 Option D |
7x |
Mandatory in conditional (see rule C18) subsequence C1
This field specifies the number of days taken into account for the calculation of the interest.
For an ISDA Master (Type in field 77H = ISDA), this field specifies the Day Count Fraction as per ISDA definitions.
Day Count Fraction must contain one of the following codes (Error code(s): T36):
| 12/ANN |
Annualisation Factor - 12 |
| 252/ANN |
Annualisation Factor - 252 |
| 30E/360 |
30E/360 (ISDA) |
| 360/360 |
30/360, 360/360 or Bond Basis |
| 52/ANN |
Annualisation Factor - 52 |
| ACT/360 |
Actual/360, Act/360, A/360 |
| ACT/365 |
Actual/365, Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA) |
| AFI/365 |
Actual/365 (fixed) |
| EBD/360 |
30E/360 or Eurobond Basis |
| EXA/EXA |
Base Exact/Exact as per September 1994 additives to AFB definitions or 1/1 |
| ICM/ACT |
Actual/Actual (ICMA), Act/Act (ICMA) |
| OTHER |
The Day Count Fraction is specified in field 37N of the same sequence. |
When the 2000 ISDA definitions are applicable, note that the following applies:
| Codes |
ISDA 2000 |
|---|---|
| 30E/360 |
30E/360, Eurobond Basis |
| 360/360 |
30/360, 360/360, Bond Basis |
| ACT/360 |
Actual/360, Act/360, A/360 |
| ACT/365 |
Actual/Actual, Act/365, A/365, Actual/Actual, Act/Act |
| AFI/365 |
Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F |
When the 2006 ISDA definitions are applicable, note that the following applies:
| Codes |
ISDA 2006 |
|---|---|
| 30E/360 |
30E/360 (ISDA) |
| 360/360 |
30/360, 360/360, Bond Basis |
| ACT/360 |
Actual/360, Act/360, A/360 |
| ACT/365 |
Actual/Actual, Actual/Actual (ISDA), Act/Act, Act/Act (ISDA) |
| AFI/365 |
Actual/365 (Fixed), Act/365 (Fixed), A/365 (Fixed), A/365F |
| EBD/360 |
30E/360, Eurobond Basis |
| ICM/Act |
Actual/Actual (ICMA), Act/Act (ICMA) |
