Understanding the Markets

Glossary

30/360 Also 360/360 or 30(E)/360. A day/year count convention

assuming 30 days in each calendar month and a ‘year’ of 360 days;

adjusted in America for certain periods ending on the 31

st

day of the

month (and then sometimes known as 30(A)/360).

360/360 Same as 30/360.

AAA The highest credit rating for a company or asset – the risk of

default is negligible.

Accreting swap A swap where the notional principal increases

during the life of the swap.

Accrued interest Interest due on a bond or other fixed-income

security that must be paid by the buyer of a security to its seller.

Usual compensation: coupon rate of interest times elapsed days from

prior interest payment date (i.e. coupon date) up to but not including

settlement date.

ACT/360 A day/year count ...