Appendix 2. A summary of market day/year conventions for money markets and government bond markets
Instrument | Day/year basis | Yield or discount |
|---|---|---|
Australia | ||
Money market | ACT/365 | Y |
Bond (semi-annual coupons) | ACT/ACT | |
Austria | ||
Money market | ACT/360 | Y |
Bond (annual coupons) | ACT/ACT | |
Belgium | ||
Money market | ACT/360 | Y |
OLO (annual coupons) | ACT/ACT | |
Canada | ||
Money market | ACT/365 | Y |
Bond (semi-annual coupons) | ACT/365 (accrued coupon) | |
ACT/ACT (dirty price calculation) | ||
Denmark | ||
Money market | ACT/360 | Y |
Bond (annual coupons) | ACT/ACT | |
Eire | ||
Money market | ACT/360 | Y |
Bond (annual and semi-annual coupons) | ACT/ACT[1] | |
Finland | ||
Money market | ACT/360 | Y |
Bond (annual coupons) | ACT/ACT | |
France | ||
Money market | ACT/360 | Y |
OAT, BTAN (annual coupons) | ACT/ACT | |
Germany | ||
Money market | ACT/360 | Y |
Bund, OBL (annual coupons) | ACT/ACT | |
Italy ... |
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