Interest Rate Swaps compounding methodologies

There are two standard overnight compounding methodologies used (where applicable) to determine the Floating Rate for each Reset Date: Compounding with Lookback and Compounding with Observation Period Shift, specifically:

• How the observation window is aligned (via “Lookback” or “Observation Period Shift”) and,
• How rates are compounded across the Calculation/Observation Period to produce the payable interest for the Swap

The rate for a Reset Date will be the rate of return of a daily compound interest investment calculated in accordance with the formula below (where the reference rate for the calculation of interest is the relevant overnight rate in the Floating Rate Option) and the resulting percentage will be rounded up or down as necessary to the [fourth]/[fifth]¹ decimal place (for example, [0.00005]/[0.000005] shall be rounded up to [0.0001]/[0.00001]):

where:
"d" is the number of calendar days in the relevant Calculation Period;
"d0" for any Calculation Period, is the number of Applicable Business Days in the Calculation Period, except if the first calendar day of the Calculation Period is not an Applicable Business Day, then it is the number of Applicable Business Days in the Calculation Period plus one (1);
"i" is:

• if the first calendar day in the Calculation Period is an Applicable Business Day, a series of whole numbers from one (1) to d0, each representing the relevant Applicable Business Day in chronological order from, and including, the first Applicable Business Day in the Calculation Period; or
• if the first calendar day of the Calculation Period is not an Applicable Business Day, then it is a series of whole numbers from one (1) to do, where i = 1 represents the first calendar day of the Calculation Period, and each of i = 2 to d0 represents the relevant Applicable Business Day in chronological order from, and including, the first Applicable Business Day in the Calculation Period;

“Applicable Business Day_i-rABD” means for any day “i” in the Calculation Period, the day “r” Applicable Business Day(s) preceding such day “i”, except if “i” = 1 and day “i” is not an Applicable Business Day, then it is the day r + 1 Applicable Business Day(s) preceding day “i”;
"n_i" is the number of calendar days from and including the day “i” up to but excluding the earlier of (a) the next Applicable Business Day and (b) the Period End Date for the Calculation Period or, in respect of the final Calculation Period, the Termination Date;
“r” is the number specified as the “Lookback”; and
"Benchmark Level_i-rABD " means, in respect of any Applicable Business Day_i-rABD falling in the relevant Calculation Period, the rate determined in accordance with the Floating Rate Option as if such Applicable Business Day_i-rABD were a Reset Date for the purpose of such Floating Rate Option;

“Day Count Basis” is, in respect of the Floating Rate Option, the denominator of the Floating Rate Day Count Fraction (in this case, [360]²).

The rate for a Reset Date will be the rate of return of a daily compound interest investment calculated in accordance with the formula below (where the reference rate for the calculation of interest is the relevant overnight rate in the Floating Rate Option) and the resulting percentage will be rounded up or down as necessary to the [fourth]/[fifth]³ decimal place (for example, [0.00005]/[0.000005] shall be rounded up to [0.0001]/[0.00001]):

where:
"d" is the number of calendar days in the relevant Observation Period;
"d0" is the number of Applicable Business Days in the relevant Observation Period
"i" is a series of whole numbers from 1 to d₀, each representing the relevant
Applicable Business Day in chronological order from, and including, the first Applicable Business Day in the relevant Observation Period;
"Benchmark Level_i" means, in respect of any Applicable Business Day_i falling in the relevant Observation Period, the rate determined in accordance with the Floating Rate Option as if such Applicable Business Day_i were a Reset Date for the purpose of such Floating Rate Option;
“s” is the number specified as Observation Period Shift
"n_i" is the number of calendar days from and including the day “i” up to but excluding the earlier of (a) the next Applicable Business Day and (b) the Standard Observation Period End Date for the Observation Period;
“Day Count Basis” is, in respect of the Floating Rate Option, the denominator of the Floating Rate Day Count Fraction (in this case, [360]⁴);
“Observation Period” means, for any Calculation Period, the period from, and including, the date “s” Observation Period Shift Business Days preceding the first calendar day of the Calculation Period (and the first Observation Period shall begin on and include the date “s” Observation Period Shift Business Days prior to the Effective Date) to, but excluding, the date “s” Observation Period Shift Business Days preceding the Period End Date at the end of the Calculation Period (or, in respect of the final Observation Period, the date “s” Observation Period Shift Business Days preceding the Termination Date) (the “Standard Observation Period End Date”);
“Observation Period Shift Business Day(s)” means any day which is both an Applicable Business Day and an Observation Period Shift Additional Business Day;
Observation Period Shift Additional Business Day : none.⁵