Defines a scheme of values for specifying how the number of days between two dates is calculated for purposes of calculation of a fixed or floating payment amount and the basis for how many days are assumed to be in a year.
021-06-25
dayCountFractionScheme
2-3
http://www.fpml.org/coding-scheme/day-count-fraction
http://www.fpml.org/coding-scheme/day-count-fraction-2-3
http://www.fpml.org/coding-scheme/day-count-fraction-2-3.xml
Code
63
Source
Description
key
1/1
FpML
Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (i) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (a).

30/360
FpML
Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (vi) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (f) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (e).

30E/360
FpML
Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (vii) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (g) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (f). Note that the algorithm defined for this day count fraction has changed between the 2000 ISDA Definitions and 2006 ISDA Definitions. See Introduction to the 2006 ISDA Definitions for further information relating to this change.

30E/360.ISDA
FpML
Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (viii) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h). Note the algorithm for this day count fraction under the 2006 ISDA Definitions is designed to yield the same results in practice as the version of the 30E/360 day count fraction defined in the 2000 ISDA Definitions. See Introduction to the 2006 ISDA Definitions for further information relating to this change.

ACT/360
FpML
er 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (v) or Per 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (e) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (d).

ACT/365.FIXED
FpML
Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (iv) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (d) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (c).

ACT/365L
FpML
Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (ix) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (i).

ACT/ACT.AFB
FpML
The Fixed/Floating Amount will be calculated in accordance with the "BASE EXACT/EXACT" day count fraction, as defined in the "Definitions Communes plusieurs Additifs Techniques" published by the Association Francaise des Banques in September 1994.

ACT/ACT.ICMA
FpML
Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (iii) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (c). This day count fraction code is applicable for transactions booked under the 2006 ISDA Definitions. Transactions under the 2000 ISDA Definitions should use the ACT/ACT.ISMA code instead.

ACT/ACT.ISDA
FpML
Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (ii) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (b) or Annex to the 2000 ISDA Definitions (June 2000 Version), Section 4.16. Day Count Fraction, paragraph (b). Note that going from FpML 2.0 Recommendation to the FpML 3.0 Trial Recommendation the code in FpML 2.0 'ACT/365.ISDA' became 'ACT/ACT.ISDA'.

ACT/ACT.ISMA
FpML
The Fixed/Floating Amount will be calculated in accordance with Rule 251 of the statutes, by-laws, rules and recommendations of the International Securities Market Association, as published in April 1999, as applied to straight and convertible bonds issued after December 31, 1998, as though the Fixed/Floating Amount were the interest coupon on such a bond. This day count fraction code is applicable for transactions booked under the 2000 ISDA Definitions. Transactions under the 2006 ISDA Definitions should use the ACT/ACT.ICMA code instead.

BUS/252
FpML
The number of Business Days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 252. Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (v) - Calculation/252

RBA
FpML
Per 2021 ISDA Definitions, Section 4.6.1 Day Count Fractions, paragraph (xi) or 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (j)(k) or (l)- RBA Bond Basis. The calculation mechanics are driven deterministically by the Calculation Period Frequency.