Treasury Today Country Profiles in association with Citi

Day count conventions

The day count conventions cover the way in which interest is calculated in the bond and money markets. In general terms:

Interest accrued = principal x interest rate x days in interest period days in year

The difficulty comes because, for calculation purposes, some markets consider all months to contain 30 days and some do not and some (but not necessarily the same) markets consider each year to contain 360 days rather than 365 (or 366 in a leap year).

If the wrong convention is used, small errors will be made. Whilst these errors may be small, they may also be the difference between profit and loss, so it is important that the correct convention is used.

Convention Also known as Assumption Exceptions
Actual/360 ACT/360 Interest is calculated on the basis of the exact number of days in the interest period but each year is a 360-day year
30/360 bond basis Each month is a 30-day month and each year is a 360-day year
  1. if the first day of the period is not the 30th or 31st and the last date of the period is the 31st, then that month is considered to have 31 days.

  2. In February, if the last date of the period is last date of the month, then the month is not extended to 30 days.

E30/360 Eurobond basis Each month is a 30-day month and each year is a 360-day year In February, if the last date of the period is last date of the month, then the month is not extended to 30 days.
E30+/360 Each month is a 30-day month and each year is a 360-day year
  1. If the first date is the 31st, it should be changed to the 30th.

  2. If the second date is the 31st, it should be changed to the 1st of the next month.

Actual/365 (fixed) Each year contains 365 days, including leap years. Interest is calculated on the basis of the exact number of days in the interest period.
Actual/365 actual/actual or ACT/ACT Interest is calculatd on the basis of the exact number of days in the interest period. Where the period includes a leap year, the number of days in the period is divided by 366.
Convention When and where used
Actual/360

US money market – CP, Depo, CD, BA, Treasury Bills

Euromarket money market – most currencies except GBP, HKD, MYR, SGD, THB, TWD, ZAR

Euro (currency) money market, Norwegian money market, Swiss money market

30/360 US federal agency and corporate bonds
E30/360

Eurobonds (usually those issued before 1999)

Swiss Bonds

E30+/360
Actual/365 (fixed)

UK money market – Depo, £CP, CD, BA, Treasury bills

Japanese money market, Australian money market, Canadian money market

Actual/365 (actual)

US treasury notes and bonds

Australian bond market, Canadian bond market

Eurobonds (usually those issued after 1999)

Euro denominated bonds

UK Gifts

The information on this page is provided as a guide. Care should be taken when issuing or investing such instruments to ensure that the daycount convention applies as expected.