TWAP Process definition
TWAP Process means a process of establishing a time-weighted average level on any Index Business Day(t). During any of the TWAP Observation Periods or Signal TWAP Observation Periods, the relevant level will be recorded at every 15 second interval (each interval being a “TWAP Observation Interval”). In respect of each TWAP Observation Interval, the level will be the most recent level at exactly the same time as such TWAP Observation Interval.