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This section provides several scenarios used to compare day count methods. The following table lists these scenarios.


Start of Coupon Period

End of Coupon Period

ISMA 30/360 (30E/360)

NASD 30/360 (30/360)

Actual Day Counts

Scenario 1

12/29/2003

01/31/2004

31

32

33

Scenario 2

12/30/2003

01/31/2004

30

30

32

Scenario 3

12/31/2003

01/31/2004

30

30

31

Scenario 4

01/01/2004

01/31/2004

29

30

30

Scenario 5

12/29/2003

02/01/2004

32

32

34

Scenario 6

12/30/2003

02/01/2004

31

31

33

Scenario 7

12/31/2003

02/01/2004

31

31

32

Scenario 8

01/01/2004

02/01/2004

30

30

31

On this page

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Scenario 1

Scenario 1 ISMA 30/360 (30/E360)

Values

Adjusted Values

Year 2

2004

Month 2

01

Day 2

31

30

Year 1

2003

Month 2

12

Day 2

29

Because Date 2 falls on the 31st, the D2 is adjusted back to the 30th of the month.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 29)
31 = (360) + -330 + 1

Scenario 1 NASD (30/360)

Values

Adjusted Values

Year 2

2004

Month 2

01

Day 2

31

Year 1

2003

Month 1

12

Day 2

29

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th, only if D1 falls on the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (31 - 29)
32 = (360) + -330 + 2

Scenario 2

Scenario 2 ISMA 30/360 (30/E360)

Values

Adjusted Values

Year 2

2004

Month 2

01

Day 2

31

30

Year 1

2003

Month 2

12

Day 2

30

Because Date 2 falls on the 31st, the D2 is adjusted back to the 30th of the month.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0

Scenario 2 NASD (30/360)

Values

Adjusted Values

Year 2

2004

Month 2

01

Day 2

31

30

Year 1

2003

Month 1

12

Day 1

30

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th, only if D1 falls on the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0

Scenario 3

Scenario 3 ISMA 30/360 (30/E360)

Values

Adjusted Values

Year 2

2004

Month 2

01

Day 2

31

30

Year 1

2003

Month 2

12

Day 2

31

30

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0

Scenario 3 NASD (30/360)

Values

Adjusted Values

Year 2

2004

Month 2

01

Day 2

31

30

Year 1

2003

Month 1

12

Day 1

31

30

  • If Day 1 falls on the 31st, change it to the 30th.

  • If Day 2 falls on the 31st, change it to the 30th, only if Day 1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (01 - 12) * 30 + (30 - 30)
30 = (360) + -330 + 0

Scenario 4

Scenario 4 ISMA 30/360 (30/E360)

Values

Adjusted Values

Year 2

2004

Month 2

01

Day 2

31

30

Year 1

2004

Month 2

01

Day 2

01

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (01 - 01) * 30 + (30 - 01)
29 = 0 + 0 + 29

Scenario 4 NASD (30/360)

Values

Adjusted Values

Year 2

2004

Month 2

01

Day 2

31

30

Year 1

2004

Month 1

01

Day 1

01

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (01 - 01) * 30 + (31 - 1)
30 = 0 + 0 + 30

Scenario 5

Scenario 5 ISMA 30/360 (30/E360)

Values

Adjusted Values

Year 2

2004

Month 2

02

Day 2

01

Year 1

2003

Month 2

12

Day 2

29

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 29)
32 = (360) + -300 + -28

Scenario 5 NASD (30/360)

Values

Adjusted Values

Year 2

2004

Month 2

02

Day 2

01

Year 1

2003

Month 1

12

Day 1

29

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 29)
32 = (360) + -300 + - 28

Scenario 6

Scenario 6 ISMA 30/360 (30/E360)

Values

Adjusted Values

Year 2

2004

Month 2

02

Day 2

01

Year 1

2003

Month 2

12

Day 2

30

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29

Scenario 6 NASD (30/360)

Values

Adjusted Values

Year 2

2004

Month 2

02

Day 2

01

Year 1

2003

Month 1

12

Day 1

30

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29

Scenario 7

Scenario 7 ISMA 30/360 (30/E360)

Values

Adjusted Values

Year 2

2004

Month 2

02

Day 2

01

Year 1

2003

Month 2

12

Day 1

30

30

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29

Scenario 7 NASD (30/360)

Values

Adjusted Values

Year 2

2004

Month 2

02

Day 2

01

Year 1

2003

Month 1

12

Day 1

30

30

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2003) * 360 + (02 - 12) * 30 + (01 - 30)
31 = (360) + -300 + -29

Scenario 8

Scenario 8 ISMA 30/360 (30/E360)

Values

Adjusted Values

Year 2

2004

Month 2

02

Day 2

01

Year 1

2004

Month 2

01

Day 2

01

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (02 - 01) * 30 + (01 - 01)
30 = (0)+ 30 + 0

Scenario 8 NASD (30/360)

Values

Adjusted Values

Year 2

2004

Month 2

02

Day 2

01

Year 1

2004

Month 1

01

Day 1

01

  • If D1 falls on the 31st, change it to the 30th.

  • If D2 falls on the 31st, change it to the 30th, only if D1 falls on either the 30th or 31st.

N = (Y2 - Y1) x 360 + (M2 - M1) 30 + (D2 - D1)
N = (2004 - 2004) * 360 + (02 - 01) * 30 + (01 - 01)
30 = 0 + 30 + 0