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The Money Markets Handbook: A Practitioner's Guide by Moorad Choudhry

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Glossary

Accreting: An accreting principal is one which increases during the life of the deal. See amortising, bullet.

Accreting swap: Swap whose notional amount increases during the life of the swap (opposite of amortising swap).

Accrued interest: The proportion of interest or coupon earned on an investment from the previous coupon payment date until the value date.

ACT/360: A day/year “count convention taking the number of calendar days in a period and a “year” of 360 days.

ACT/365: A day/year convention taking the number of calendar days in a period and a “year” of 365 days. Under the ISDA definitions used for interest rate swap documentation, ACT/365 means the same as ACT/ACT.

ACT/ACT: A day/year count convention taking the number of calendar days in a period and a “year equal to the number of days in the current coupon period multiplied by the coupon frequency. For an interest rate sway, that part of the interest period falling in a leap year is divided by 366 and the remainder is divided by 365.

Advanced IRB: The advanced internal ratings-based approach of the Basel II regulations. The AIRB is one of two internal credit-ratings based approached allowed under Basel II to calculate regulatory capital requirement for credit risk, with the other being the foundation IRB approach. Under AIRB banks and financial institutions are allowed to provide their own internal data to calculate probability of default, exposure-at-default and loss-given-default. The actual calculations of ...

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