}, '''{{drvfprov|Payment Date}}''' means the day on which the payment is actually to be made, where applicable after adjustment in accordance with Clause {{drvfprov|3(5)}}, and '''{{drvfprov|Due Date}}''' means the contractually agreed day for payment, without any such adjustment.<br> | ||
:{{drvfprov|6(6)}} If a floating amount, or a fixed amount to be calculated pursuant to | :{{drvfprov|6(6)}} If a floating amount, or a fixed amount to be calculated pursuant to Clause {{drvfprov|6(2)}} above, sentence 2, is due, the Bank shall notify the Counterparty of such amount, in the first case together with the applicable reference basis.<br> | ||