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"30/360" - Cross-Period Accrual
How does "30/360" convention works on an Accrual Range that crosses one or more Accrual Period boundaries?
✍: FYIcenter.com
When an Accrual Range crosses one or more Accrual Period boundaries,
there is no need to split it into multiple parts,
as long as the Accrual Frequency is Monthly, Quarterly, Semiannually,
or Annually and Accrual Period boundaries are not falling on End of Month
in February.
Here is an example of US FHLB (Federal Home Loan Bank) bond security.
CUSIP: 3130ATVE4 Issuer: US FHLB Interest rate: 4.5% Interest frequency: Semiannually (2 times in a year) First interest Payment: 2023-06-11 Day Count Convention: 30/360 Term: 4 Years Start Date: 2022-11-07 Maturity Date: 2026-12-11
If you bought $1,000.00 of this FHLB bond, here is how you can calculate Accrued Interest for 1.5 Accrual Periods in the date range of [T1,T2) = [2023-06-11, 2024-03-11):
T1 = 2023-06-11: Starting date (inclusive) T2 = 2024-03-11: Ending date (exclusive) of the Accrual Range T3 = 2023-12-11: Ending date (exclusive) of the Accrual Period T4 = 2024-06-11: Ending date (exclusive) of the Accrual Year DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1) = 360×(2024-2023) + 30×(3-6) + (11-11) = 270 DiY(Y1,M1,D1,Y2,M2,D2) = 360 Day_Count_Factor(T1,T2) = DiR(T1,T2) / DiY(T1,T2) = 270 / 360 = 0.75 Accrued_Interest = Principal × Interest_Rate × Day_Count_Factor = $1,000.00 × 4.5% × 0.75 = $33.75
⇐ "30/360" - Whole Accrual Period
2026-02-06, ∼405🔥, 0💬
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