Interest Day Basis

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Main regulatory organizations:

ICMA(2005):  International Capital Market Association. Merger of ISMA(1991, ex-AIBD) and IPMA)

ISDA(1985):  International Swaps and Derivatives Association

SIFMA(2006): Securities Industry and Financial Management Association. Merger of The Securities Industry Association (SIA) and The Bond Market Association (TBMA or BMA).

Interest basis codes one can choose in T24:

A    360/360 = “Bond basis” (30 days per month, year = 360 days) (ICMA)
A1   360/360 = same as A
A2   30/360  = 30 days per month except February when non leap year(*) (ISDA)
   366/360 = “Actual/360”
C    366/366 = “Actual/Actual” = ISDA (This convention splits the accrual period into that portion in a leap year and that in a non-leap year.
C2   366/366 = “Actual/Actual” = ICMA (also Euro/AFB). Includes the first date in the period and exclude the ending one.
D    360/366 = “30/Actual”; 30 days per month (ICMA); year= 365 days except leap year = 366
   366/365 = “Actual/365”; year= 365 days even leap years
   360/365 = 30 days per month; year= 365 days even leap years (ICMA)
F1   360/365 = same as F
F2   30/365  = 30 days per month except Feb when non leap year(*); year= 365 days even leap years (ISDA)
G    366/364 = “Actual/364”; year= 364 days even leap years
H    360/364 = “30/364”; year= 364 days even leap years
   SPECIAL  -> Get default interest basis from the currency (field 9- “INTEREST.DAY.BASIS”)

(*) On leap year, if date2 = Feb. 28th, period=28 days, if date2= Feb. 29th, period= 30 days. On non leap year, if date2 = Feb. 28th, period= 30 days.

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