SARON Compounded definition

SARON Compounded means, in respect of an Interest Period, the rate of return of a daily compound interest investment (with the daily overnight interest rate of the secured funding market for Swiss franc) as calculated by the Calculation Agent on the relevant Interest Determination Date in accordance with the following formula (and the resulting percentage will be rounded, if necessary, to the nearest one ten-thousandth of a percentage point, with 0.00005 being rounded upwards):

SARON Compounded means, with respect to an Interest Period, and subject to the below and Condition 7(l), the rate calculated by the Calculation Agent (or such other party responsible for the calculation of the Rate of Interest, as specified in the relevant Final Terms) on the Interest Determination Date in accordance with the following formula (and the resulting percentage will be rounded, if necessary, to the fifth decimal place, with 0.000005 being rounded upwards):

SARON Compounded means, with respect to any Interest Accrual Period, subject to Condition 5(b)(iii)(E)(4), the rate of return of a daily compound interest investment (with the daily overnight interest rate of the secured funding market for Swiss franc) as calculated by the Calculation Agent at the Specified Time on the relevant Interest Determination Date in accordance with the following formula (and the resulting percentage will be rounded, if necessary, to the nearest fifth decimal place, with 0.000005 being rounded upwards):

Examples of SARON Compounded in a sentence

• If interest in respect of any Series of Notes is calculated on a floating rate basis by reference to SARON Compounded (as defined in the Conditions), references to the Calculation Agent shall be to such person (other than Citibank, N.A., London Branch) as is specified in the relevant Final Terms.

• The interest rate for each Interest Period (the “Interest Rate”) will be the SARON Compounded (as defined below) for such Interest Period, plus the Margin7.

• The Rate of Interest applicable to each Interest Period for SARON-referenced Covered Bonds will be determined on the basis of SARON Compounded, and SARON Compounded for each Interest Period will be based on the daily Swiss Average Rate Overnight during the related Observation Period, as more particularly described in the definition of “SARON Compounded” set out in Annex 1 to the Pricing Supplement.

• In addition, the Rate of Interest applicable to each Interest Period for SARON-referenced Covered Bonds will be determined on the basis of SARON Compounded, which means that the Rate of Interest applicable to each such Interest Period will only be capable of being determined shortly before the end of such Interest Period.

• However, to the extent the Swiss Average Rate Overnight is discontinued, is no longer representative or may no longer be used, for purposes of determining SARON Compounded, the Calculation Agent for such SARON-referenced Covered Bonds will be required to use the alternative methods described in Annex 2 to the Pricing Supplement, which include using a replacement rate recommended by a Recommending Body or using the SNB Policy Rate (in each case including an adjustment spread, if any).

More Definitions of SARON Compounded

SARON Compounded means, with respect to any Interest Period, the rate determined by the Calculation Agent on the relevant Interest Determination Date in accordance with the following formula (and the resulting percentage will be rounded, if necessary, to the fifth decimal place, with 0.000005 being rounded upwards): where:

SARON Compounded means, with respect to any Interest Accrual Period, subject to Condition 4(b)(ii)(C)(iv) and Condition 4(b)(ii)(C)(vi), the rate determined by the Swiss Paying Agent on the relevant Interest Determination Date in accordance with the following formula (and the resulting percentage will be rounded, if necessary, to the fifth decimal place, with 0.000005 being rounded upwards): where: means the number of Zurich Banking Days in the relevant SARON Observation Period;

SARON Compounded means, in respect of an Interest Period, the rate of return of a daily compound interest investment in Swiss Franc (with the daily Swiss Overnight Average Rate Overnight (SARON) as reference rate for the calculation of interest) as calculated by the Calculation Agent (or such other party responsible for the calculation of the Rate of Interest, as specified in the Pricing Supplement) on the relevant Interest Determination Date in accordance with the formula below (with the resulting percentage being rounded, if necessary, to the nearest fifth decimal place, and 0.000005 being rounded upwards):

SARON Compounded means, with respect to any Interest Period, the rate determined by the Calculation Agent on the relevant Interest Determination Date in accordance with the following formula (and the resulting percentage will be rounded, if necessary, to the fifth decimal place, with 0.000005 being rounded upwards): 𝑑𝑏 [𝖦(1 + 𝑖=1 𝑆𝐴𝑅𝑂𝑁𝑖 𝑥 𝑛𝑖 360 ) − 1] 𝑥 360 𝑑𝑐 where: db means the number of Zurich Banking Days in the relevant SARON Observation Period; dc means the number of days in the relevant SARON Observation Period; i indexes a series of whole numbers from one to db, representing the Zurich Banking Days in the relevant SARON Observation Period in chronological order from (and including) the first Zurich Banking Day in such SARON Observation Period; ni means, in respect of any Zurich Banking Day i, the number of days from (and including) such Zurich Banking Day i to (but excluding) the first following Zurich Banking Day; and

SARON Compounded means, with respect to any Interest Period, the rate determined by the Calculation Agent on the relevant Interest Determination Date in accordance with the following formula (and the resulting percentage will be rounded, if necessary, to the fifth decimal place, with 0.000005 being rounded upwards): (1 + =1 360 ) − 1 360 where: db means the number of Zurich Banking Days in the relevant SARON Observation Period; dc means the number of days in the relevant SARON Observation Period; i indexes a series of whole numbers from one to “db”, representing the Zurich Banking Days in the relevant SARON Observation Period in chronological order from (and including) the first Zurich Banking Day in such SARON Observation Period; ni means, in respect of any Zurich Banking Day “i”, the number of days from (and including) such Zurich Banking Day “i” to (but excluding) the first following Zurich Banking Day; and

SARON Compounded means, with respect to any Interest Period, the rate determined by the Calculation Agent on the relevant Interest Determination Date in accordance with the following formula (and the resulting percentage will be rounded, if necessary, to the fifth decimal place, with 0.000005 being rounded upwards):

SARON Compounded means, in respect of an Interest Period, the rate of return of a daily compound interest investment in Swiss Franc (with the daily Swiss Overnight Average Rate Overnight (SARON) as reference rate for the calculation of interest) as calculated by the Calculation Agent (or such other party responsible for the calculation of the Rate of Interest, as specified in the Pricing Supplement) on the relevant Interest Determination Date as follows and the resulting percentage will be rounded, if necessary, to the nearest fifth decimal place, with 0.000005 being rounded upwards: 𝑑𝘣�𝖦 (1 + 𝑆𝐴𝑅𝑂𝑁𝑖 × 𝑛𝑖) − 1� × 360𝑖=1360𝑑𝑐 where: