Financial Market Conventions Library
A practical reference for the day-count, settlement, quotation, calendar, repo, derivatives and fixed-income conventions that determine how markets actually operate.
ACT/360 Day Count
Counts actual elapsed days and uses a 360-day denominator.
DAY COUNTACT/365 Fixed
Counts actual elapsed days and divides by 365.
DAY COUNTACT/ACT
Uses actual elapsed days with an actual-year denominator under a specified Actual/Actual methodology.
DAY COUNT30/360
Treats months and years according to a standardized 30-day/360-day framework.
DAY COUNT30E/360
A European 30/360 convention that standardizes certain month-end dates to day 30.
CALENDARBusiness Day
A day on which the relevant market or payment system is open for the required operation.
CALENDARFollowing Business Day
Moves a date falling on a non-business day to the next business day.
CALENDARModified Following
Moves to the next business day unless that crosses into the next calendar month, in which case it moves backward.
CALENDARPreceding Business Day
Moves a non-business date to the immediately preceding business day.
CALENDARModified Preceding
Moves backward unless that crosses into the previous month, then moves forward.
SETTLEMENTT+0 Settlement
Settlement occurs on the trade date, subject to market cutoffs and infrastructure rules.
SETTLEMENTT+1 Settlement
Settlement is scheduled one business day after trade date.
SETTLEMENTT+2 Settlement
Settlement is scheduled two business days after trade date.
FXSpot FX Convention
The standard value date for a currency pair is determined by pair-specific market rules and eligible business days.
FXFX Forward Points
Forward FX is commonly quoted as points added to or subtracted from the spot quotation rather than as an outright rate.
FXBase/Quote Currency
An FX pair states units of quote currency per unit of base currency under the market's quotation convention.
BOND PRICINGClean Price Quotation
Quotes a bond price excluding accrued interest.
BOND PRICINGDirty Price Settlement
Uses clean price plus accrued interest to determine full bond settlement price.
BOND PRICINGPrice per 100 Par
Quotes bond price as a percentage of face value, commonly per 100 units of par.
BOND PRICINGYield Quotation
Expresses an annualized return measure according to instrument-specific compounding and market conventions.
BOND PRICINGCoupon Frequency
Defines how often scheduled coupon payments occur, such as annual, semiannual or quarterly.
BOND PRICINGEx-Coupon Period
A period before a coupon date during which a buyer may not receive the upcoming coupon under the market's rules.
BOND PRICINGRecord Date
The date used to determine holders entitled to a payment under the instrument's rules.
BOND PRICINGPar Amount
The nominal or face amount on which principal and often coupon cash flows are based.
RATESBasis Point
One hundredth of one percentage point.
RATESPercentage Point
An absolute difference between percentages rather than a relative percentage change.
RATESSimple Interest
Interest accrues linearly with principal, rate and time fraction without intra-period compounding.
RATESPeriodic Compounding
Interest is compounded at specified intervals such as annual, semiannual or quarterly.
RATESContinuous Compounding
Represents growth using the exponential function rather than discrete compounding periods.
RATESZero Rate
A spot rate applying to a single cash flow at a specified maturity.
RATESPar Rate
The fixed rate that makes a standard instrument price at par under the relevant curve and conventions.
RATESForward Rate
A rate implied today for borrowing, lending or discounting over a future interval.
TRADINGBid/Ask Quotation
Markets commonly display a bid at which liquidity is available to buy from the seller and an ask/offer at which liquidity is available to sell to the buyer.
TRADINGBid-Ask Spread
The difference between executable or quoted bid and ask/offer levels.
TRADINGMid Price
A simple midpoint between bid and ask, often used for marking or analysis when appropriate.
TRADINGMarket Order
An instruction prioritizing execution at available market prices rather than a specified limit.
TRADINGLimit Order
An instruction to trade only at a specified price or better.
SETTLEMENTSettlement Finality
The point at which a transfer becomes irrevocable and unconditional under the governing rules and law.
SETTLEMENTDelivery versus Payment
Links securities delivery and payment so that delivery occurs if and only if payment occurs.
SETTLEMENTPayment versus Payment
Links final transfer of one currency to final transfer of another.
SETTLEMENTNet Settlement
Offsets obligations before settling resulting net positions.
SETTLEMENTGross Settlement
Settles obligations individually without offsetting them into a single net position.
DERIVATIVESVariation Margin
Transfers collateral reflecting current mark-to-market changes according to the applicable margin framework.
DERIVATIVESInitial Margin
Collateral intended to cover potential future exposure during the close-out period following a counterparty default.
VALUATIONMark-to-Market
Revalues a position using current market information under the relevant valuation policy.
COLLATERALHaircut
Reduces the recognized lending or collateral value relative to market value.
