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

30/360 US - 30/360 US is a Day Count Convention used by the US agency and corporate bonds.

30/360 US is also referred as 30U/360, 30US/360, 30/360 US, 30/360 SIA.

30/360 US can be formally defined as:

T1 = (Y1,M1,D1)
T2 = (Y2,M2,D2)

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 sequentially as below:
    If interest scheduled to be paid on EOM: 
      If T1 is EOM of February:
        Set D1 to 30
        If T2 is EOM of February, set D2 to 30
    If D1 = 31, set D1 = 30;
    If D2 = 31 and D1 > 29, 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

30/360 US Convention always rounds 31st day back to 30th day for the starting date, and rounds 31st day back to 30th day for the ending date only if the starting date is on the 31st or 30th day. Month of February is adjusted only if Accrual Periods end on EOM (End of Month).

Note that without the Month of February adjustment rules, the 30/360 US convention is identical the 30/360 convention.

30/360 US 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 31th, 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, if no range boundary falls on any End of Month in February, or any 31-day months.
• Day Count Factor is not additive for consecutive and non-overlapping Accrual Ranges, if a range boundary falls on any End of Month in February, or any 31-day months.

References:

• Offering Notices/Pricing Supplements - FHLB Search Tool, US FHLB.

⇒ "30/360 US" - Rules Expressed Differently

⇐ Day Count Convention - "30/360 US"

⇑ Day Count Convention - "30/360 US"

⇑⇑ Day Count Conventions