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

Linear interpolation

Determination of number of days corresponding to Designated Maturities in Linear Interpolation

Best practices statement (December 18, 2009)

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, 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 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: April 27, 2010