REPORepo Rate
The annualized financing rate applied to the cash leg of a repurchase agreement under its day-count convention.
REPOOpen Repo
A repo without a fixed maturity date, typically terminable under agreed notice or daily rollover mechanics.
REPOTerm Repo
A repo with a specified maturity or repurchase date.
REPOGeneral Collateral
Repo where financing demand is primary and collateral can be selected from an eligible basket rather than a uniquely sought security.
REPOSpecial Repo
Repo in which a particular security is in unusually high demand and may finance at a rate below general collateral.
DERIVATIVESFixed-for-Floating Swap
An interest-rate swap exchanging fixed-rate cash flows for floating-rate cash flows under agreed conventions.
DERIVATIVESOIS Compounding
The floating leg of an overnight index swap generally compounds or averages overnight reference rates according to the contract methodology.
DERIVATIVESIMM Dates
Standardized quarterly dates associated with derivatives market conventions, traditionally the third Wednesday of March, June, September and December for many contracts.
DERIVATIVESStub Period
An initial or final accrual period shorter or longer than the regular schedule.
CALENDAREnd-of-Month Rule
A schedule rule preserving month-end behavior when dates are generated from a month-end anchor.
RATESFixing Date
The date on which a reference rate or other input is observed for a payment calculation.
RATESPayment Lag
The number of days between the end of an accrual/observation period and the cash payment date.
RATESLookback
Uses an overnight rate observed a specified number of business days earlier for each accrual day.
RATESLockout
Freezes the overnight rate for the final specified days of an accrual period using an earlier observed rate.
RATESObservation Shift
Shifts the observation period used for compounded overnight rates while preserving day weights according to the methodology.
FXCross-Currency Basis
A spread applied to one leg of a cross-currency swap to balance the economics of exchanging funding across currencies.
FXNotional Exchange
Cross-currency swaps may exchange notionals at inception and maturity according to contract terms.
BOND PRICINGTreasury Price in 32nds
Certain US Treasury securities are traditionally quoted in points and 32nds of a point, with additional fractional notation possible.
RATESYield Spread in Basis Points
Yield and credit-spread differences are commonly communicated in basis points.
BOND PRICINGNegative Yield
A yield quotation below zero can arise when the price and cash-flow structure imply a negative annualized return under the specified yield convention.
SETTLEMENTSettlement Fail
A transaction fails to settle on the intended date when securities or cash are not delivered as required.
PAYMENTSCut-Off Time
A deadline after which an instruction may be processed on a later cycle or under different rules.
PAYMENTSIntraday Liquidity
Funds or collateral available during the operating day to support payment and settlement obligations.
PAYMENTSCentral Bank Money
A liability of a central bank used as a settlement asset, including reserve balances in eligible systems.
PAYMENTSCommercial Bank Money
A deposit liability of a commercial bank used for payments and settlement.
RATESCoupon Reset
The process for determining a floating coupon from its reference rate and contractual spread under specified observation rules.
BOND PRICINGSpread over Benchmark
Quotes a bond or loan yield relative to a selected government, swap or reference benchmark.
BOND PRICINGMake-Whole Call
A redemption provision where the call price is determined using the present value of remaining cash flows discounted at a specified reference yield plus spread, subject to documentation.
BOND PRICINGCallable Bond
A bond allowing the issuer to redeem before maturity under specified terms.
BOND PRICINGPuttable Bond
A bond allowing the holder to require early redemption under specified conditions.
BOND PRICINGFloating-Rate Note Margin
FRNs are commonly quoted as a reference rate plus a contractual margin, while secondary valuation can involve discount margin concepts.
INFLATIONIndex Ratio
Inflation-linked bonds use a ratio comparing a reference inflation index level with the base index under instrument-specific lag and interpolation rules.
INFLATIONInflation Index Lag
Inflation-linked securities often reference inflation data with a specified lag because index values are published after the measurement period.
INFLATIONReal Yield Quotation
Inflation-linked bonds are commonly quoted using real yields based on inflation-adjusted cash-flow conventions.
PRIMARY MARKETAuction Stop-Out Yield
The yield at which a competitive securities auction clears under the auction's rules.
PRIMARY MARKETBid-to-Cover Ratio
Total bids received divided by the amount accepted or offered, depending on the issuer's published convention.
PRIMARY MARKETWhen-Issued Trading
Trading in a security after announcement but before formal issuance or settlement, subject to market rules.
PRIMARY MARKETBenchmark Bond
A liquid, representative issue used as a reference for pricing and market comparison at a maturity point.
PRIMARY MARKETOn-the-Run
The most recently issued security in a benchmark government-bond maturity sector.
PRIMARY MARKETOff-the-Run
An older issue no longer the current benchmark for its maturity sector.