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Swiss Special Pricing Conventions

Pricing Feature

Treatment

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Accrued Interest

Accrued interest is calculated from the last coupon date before the trade date (not the settlement date). This means that the accrued interest may be greater than the coupon for trades close to the coupon payment date. Because the settlement period is 3 days, custody of the first coupon will remain with the seller when settlement falls on, or two days after, a coupon payment date. In each case, accrued interest is based on the number of days between the previous coupon payment date and the settlement date.

 

 

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