The Final Settlement Price shall be determined as 100 minus the
Final Settlement Price Rate (“FSPR”). The FSPR shall be
the compounded average of the daily SOFR rate for the delivery
quarter, calculated as:
x = the number of SOFR rates determined in the Accrual Period.
N = the number of calendar days in the Accrual Period.
= the overnight return factor in respect of the
SOFR rate of the Accrual Period, determined as:
And rounded to eight decimal places, where:
= the ith SOFR rate of the Accrual Period, expressed
in such a way that for a rate of 1% per annum, Si
= the number of days that Si
such that di
represents the number of calendar days
between the day in respect of which the rate Si
determined and the next day on which a SOFR rate is published.
For calendar days on which SOFR is not calculated (e.g, Saturdays,
Sundays and bank holidays) the rate shall be determined on the most
recent business day for which a rate was determined.