| 1950 | 0 | | | | | 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). | |
| 1950 | 1 | | | | 30/360 (30U/360 or Bond Basis) | Mainly used in the US with the following date adjustment rules: (1) If the investment is End-Of-Month and Date1 is the last day of February and Date2 is the last day of February, then change Date2 to 30; (2) If the investment is End-Of-Month and Date1 is the last day of February, then change Date1 to 30; (3) If Date2 is 31 and Date1 is 30 or 31, then change Date2 to 30; (4) If Date1 is 31, then change Date1 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (f). | |
| 1950 | 4 | | | | 30E/360 (Eurobond Basis) | Also known as 30/360.ISMA, 30S/360, or Special German. Date adjustment rules are: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to the 30th. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (g). | |
| 1950 | 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). | |
| 1950 | 6 | | | | | The actual number of days between Date1 and Date2, divided by 360. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (e). | |
| 1950 | 7 | | | | Act/365 (FIXED) | The actual number of days between Date1 and Date2, divided by 365. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (d). | |
| 1950 | 8 | | | | Act/Act (AFB) | The actual number of days between Date1 and Date2, the denominator is either 365 (if the calculation period does not contain the 29th February) or 366 (if the calculation period includes 29th February). See also AFB Master Agreement for Financial Transactions - Interest Rate Transactions (2004) in Section 4. Calculation of Fixed Amounts and Floating Amounts, paragraph 7 Day Count Fraction, subparagraph (i). | |
| 1950 | 9 | | | | Act/Act (ICMA) | The denominator is the actual number of days in the coupon period multiplied by the number of coupon periods in the year. Assumes that regular coupons always fall on the same day of the month where possible. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (c). | |
| 1950 | 10 | | | | Act/Act (ICSMA 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. | |
| 1950 | 11 | | | | Act/Act (ISDA) | The denominator varies depending on whether a portion of the relevant calculation period falls within a leap year. For the portion of the calculation period falling in a leap year, the denominator is 366 and for the portion falling outside a leap year, the denominator is 365. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (b). | |
| 1950 | 12 | | | | | Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252. | |
| 1950 | 14 | | | | | The number of days in a period equal to the actual number of days .The number of days in a year is 365, or if the period ends in a leap year 366. Used for Sterling floating rate notes. May also be referred to as ISMA-Year. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (i). | |