Day Count Conventions

CRM Finance ACT/ACT Act/act (old loans can be Act/365 F) ACT/ACT ICMA Act/Act ICMA ACT/365 F Act/365 ACT/360 Act/360 D30/360 ISDA 30u/360 D30E/360 Eurobond 30e/360 D30/360 US 30/360 US (wrong with irregular periods)

Below are a list of all available day count conventions in the system and explanations on how they work.

In below formulas - Date1 should be viewed as the 'start date' and Date2 as 'end date' in the calculations.

Name	Description	Aliases
Act/Act ISDA	Counts the actual days and years of all occasions. Formulas: This convention accounts for days in the period based on the portion in a leap year and the portion in a non-leap year. The days in the numerators are calculated on a Julian day difference basis. In this convention the first day of the period is included and the last day is excluded. .NET Includes first day and excluding last day. 2019-12-31 – 2020-01-31 (1 day / 365) + (30 / 366) The CouponFactor uses the same formula, replacing Date2 by Date3. In general, coupon payments will vary from period to period, due to the differing number of days in the periods. The formula applies to both regular and irregular coupon periods.	Act/Act ISDA actual/actual actual/actual (Historical) actual/actual (ISDA) ISDA actual/actual (Historical) act/365
Act/Act ICMA	Counts the actual days and years according to the act/act ICMA convention This method ensures that all coupon payments are always for the same amount. For irregular coupon periods, the period has to be divided into one or more quasi-coupon periods (also called notional periods) that match the normal frequency of payment dates. The interest in each such period (or partial period) is then computed, and then the amounts are summed over the number of quasi-coupon periods. It also ensures that all days in a coupon period are valued equally. However, the coupon periods themselves may be of different lengths; in the case of semi-annual payment on a 365-day year, one period can be 182 days and the other 183 days. In that case, all the days in one period will be valued 1/182nd of the payment amount and all the days in the other period will be valued 1/183rd of the payment amount. Ex for a broken period. The first interest period is from 2015-09-11 to 2016-02-29 which gives 171 days. If not broken period had occur that period would have been 182 days (150831-160229). Day conv will then be 171/364 days. Note, Fixing period 1M does not work wring days in February. Fixing period 6M or 1Y works fine! Task #46137	actual/actual (ICMA) act/act (ICMA) act/act ISMA ISMA-99 ISMA Actual/Actual (Bond)
Act/365 F	Counts the actual days, but always uses 365 as denominator. Each month is treated normally and the year is assumed to be 365 days. For example, in a period from February 1, 2005 to April 1, 2005, the Factor is considered to be 59 days divided by 365. The CouponFactor uses the same formula, replacing Date2 by Date3. In general, coupon payments will vary from period to period, due to the differing number of days in the periods. The formula applies to both regular and irregular coupon periods	actual/365 fixed actual/365F English
Act/360	Counts the actual days, but always uses 360 as denominator. Each month is treated normally and the year is assumed to be 360 days. For example, in a period from February 1, 2005 to April 1, 2005, the Factor is 59 days divided by 360 days. The CouponFactor uses the same formula, replacing Date2 by Date3. In general, coupon payments will vary from period to period, due to the differing number of days in the periods. The formula applies to both regular and irregular coupon periods.	actual/360 French
D30/360 ISDA Bond Basis	Counts days according to the 30/360 ISDA convention. This convention is exactly as 30/360 US below, except for the first two rules. Note that the order of calculations is important D1 = MIN (D1, 30). If D1 = 30 Then D2 = MIN (D2,30) Gives equivalent result as ISDA:s definitions of 30/360 Bond Basis: If (DAY1=31) Set D1=30 Otherwise set D1=DAY1 If (DAY2=31) and (DAY1=30 or 31), Then set D2=30 Otherwise set D2=DAY2 Accrued interest will calculate at month end 28 days for February if you run month end on Feb 28th, 30 days if month end is run at 30th of April, 30th of June, 30th of Sept or 30th of November. If month end is run at a month end that has 31 days that month will be calculated as the month has 31 days.	30/360 ISDA 30/360 U.S. Municipal Bond basis
D30E/360 Eurobond	Counts days according to the 30E/360 convention. Often referred to as Eurobond Basis included in ISDA 2006. If D1 is 31, then change D1 to 30. If D2 is 31, then change D2 to 30. This is the same as Excel 30/360 TRUE Accrued interest will calculate at month end 28 days for February if you run month end on Feb 28th. All other months are calculated as the month has 30 days.	30E/360 30/360 ISMA 30/360 European 30S/360 Special German Eurobond Basis Special German
D30/360 US	Counts days according to the 30/360 US convention. Date adjustment rules (more than one may take effect; apply them in order, and if a date is changed in one rule the changed value is used in the following rules): If (Date1 is the last day of February) and (Date2 is the last day of February), then change D2 to 30. If (Date1 is the last day of February), then change D1 to 30. If D2 is 31 and D1 is 30 or 31, then change D2 to 30. If D1 is 31, then change D1 to 30. This convention is used for US corporate bonds and many US agency issues. It is most commonly referred to as "30/360", but the term "30/360" may also refer to any of the other conventions of this class, depending on the context. Accrued interest will calculate at month end 30 days for February if you run month end on Feb 28th, 30 days if month end is run at 30th of April, 30th of June, 30th of Sept or 30th of November. If month end is run at a month end that has 31 days that month will be calculated as the month has 31 days.	30/360 US 30U/360 30US/360 US/NASD method
D30E/360 ISDA	Counts days according to the 30E/360 ISDA convention. Is the pre year 2000 Eurobond Basis. If (DAY1=31) or (DAY1 is the last day of February), Set D1=30 otherwise Set D1=DAY1 If (DAY2=31) or (DAY2 is last day of February but not the Termination date), Then set D2=30 Otherwise set D2=DAY2 Today no adjustments are made for termination date. Accrued interest will calculate at all months as they have 30 days so for example if month end is run at 28th of February the days will be calculated as February has 30 days. The same with the months that has 31 days. For example if month end is run at 31st of July all month from last payment date will be handled as they have 30 days.	30/360E ISDA 30E/360 (2000, outdated) 360/360 Eurobond Basis (2000, outdated) German Master

The below list is day count conventions which is not available in the system because they are very

rare in the Nordics and we do not know any customers that have used them or uses them today.