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Status Likely to implement
Categories Strategic
Created by Mark Zumbraegel
Created on Jan 14, 2022

RELATED IDEAS

RFR interest calc using Observation Period Days

A new interest calculation methodology is required that uses the Observation Period days instead of the Interest Period days to calculate the interest for SOFR transactions. This is required for FRNs, Yield Periodic and IRS deals.

Specific language provided by a client is:

The amount of interest accrued and payable on the notes for each Interest Period will be equal to the product of (1) the outstanding principal

amount of the notes multiplied by (2) the product of (a) the Interest Rate for the relevant Interest Period multiplied

by (b) the quotient of the actual number of calendar days in the Observation Period divided by 360.


Calc ob period ...
Compounded SOFR...
Royal Bank of C...
NextEra Energy ...
Pricing Supplem...
Pricing Supplem...
Calc ob period shift - MZ.xlsx
 Calc ob period shift - MZ.xlsx
Open full size
Compounded SOFR Swap Calculator May 17 250M.xlsx
 Compounded SOFR Swap Calculator May 17 250M.xlsx
Open full size
Royal Bank of Canada 424B2 2021115 f3115212424b2.htm.pdf
 Royal Bank of Canada 424B2 2021115 f3115212424b2.htm.pdf
Open full size
NextEra Energy Inc Prospectus (424B5) 2021315 tm219696-1_424b5.htm.pdf
 NextEra Energy Inc Prospectus (424B5) 2021315 tm219696-1_424b5.htm.pdf
Open full size
Pricing Supplement - 18MO FRN Obs Shift Highlight.pdf
 Pricing Supplement - 18MO FRN Obs Shift Highlight.pdf
Open full size
Pricing Supplement - 3YR FRN.pdf
 Pricing Supplement - 3YR FRN.pdf
Open full size
Calc ob period shift - MZ.xlsx Compounded SOFR Swap Calculator May 17 250M.xlsx Royal Bank of Canada 424B2 2021115 f3115212424b2.htm.pdf NextEra Energy Inc Prospectus (424B5) 2021315 tm219696-1_424b5.htm.pdf Pricing Supplement - 18MO FRN Obs Shift Highlight.pdf Pricing Supplement - 3YR FRN.pdf
Work in
QNTM-E-2968 RFR - Observation Period Days
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