| EOM | Rolls on month end dates irrespective of the length of the month and the previous
roll day.
|
| FRN | Roll days are determined according to the FRN Convention or Eurodollar Convention
as described in ISDA 2000 definitions.
|
| IMM | IMM Settlement Dates. The third Wednesday of the (delivery) month. |
| IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange (Bourse de
Montreal Inc) Three-month Canadian Bankers' Acceptance Futures (Ticker Symbol BAX).
The second London banking day prior to the third Wednesday of the contract month.
If the determined day is a Bourse or bank holiday in Montreal or Toronto, the last
trading day shall be the previous bank business day. Per Canadian Derivatives Exchange
BAX contract specification.
|
| IMMAUD | The last trading day of the Sydney Futures Exchange 90 Day Bank Accepted Bills Futures
contract (see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). One Sydney
business day preceding the second Friday of the relevant settlement month.
|
| IMMNZD | The last trading day of the Sydney Futures Exchange NZ 90 Day Bank Bill Futures contract
(see http://www.sfe.com.au/content/sfe/trading/con_specs.pdf). The first Wednesday
after the ninth day of the relevant settlement month.
|
| SFE | Sydney Futures Exchange 90-Day Bank Accepted Bill Futures Settlement Dates. The second
Friday of the (delivery) month.
|
| NONE | The roll convention is not required. For example, in the case of a daily calculation
frequency.
|
| TBILL | 13-week and 26-week U.S. Treasury Bill Auction Dates. Each Monday except for U.S.
(New York) holidays when it will occur on a Tuesday.
|
| 1 | Rolls on the 1st day of the month. |
| 2 | Rolls on the 2nd day of the month. |
| 3 | Rolls on the 3rd day of the month. |
| 4 | Rolls on the 4th day of the month. |
| 5 | Rolls on the 5th day of the month. |
| 6 | Rolls on the 6th day of the month. |
| 7 | Rolls on the 7th day of the month. |
| 8 | Rolls on the 8th day of the month. |
| 9 | Rolls on the 9th day of the month. |
| 10 | Rolls on the 10th day of the month. |
| 11 | Rolls on the 11th day of the month. |
| 12 | Rolls on the 12th day of the month. |
| 13 | Rolls on the 13th day of the month. |
| 14 | Rolls on the 14th day of the month. |
| 15 | Rolls on the 15th day of the month. |
| 16 | Rolls on the 16th day of the month. |
| 17 | Rolls on the 17th day of the month. |
| 18 | Rolls on the 18th day of the month. |
| 19 | Rolls on the 19th day of the month. |
| 20 | Rolls on the 20th day of the month. |
| 21 | Rolls on the 21st day of the month. |
| 22 | Rolls on the 22nd day of the month. |
| 23 | Rolls on the 23rd day of the month. |
| 24 | Rolls on the 24th day of the month. |
| 25 | Rolls on the 25th day of the month. |
| 26 | Rolls on the 26th day of the month. |
| 27 | Rolls on the 27th day of the month. |
| 28 | Rolls on the 28th day of the month. |
| 29 | Rolls on the 29th day of the month. |
| 30 | Rolls on the 30th day of the month. |
| MON | Rolling weekly on a Monday. |
| TUE | Rolling weekly on a Tuesday. |
| WED | Rolling weekly on a Wednesday. |
| THU | Rolling weekly on a Thursday. |
| FRI | Rolling weekly on a Friday. |
| SAT | Rolling weekly on a Saturday. |
| SUN | Rolling weekly on a Sunday. |