Calculation Amount - ISDA Definition

2006 ISDA Definitions A Jolly Contrarian owner’s manual™ Go premium Crosscheck: →Calculation, Currency and Notional Amount in the 2006 ISDA definitions →Calculation, Currency and Notional Amount in the 2021 ISDA definitions Calculation, Currency and Notional Amount in a Nutshell™ The JC’s Nutshell™ summary of this term has moved uptown to the subscription-only ninja tier. For the cost of ½ a weekly 🍺 you can get it here. Sign up at Substack. Original text: edit Section 4.6. Currency Amount. “Currency Amount” means, in respect of a party and any Calculation Period for a Swap Transaction involving more than one currency, the amount specified as such for the Swap Transaction or that party. Section 4.7. Notional Amount. “Notional Amount”: (a) means, in respect of a party and any Calculation Period for a Swap Transaction involving one currency other than an Option Transaction, the amount specified as such for the Swap Transaction; and (b) in respect of any Option Transaction, has the meaning set forth in Section 12.5 (Notional Amount for Option Transactions). Section 4.8. Calculation Amount. “Calculation Amount” means, in respect of a Swap Transaction and a party, the applicable Notional Amount or Currency Amount, as the case may be. Template:M comp DI Resources and Navigation Template:Res DI

Overview

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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.

Summary

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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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• JC’s “nutshell” summary of the clause
• Background reading and long-form essays

See also

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