What are differences between Various 30/360 Day Count Conventions?

There are a number of different 30/360 Day Count Conventions used by different financial institutions in the world. They all use the same Day Count Factor formula:

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)
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 

However each 30/360 Day Count Convention uses different rules to adjust T1 and T2 to handle the longer months with 31 days and February with 38 or 29 days.

In order to show their differences, we will re-write those adjustment rules in a comparable format and using some special terms:

• Shrink 31 to 30 - Indicates that if the given day is 31, set it to 30.
• Expand Feb to 30 - Indicates that if the given date is the last day of month, set it to 30.
• Period is EOM - Indicates that the accrual period ends on End of Month (EOM).

Rules listed below in each convention should be applied in the same order as they are listed.

30/360 - Also referred as: 30/360 ISDA, 30/360 Bond Basis, 30/360 U.S. Municipal, 30A/360, 360/360, Bond Basis.

D1 Adjustment          D2 Adjustment
---------------------  ----------------------------------------
- Shrink 31 to 30      - Shrink 31 to 30, if D1 > 29 

30/360 US - Also referred as: 30U/360, 30US/360, 30/360 SIA.

D1 Adjustment          D2 Adjustment
---------------------  ----------------------------------------
- If period is EOM:    - If period is EOM:
  Expand Feb to 30       Expand Feb to 30, if D1 is End of Feb  

- Shrink 31 to 30      - Shrink 31 to 30, if D1 > 29                                                 

30E/360 - Also referred as: 30/360 Eurobond, 30/360 European, 30/360 ICMA, 30/360 ISMA, 30S/360 Special German, Eurobond, Eurobond Basis, EBD/360

D1 Adjustment          D2 Adjustment
---------------------  ----------------------------------------
- Shrink 31 to 30      - Shrink 31 to 30 

30E/360 ISDA - Also referred as: 30/360 German, 30E/360 German, German, Eurobond basis (ISDA 2000).

D1 Adjustment          D2 Adjustment
---------------------  ----------------------------------------
- Shrink 31 to 30      - Shrink 31 to 30 
- Expand Feb to 30     - Expand Feb to 30, except Maturity date

⇒ Day Count Programming Libraries

⇐ List of Day Count Conventions

⇑ Introduction to Day Count Convention

⇑⇑ Day Count Conventions