What is the "30E/360" Day Count Convention?

30E/360 - 30E/360 is a Day Count Convention used for bonds issued by some European governments.

30E/360 is also referred as 30/360 Eurobond, 30/360 European, 30/360 ICMA, 30/360 ISMA, 30S/360 Special German, Eurobond, Eurobond Basis, EBD/360.

30E/360 is formally defined as:

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
  = DiR(Y1,M1,D1,Y2,M2,D2) / DiY(Y1,M1,D1,Y2,M2,D2)

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
  where D1 and D2 are adjusted as below:
    If D1 = 31, set D1 = 30;
    If D2 = 31, set D2 = 30.

DiY(Y1,M1,D1,Y2,M2,D2) = 360

where: 
  T1 = (Y1,M1,D1): Starting date (inclusive)  
  T2 = (Y2,M2,D2): Ending date (exclusive) of the Accrual Range  
  T3 = (Y3,M3,D3): Ending date (exclusive) of the Accrual Period 
  T4 = (Y4,M4,D4): Ending date (exclusive) of the Accrual Year 

Example:
   2026-01-01   2025-01-16   2026-02-01            2027-01-01
---T1-----------T2-----------T3-----------...------T4--- 

  [T1-----------T2): Accrual Range
  [T1------------------------T3): Accrual Period
  [T1-------------------------------------...------T4): Accrual Year

30E/360 Convention sets each month as 30 days by rounding any 31-day month back to 30 days. It does not adjust the month of February, which has only 28 or 29 days.

We can also simplify 30E/360 Convention rules using the Minimum() function as:

DiR(Y1,M1,D1,Y2,M2,D2) 
  = 360×(Y2-Y1) + 30×(M2-M1) + (Minimum(D2,30)-Minimum(D1,30))

DiY(Y1,M1,D1,Y2,M2,D2) = 360

Here is an example of Swedish government bond security.

ISIN:                   XS3101501776
Issuer:                 Swedish government
Interest rate:          2.0%
Interest frequency:     Annually (1 time in a year)
Day Count Convention:   30E/360
Term:                   3 Years 
  Start Date:           2025-06-26
  Maturity Date:        2028-06-26

If you bought €1,000.00 of this Swedish bond, here is how you can calculate Accrued Interest in the date range of [T1,T2) = [2025-06-26, 2025-12-26):

T1 = 2025-06-26: Starting date (inclusive)
T2 = 2025-12-26: Ending date (exclusive) of the Accrual Range 
T3 = 2026-06-26: Ending date (exclusive) of the Accrual Period  
T4 = 2026-06-26: Ending date (exclusive) of the Accrual Year

DiR(Y1,M1,D1,Y2,M2,D2) 
  = 360×(Y2-Y1) + 30×(M2-M1) + (Minimum(D2,30)-Minimum(D1,30))
  = 360×(2025-2025) + 30×(12-6) + (26-26)
  = 180

DiY(Y1,M1,D1,Y2,M2,D2) = 360

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
  = DiR(Y1,M1,D1,Y2,M2,D2) / DiY(Y1,M1,D1,Y2,M2,D2)
  = 180/360 
  = 0.5 

Accrued_Interest = Principal × Interest_Rate × Day_Count_Factor
  = €1,000.00 × 2.0% × 0.5 
  = €10.00

30E/360 convention has several main properties. See next tutorials for more details.

• The Day Count Factor for a whole regular Accrual Period is a constant.
• A fixed amount of Accrued Interest is paid out for each Accrual Period.
• Daily Interest Rate is a fixed value independent of Accrual Periods.
• If End of Month (EOM) is on 31st, no Accrued Interest is given on the 30th.
• If End of Month (EOM) is in February, 2-day or 3-day Accrued Interest is given on EOM.
• Not applicable for daily Compound Interest.
• Day Count Factor is additive for consecutive and non-overlapping Accrual Ranges.

References:

• Schweden, Königreich 2% 25/28, deutsche-boerse.com.

⇒ "30E/360" - Rules Expressed Differently

⇐ Day Count Convention - "30E/360"

⇑ Day Count Convention - "30E/360"

⇑⇑ Day Count Conventions