the Collaborative Bond and Money Market Data Portal.
The day count convention determines how interest accrues over time in
a variety of transactions, including bonds, swaps, bills and loans.
Interest is usually expressed to accrue at a rate per annum (the
reference period). It is often due and payable at shorter intervals,
usually a number of months (the interest period).
The day count (or 'daycount') convention regulates how the
parties have agreed they will calculate the amount of interest payable at the end of
each interest period.
It is commonly expressed as a fraction. The numerator will be the convention for the number of days in the period - usually actual or a notional 30. The denominator is the convention for the number of days in the reference period - often 360 or 365.
Conventions vary depending on market type, location and the currency in question. Euro-denominated bonds are usually calculated on an actual/actual basis, while fixed rate non-euro denominated bonds are often calculated on a 30/360 basis.
The London interbank market generally operates on the
basis of actual/360, except where the currency is sterling, for which
the London interbank convention is actual/365 fixed.
Commonly used day count conventions are the following:
- actual/365 fixed
In the Collaborative Bond and Money Market Data Model the Field DayCount is part of the universe of Bond and Money Market Instruments. The term DayCount is also used in CMDportal's IOI system and abbreviated as DC.