Description
Type: int
The day count convention used in interest calculations for a bond or an interest bearing security. Absence of this field for a bond or an interest bearing security transaction implies a "flat" trade, i.e. no accrued interest determined at time of the transaction.
Valid values:
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0 = 1/1
If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).
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1 = 30/360 (30U/360 or Bond Basis)
See also ISO 15022 MICO code 'A001'.
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2 = 30/360 (SIA)
A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.
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3 = 30/360M
Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.
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4 = 30E/360 (Eurobond Basis)
See also ISO 15022 MICO code 'A007'.
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5 = 30E/360 (ISDA)
Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).
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6 = Act/360
See also ISO 15022 MICO code 'A004'.
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7 = Act/365 (FIXED)
See also ISO 15022 MICO code 'A005'.
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8 = Act/Act (AFB)
See also ISO 15022 MICO code 'A010'.
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9 = Act/Act (ICMA)
See also ISO 15022 MICO code 'A006'.
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10 = Act/Act (ICMA Ultimo)
The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.
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11 = Act/Act (ISDA)
See also ISO 15022 MICO code 'A008'.
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12 = BUS/252
Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.
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13 = 30E+/360
Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.
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14 = Act/365L
See also ISO 15022 MICO code 'A009'.
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15 = NL365
See also ISO 15022 MICO code 'A014'.
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16 = NL360
This is the same as Act/360, with the exception of leap days (29th February) which are ignored.
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17 = Act/364
The actual number of days between Date1 and Date2, divided by 364.
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18 = 30/365
Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.
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19 = 30/Actual
Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.
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20 = 30/360 (ICMA or basis rule)
Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.
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21 = 30E2/360 (Eurobond basis model two)
Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.
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22 = 30E3/360 (Eurobond basis model three)
Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.
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99 = Other
For other day count method. See also ISO 15022 MICO code 'OTHR'.