Publication: Next business day after the Last Trading Day
100 minus the EDSP Rate, determined as described below. Based on
ESTR (Euro short-term rate) as calculated by the Benchmark
Administrator each business day, the EDSP Rate represents the
effective rate of interest achieved by reinvesting at ESTR for each
day of the accrual period of the contract. The following formula
shall be applied:
Click
here for EDSP Rate Formula
where:
x = the number of ESTR rates determined in the Accrual Period.
N = the total number of calendar days in the Accrual Period; and
Ai = the overnight return factor in respect of the ith ESTR rate of
the Accrual Period, determined as
Click
here for EDSP Ai Formula
where:
and rounded to eight decimal places, where:
Ei = the ith ESTR rate of the Accrual Period, expressed in such a
way that for a rate of 1% per annum, Ei = 0.01000.
di = the number of days that Ei is applied, such that di represents
the number of calendar days between the day in respect of which the
rate Ei is determined and the next day on which a ESTR rate is
published.
Where the EDSP Rate is not an exact multiple of 0.00001, it will be
rounded to the nearest 0.00001 or, where the EDSP Rate is an exact
uneven multiple of 0.000005, to the nearest lower 0.00001.
For calendar days on which the ESTR rate is not computed (e.g.,
Saturdays, Sundays and bank holidays) the rate shall be the rate
determined on the most recent business day for which a rate was
determined.
