Ofer Abarbanel Data

Non-DVP trading is defined as securities trading where a client’s custodian will have to release payment or deliver securities on behalf of the client before there is certainty that it will receive the counter-value in cash or securities, thus incurring settlement risk. Continue reading “Non-DVP (Ofer Abarbanel online library)”

In finance, maturity or maturity date refers to the final payment date of a loan or other financial instrument, at which point the principal (and all remaining interest) is due to be paid. Continue reading “Maturity (Ofer Abarbanel online library)”

The IMM dates are the four quarterly dates of each year which most futures contracts and option contracts use as their scheduled maturity date or termination date. The dates are the third Wednesday of March, June, September and December (i.e., between the 15th and 21st, whichever such day is a Wednesday), and IMM stands for the International Monetary Market. Continue reading “IMM dates (Ofer Abarbanel online library)”

The Foreign exchange Options date convention is the timeframe between a currency options trade on the foreign exchange market and when the two parties will exchange the currencies to settle the option. The number of days will depend on the option agreement, the currency pair and the banking hours of the underlying currencies. The convention helps the counterparties to understand when payments will be made for each trade. Continue reading “Foreign exchange date conventions (Ofer Abarbanel online library)”

Delivery versus payment or DvP is a common form of settlement for securities. The process involves the simultaneous delivery of all documents necessary to give effect to a transfer of securities in exchange for the receipt of the stipulated payment amount. Alternatively, it may involve transfers of two securities in such a way as to ensure that delivery of one security occurs if and only if the corresponding delivery of the other security occurs.^[1] Continue reading “Delivery versus payment (Ofer Abarbanel online library)”

In finance, a day count convention determines how interest accrues over time for a variety of investments, including bonds, notes, loans, mortgages, medium-term notes, swaps, and forward rate agreements (FRAs). This determines the number of days between two coupon payments, thus calculating the amount transferred on payment dates and also the accrued interest for dates between payments.^[1] Continue reading “Day count convention (Ofer Abarbanel online library)”

In finance, date rolling occurs when a payment day or date used to calculate accrued interest falls on a holiday, according to a given business calendar. In this case the date is moved forward or backward in time such that it falls in a business day, according with the same business calendar. Continue reading “Date rolling (Ofer Abarbanel online library)”

In banking and finance, clearing denotes all activities from the time a commitment is made for a transaction until it is settled. This process turns the promise of payment (for example, in the form of a cheque or electronic payment request) into the actual movement of money from one account to another. Clearing houses were formed to facilitate such transactions among banks. Continue reading “Clearing (Ofer Abarbanel online library)”

Central counterparty clearing (CCP), also referred to as a central counterparty, is a financial institution that takes on counterparty credit risk between parties to a transaction and provides clearing and settlement services for trades in foreign exchange, securities, options, and derivative contracts. CCPs are highly regulated institutions that specialize in managing counterparty credit risk. Continue reading “Central counterparty clearing (Ofer Abarbanel online library)”

In finance, accrued interest is the interest on a bond or loan that has accumulated since the principal investment, or since the previous coupon payment if there has been one already. Continue reading “Accrued interest (Ofer Abarbanel online library)”