5.1.7.1 DCF on Funded Amount

DCF for the funded amount is calculated for the period from expected settlement date till the actual settlement date.

• Par and TRS Trades

  For Par and TRS trades the following fee components are calculated for funded amount:

  • Interest computed on Libor Funded Amount, exchanged from seller to buyer. The DCF category used is DCF-FIX-MARGIN (DCF interest using margin for Fixed type drawdowns) calculated as follows:
    • Libor Funded amount * (Actual Settlement Date – Expected Settlement Date) * Margin/Denominator basis

      Where,

      Libor Funded Amount is the sum of outstanding amount of all the Libor (Fixed) type drawdowns under the CUSIP.

      Margin = Spread + Oracle Banking Corporate Lending Margin

      Denominator basis is arrived based on the value of Fee calc Basis.
  • Interest computed on Prime Funded Amount, exchanged from seller to buyer. The DCF category used is DCF-FLT-INT (DCF All-in-rate interest for Floating type drawdowns) calculated as follows:
    • Prime Funded amount * (Actual Settlement Date – Expected Settlement Date) * Allin Rate

      Where,

      Prime Funded Amount is the sum of outstanding amount of all the Prime (Float) type drawdowns under the CUSIP.

      All-in Rate = Base rate+ Spread+ Oracle Banking Corporate Lending Margin

      Denominator basis is arrived based on the value of Fee calc Basis.
  • Cost of Fund computed on Prime Funded Amount, exchanged from buyer to seller. The DCF category used is DCF-FLT-COF (DCF Cost of Funds for Floating type drawdowns) calculated as follows:
    • Prime Funded amount on Expected settlement Date(T+7) * (Settlement Date – Expected Settlement Date)* Average Libor Rate/ Denominator basis

      Where,

      Prime Funded Amount on Expected settlement Date (T+7) is the sum of outstanding amount of all the Prime (Floating) type drawdowns under the CUSIP on the expected settlement date (T+7).

      Average Libor Rate is derived using data from Average Libor rate Maintenance and is calculated from T+7 through settlement date.

• Distressed Trades

  For Distressed trades the following fee components are calculated for funded amount.

  • Interest computed on Prime Funded Amount, exchanged from seller to buyer. The DCF category used is DCF-FLT-INT (DCF All-in-rate interest for Floating type drawdowns) calculated as explained before.
  • Interest computed on Libor Funded Amount, exchanged from seller to buyer. The DCF category used is DCF-FIX-INT (DCF All-in-rate interest for Fixed type drawdowns) calculated as follows:
    • Libor Funded amount * (Actual Settlement Date – Expected Settlement Date) * Allin Rate

      Where,

      Libor Funded Amount is the sum of outstanding amount of all the Libor (Fixed) type drawdowns under the CUSIP.

      All-in Rate = Base rate+ Spread+ Oracle Banking Corporate Lending Margin

      Denominator basis is arrived based on the value of Fee calc Basis.
  • Cost of Carry computed on Prime Funded Amount, exchanged from buyer to seller. The DCF category used is DCF-FLT-COC (DCF Cost of Carry for Floating type drawdowns) calculated as follows:
    • Prime Funded amount on Expected settlement Date(T+7)*Trade Price * (Actual Settlement Date – Expected Settlement Date)* Average Libor Rate/ Denominator basis

      Where,

      Prime Funded amount on Expected settlement Date (T+7) is the sum of outstanding amount of all the Prime (Float) type drawdowns under the CUSIP on the expected settlement date (T+7).

      Average Libor Rate is derived using data from Average Libor rate Maintenance and is calculated from T+7 through settlement date.

  • Cost of Carry computed on Libor Funded Amount, exchanged from buyer to seller. The DCF category used is DCF-FIX-COC (DCF Cost of Carry for Fixed type drawdowns) calculated as follows:
    • Libor Funded amount on Expected settlement Date(T+7)*Trade Price * (Actual Settlement Date – Expected Settlement Date)* Average Libor Rate/ Denominator basis

      Where,

      Libor Funded amount on Expected settlement Date (T+7) is the sum of outstanding amount of all the Libor (Fixed) type drawdowns under the CUSIP on the expected settlement date (T+7)

      Average Libor Rate is derived using data from Average Libor rate Maintenance and is calculated from T+7 through settlement date.