ISDA Trading Practice Committee

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.

Chair: Jonathan Moulds (Bank of America)
Global Staff Contact: Julian Day (jday@isda.org)

How to Join

MARKET PRACTICE ISSUES

SUBJECT STATUS - DESCRIPTION AVAILABLE DOCUMENTS

Compounding

Interest rate compounding conventions used in OTC derivatives transactions

Memo (February 5, 2009); Excel spreadsheet with examples

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, December 14, 2006); 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 EUR-denominated markets

The Actual-Actual Day Count Fraction (1999)

Euro market conventions

The linked memo describes market conventions for the EUR-denominated markets
1998 ISDA memo “EMU and Market Conventions: Recent Developments”

Last Updated: May 13, 2009

SUBJECT	STATUS - DESCRIPTION	AVAILABLE DOCUMENTS
Compounding	Interest rate compounding conventions used in OTC derivatives transactions	Memo (February 5, 2009); Excel spreadsheet with examples
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, December 14, 2006); 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 EUR-denominated markets	The Actual-Actual Day Count Fraction (1999)
Euro market conventions	The linked memo describes market conventions for the EUR-denominated markets	1998 ISDA memo “EMU and Market Conventions: Recent Developments”