DFR Spread definition
DFR Spread means (i) where an Index Cessation Event occurs and if no ECB Recommended Rate is recommended before the end of the first TARGET Settlement Day following the day on which the €STR Index Cessation Event occurs, the arithmetic mean of the daily difference between the €STR and the Eurosystem Deposit Facility Rate over an observation period of 30 TARGET Settlement Days, or (ii) where an Index Cessation Event occurs in relation to an ECB Recommended Rate, the arithmetic mean of the daily difference between the ECB Recommended Rate and the Eurosystem Deposit Facility Rate over an observation period of 30 TARGET Settlement Days. The relevant observation period starts 30 TARGET Settlement Days (including) prior to the day on which the relevant Index Cessation Event occurs and ends on the TARGET Settlement Day (including) immediately preceding the day on which the relevant Index Cessation Event occurs.