Business day terms and timing rules

Indra Rajaratnam


This chapter provides a description of the concepts of “business day” and “business day convention”, and also explores other business day terms that are used within the 2014 ISDA Credit Derivatives Definitions (henceforth the “2014 Definitions”; see International Swaps and Derivatives Association Inc. 2014b), such as “calculation agent city business day” and “relevant city business day”. The chapter begins with a brief description of the relevance of “business day” and “business day convention” under the terms of the 2014 Definitions. An explanation of the definition of “business day”, and “business day convention” is subsequently provided. The chapter also demonstrates how a transaction can be structured in such a way that different “business day(s)” are applied for different aspects of a transaction. In the concluding section, the “Event Timing Rule” and the “Payment Timing Rule” are elaborated using historical deliberations of the DC as illustrations to describe the operation of these rules in practice.


“Business day”, as defined in Panel 20.1, is an important concept within the terms of a transaction, as it relates to the timing

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