Understand Day Count Basis Options

Denominator

Varies depending whether a relevant portion of the calculation period falls within a leap year. For the portion of the calculation period falling within a leap year, the denominator is 366. For the portion of the calculation period falling outside a leap year, the denominator is 365. The two fractions are then added together.

ACT/360

Numerator

The actual number of days between two dates.

Denominator

360

ACT/364

Numerator

The actual number of days between two dates.

Denominator

364

ACT/365

Numerator

The actual number of days between two dates.

Denominator

365

ACT/365L

Numerator

The actual number of days between two dates.

Denominator

• If a coupon pays annually and February 29 is included in the interest period, then the denominator used is 366; otherwise, it is 365.

• If a coupon does not pay annually, then the denominator used is 366 for each interest period where the entitlement date falls in a leap year; otherwise, it is 365.

ACT/252

Numerator

The actual number of days between two dates.

Denominator

252

BUS/252

THE BUS/252 day count method supports the characteristics of the Brazilian Day Count Accrual convention. This method is used for many South American fixed income instruments and is based on the Brazilian Business Calendar where the average number of business days in a year is 252.

Securities using this day count method accrue and amortize only on valid business days in the business calendar used, so that weekends and holidays are not included in the calculation of the number of days in an accrual period. A valid business calendar is required when you select the BUS/252 day count method.

CAD/365

The CAD/365 day count facilitates the processing of securities that adhere to the Bank of Canada Day Count Method (CAD/365). The CAD/365 Day Count is only applicable for Long Term Fixed Income securities that pay at Semi-Annual frequency (the CAD/365 Day Count basis assumes equal semiannual payments).

Daily factor is calculated as:

Purchased Interest is calculated as:

Exceptions

In a 181 day coupon period, buying on the 180th day, purchased interest is calculated as:

However, the 181st day's accrual is calculated as:

thus on the 181st day receives 2.5 days' worth of accruals.

In a 182 day coupon period, buying on the 181st day, purchased interest is calculated as:

The 181st day's accrual is calculated as:

thus receives 1.5 days' worth of accruals.

In a 183 day coupon period, buying on the 182nd day, purchased interest is calculated as:

The 182nd day's accrual is calculated as:

thus receives .5 days' worth of accruals.

In a 184 day coupon period, buying on the 183rd day, purchased interest is calculated as:

The 183rd day's accrual is calculated as:

and thus receives 1 day's worth of accruals.

JPY/365

The JPY/365 day count accrues based upon an ACT/365 day count but creates even semi-annual coupon payments.

Daily factor is calculated as:

Purchased Interest is calculated as:

Exceptions

In a 181 day coupon period, buying on the 180th day, purchased interest is calculated as:

However, the 181st day's accrual is calculated as:

thus on the 181st day receives 2.5 days' worth of accruals.

In a 182 day coupon period, buying on the 181st day, purchased interest is calculated as:

The 181st day's accrual is calculated as:

thus receives 1.5 day's worth of accruals.

In a 183 day coupon period, buying on the 182nd day, purchased interest is calculated as:

The 182nd day's accrual is calculated as:

thus receives .5 days' worth of accruals.

In a 184 day coupon period, buying on the 183rd day, purchased interest is calculated as:

The 183rd day's accrual is calculated as:

and thus receives 0 days' worth of accruals.

NL/365

Numerator

No Leap Year. The actual number of days between two dates, but never includes Feb.29.

Denominator

365

ZAR/365

This Day Count pays even coupon amounts but calculates daily accruals using the ACT/365 basis. On the last day of a normal length coupon period, the accrual is trued up to create equal coupon period amounts. This method is used with South African Government bonds. 

Exceptions

In a 181 day coupon period, buying on the 181st day, purchased interest is calculated with 180 days of interest (standard): However, earning for the 181st day uses an accrual factor that is based upon 182.5 days. This means the tax lot earns 2.5 days’ worth of accruals on the 181st day.

In a 182 day coupon period, buying on the 182nd day, purchased interest is calculated with 181 days of interest (standard): However, earning for the 182nd day uses an accrual factor that is based upon 182.5 days. This means the tax lot earns 1.5 days’ worth of accruals on the 182nd day.

In a 183 day coupon period, buying on the 183rd day, purchased interest is calculated with 182 days of interest (standard): However, earning for the 183rd day uses an accrual factor that is based upon 182.5 days. This means the tax lot earns -5 days’ worth of accruals on the 183rd day.

In a 184 day coupon period, buying on the 184th day, purchased interest is calculated with 183 days of interest (standard): However, earning for the 184th day uses an accrual factor that is based upon 182.5 days. This means the tax lot earns -.5 days’ worth of accruals on the 184th day.

In coupon periods where leap year is included in the calculation:

• Coupon period start date of 02/28/2016 and End Date of 08/31/2016, the extra day is added to the coupon period but pays an even modal coupon amount.

• Using coupon period start date of 02/28/2016 and End Date of 08/31/2016, this produces a coupon period of 185 days. In a 185 day coupon period, buying on the 185th day, purchased interest is calculated with 184 days of interest (standard). However, earning for the 185th day uses an accrual factor that is based upon 182.5 days. This means the tax lot earns -1.5 days’ worth of accruals on the 185th day.

In a short coupon period, the coupon is accrued on an Actual /365 basis and there is no true-up of the accrual period.

in a long coupon period, the calculation is:

30/360 Rules

The following three variants of this basic rule differ by making certain adjustments to D1, D2, and M2, as follows.

Numerator

The basic 30/360 method for calculating the numerator is illustrated by the following expression:

Denominator

360

30/360 = NASD 30/360

• 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.

30E/360 = ISMA 30/360

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

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

30EP/360 = 30E+/360

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

• If D2 falls on the 31st, change it to one and increase M2 by one.

30/365

• 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.

  • Denominator is 365 days.

30E/365

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

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

  • Denominator is 365 days.

30/ACT

• 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.

  • Denominator is based upon the actual number of days in the period.

30E/ACT

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

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

  • Denominator is based upon the actual number of days in the period.

30/365L

• 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.

  • Denominator is based on 365 days in a normal length year, and 366 in a leap year.

30E/365L

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

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

  • Denominator is based on 365 days in a normal year, and 366 days in a leap year.