What is calculation period ISDA?
What is calculation period ISDA?
“Calculation Period” means, in respect of a Swap Transaction and a party, each period from, and including, one Period End Date of that party to, but excluding, the next following applicable Period End Date during the Term of the Swap Transaction, except that (a) the initial Calculation Period for the party will …
What is a settlement matrix?
The Case Valuation Matrix (“Matrix”) is designed to approximate historical settlement values in the tort system. To achieve this goal, historical settlement values were evaluated in each jurisdiction where Western performed significant work and had a history of being sued and settling cases.
What is designated maturity?
An interest rate is a measure, typically stated as a percentage per annum, of the cost of borrowing funds in a specified currency for a stated period of time (often referred to as the “designated maturity”).
What is ISDA benchmark supplement?
The Benchmarks Supplement provides parties with a means to amend their derivatives transactions upon the occurrence of certain events with respect to IBORs, but does not provide set fallbacks to operate in place of discontinued IBORs.
What is flat compounding?
Flat Compounding Amount means (i) in respect of the first Compounding Period in any Calculation Period, zero and (ii) in respect of each succeeding Compounding Period in that Calculation Period, an amount equal to the sum of the Basic Compounding Period Amounts and the Additional Compounding Period Amounts for each of …
What is a compounded RFR?
Cumulative Compounded RFR Rate means, in relation to an Interest Period for a Loan, the percentage rate per annum determined by the Agent (or by any other Finance Party which agrees to determine that rate in place of the Agent) in accordance with the methodology set out in Schedule 14 (Cumulative Compounded RFR Rate) …
What is observation period shift?
An observation shift means that the applicable rate is weighted according to the number of days to which that rate applies in the relevant observation period rather than in the interest period.
What is an index cessation event?
Index Cessation Event means, in respect of a Relevant Benchmark which is a Reference Rate or a Floating Rate Option, or any other interest rate, yield, cost of funds or similar rate, the occurrence or existence, as determined by the Issuer, of one or more of the following events: Sample 1.
What is OIS compound?
An overnight indexed swap (OIS) is an interest rate swap (IRS) over some given term, e.g. 10Y, where the periodic fixed payments are tied to a given fixed rate while the periodic floating payments are tied to a floating rate calculated from a daily compounded overnight rate over the floating coupon period.
How do you calculate compound SOFR?
SOFR compounded in arrears is calculated by compounding interest over the current interest period. [19] Therefore, it is not known in advance of the payment date. SOFR compounded in advance is calculated by compounding interest over a previous set amount of days (i.e. tenors of 30, 90 or 180 days).