Template:2006 ISDA Definitions 6.2

Revision as of 14:04, 4 December 2023 by Amwelladmin (talk | contribs) (Created page with "{{2006 ISDA Definitions 6.2(a)}} {{2006 ISDA Definitions 6.2(b)}} {{2006 ISDA Definitions 6.2(c)}} {{2006 ISDA Definitions 6.2(d)}} {{2006 ISDA Definitions 6.2(e)}} {{2006 ISDA Definitions 6.2(f)}} {{2006 ISDA Definitions 6.2(g)}} {{2006 ISDA Definitions 6.2(h)}} {{2006 ISDA Definitions 6.2(i)}} {{2006 ISDA Definitions 6.2(j)}} {{2006 ISDA Definitions 6.2(k)}}")
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Template:2006 ISDA Definitions 6.2(a) Template:2006 ISDA Definitions 6.2(b) Template:2006 ISDA Definitions 6.2(c) Template:2006 ISDA Definitions 6.2(d) 6.2(e)Spread” means the per annum rate (which may be negative), if any, expressed as a decimal, specified as such for the Swap Transaction or the party. For purposes of determining a Floating Amount, a Compounding Period Amount or a Basic Compounding Period Amount, the Spread will be added to the Floating Rate.
6.2(f)Floating Rate Day Count Fraction” means, in respect of any calculation of a Floating Amount:

(i) if a Floating Rate Day Count Fraction is specified for the Swap Transaction or the Floating Rate Payer, the Floating Rate Day Count Fraction so specified; and
(ii) if the Floating Rate Option specified as the applicable Floating Rate Option is listed in Section 6.2(g) and a Floating Rate Day Count Fraction is not specified for the Swap Transaction or the Floating Rate Payer, the Day Count Fraction indicated for that Floating Rate Option in Section 6.2(g); and
(iii) in all other cases, if a Floating Rate Option defined in Section 7.1 (Rate Options) is specified as the applicable Floating Rate Option, “Actual/360”.

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)

Template:2006 ISDA Definitions 6.2(h) Template:2006 ISDA Definitions 6.2(i) Template:2006 ISDA Definitions 6.2(j) Template:2006 ISDA Definitions 6.2(k)