
The Market Practice Working Group is an occasional forum that evolved out of the discussion on cash settlement and establishing ISDA par swap rate screen pages. It is a forum for traders to come together to discuss market conventions, practices and direction of the industry, with a particular focus on the fixed income business.

MARKET PRACTICE ISSUES
SUBJECT  STATUS  DESCRIPTION  AVAILABLE DOCUMENTS 
Linear interpolation 
Determination of number of days corresponding to Designated Maturities in Linear Interpolation 

Compounding 
Interest rate compounding conventions used in OTC derivatives transactions 

30/360 Day Count Conventions 
Calculation examples of 30/360 and 30E/360 in the 2006 ISDA Definitions 
Excel spreadsheet with worked 30/360 examples 
Linear interpolation 
Calculation example 
Linear Interpolation example (ISDA, January, 2010); Linear Interpolation formula spreadsheet 
ACT/ACT (ICMA) 
The International Capital Markets Association (ICMA) has verified to ISDA that the Day Count Convention formerly known as ACT/ACT (ISMA) is now known as ACT/ACT (ICMA) and that the two conventions are identical. 
ICMA Rule Book, Rule 251, reproduced by permission of ICMA 
Euro market ACT/ACT Day Count Conventions 
The linked memo describes and gives examples of three alternative versions of Actual/Actual day count fractions (ISDA, ICMA, AFB) used in EURdenominated markets 

Euro market conventions 
The linked memo describes market conventions for the EURdenominated markets 
1998 ISDA memo “EMU and Market Conventions: Recent Developments” 
Last Updated:
April 27, 2010 