Conventions

Conventions used by Term Finance.

In calculating the repurchase price due at maturity based on the market clearing repo rate, we follow an Actual/360 day count convention.

\text{DayCountFactor} = \frac{\text{Days}(\text{AuctionDate},\text{ MaturityDate})}{360}

The Repurchase Price, given the Purchase Price and any given repo rate is calculated as follows:

\text{RepurchasePrice} = \text{PurchasePrice} \left(1+ \text{RepoRate}*\text{DayCountFactor}\right)\

Last updated 23 days ago

In calculating the repurchase price due at maturity based on the market clearing repo rate, we follow an Actual/360 day count convention.

\text{DayCountFactor} = \frac{\text{Days}(\text{AuctionDate},\text{ MaturityDate})}{360}

The Repurchase Price, given the Purchase Price and any given repo rate is calculated as follows:

\text{RepurchasePrice} = \text{PurchasePrice} \left(1+ \text{RepoRate}*\text{DayCountFactor}\right)\