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Repurchase Agreement Day Count Convention

Conventions have evolved, and this has been particularly true since the mid-1990s. Some of them provided for only additional cases[2] or clarifications. [3] This agreement is used in money markets to lend short-term currencies, including the U.S. dollar and the euro, and is applied in SEBC`s monetary policy operations. This is the agreement used for retirement transactions. Each month is treated normally and the year is assumed to be 360 days. For example, in a period from February 1, 2005 to April 1, 2005, the factor is 59 days divided by 360 days. The Holiday Council Convention is also used in many other formulas in financial mathematics. The days in the counters are calculated on a julienne daily difference.

This convention contains the first day of the period and the last day is excluded. Many organizations provide information on the counting conventions of the day for transactions based on forms they publish. These credit transactions (e.g.B. swaps, MTNs, commercial loan contracts) usually include the terms directly in the transaction documents or deduct them from the organization that manages the basic form. There is no central authority that defines the counting agreements of the day, so there is no standard terminology, but the International Association of Swaps and Deductors (ISDA) and the Icma (International Capital Market Association) have held working meetings and documentary conventions. Certain terms, such as “30/360,” “real/real” and “money market base,” must be understood in the context of the market. The first period is the same as in the previous figure. This type of sawtooth pattern is common to all conventions, not just 30/360. In the financial field, a day counting agreement determines how interest on a large number of investments are collected over time, including bonds, bonds, mortgages, medium-term bonds, swaps and advance rate agreements (FRAs). This determines the number of days between coupons, which allows you to calculate the amount deferred on the day of payment as well as the interest accrued for the intermediate dates. [1] Daily counting is also used to quantify periods when a cash flow is discounted to its current value. When a security is sold as a loan between interest payment dates, the seller is entitled to a fraction of the coupon amount.