Non-cumulative compounded rate

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Reference rates - risk-free rates - compounded rates - cumulative compounded rate (CCR).

(NCCR).

The non-cumulative compounded rate is derived from the cumulative compounded rate (CCR).


The NCCR for a given day is the CCR for that day minus the CCR for the previous day.

This generates a daily compounded rate which allows the calculation of a daily interest amount.


These daily interest amounts are added up to provide a rate over the required period, enabling accurate calculation of accrued interest at any point in time.


Sterling Loan Conventions recommend NCCR
"ISDA uses the CCR method in its IBOR fallbacks for derivatives. The CCR method is also used in capital markets products.
The Sterling Loan Conventions however, recommend the NCCR method for loans, because it better supports intra-period events such as prepayments and trading."
The ACT Borrower’s Guide to the LMA’s Investment Grade Agreements - 6th edition - 2022 - p31.


See also


Other resource