Kalotay
Analytics
A Division of Andrew Kalotay Associates, Inc.

BondOAS™ Day Counts

30/360 US

Applies to most corporate, municipal, and agency bonds. A 30/360 day count convention that assumes there are 30 days in a month and 360 days in a year and uses the following formula in determining periods:

With the following exceptions for D2 and/or D2:

30E/360 (30/360 ISMA, 30/360 European)

A 30/360 day count convention with European treatment of February that uses the following formula in determining periods:

With the following exceptions for D2 and/or D2:

German 30/360 (30E/360 ISDA)

A 30/360 day count convention that uses the following formula in determining periods:

With the following exceptions for D2 and/or D2:

30/360 ISDA (30/360 Bond basis)

A 30/360 day count convention with European treatment of February that uses the following formula in determining periods:

Where DAY1 is converted to D1 and DAY2 is converted to D2 as follows:

ACT/360

Applies to U.S. Treasury bills. The number of accrued days is equal to the actual number of days between the effective date and the terminating date. The accrual factor is the number of accrued days divided by 360.

ACT/365

Applies to some CDs. The number of accrued days is equal to the actual number of days between the effective date and the terminating date. The accrual factor is the number of accrued days divided by 365.

ACT/ACT

Applies to U.S. Treasury notes and bonds, and some European sovereign debt issues. Days in month are actual and coupon period days are actual.

NL/365

The number of days is calculated as the actual number of days between dates without including any occurrences of the leap day, February 29th. This number is divided by 365.

CD/365

CD daycounts cause interest cash flows to be proportional to the number of ACT days in the period, i.e., the interest cash flow is the coupon * days-in-period / 365. Note: bonds with CD daycounts always use the CD yield method regardless of the yield method specified.

BUS DAYS/252

This convention is used in particular in the Brazilian market. The number of accrued days is calculated as the number of market days in the accrual period. The accrual factor is calculated as the number of accrued (market) days divided by 252. Please see holidays.html for a list of Brazilian holidays.