Agency floater accrues ActAct
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Setting up agency floater

Q:  I am attempting to set up an agency floater which accrues Act/Act. However, there is no item on the Cal Code tab that I am able to value this field. What calc code should I use so that the item accrues correctly? On the CALC tab, the Day Count field has two values with ACT. They are ACT/365E and ACT/365U. Should I use any of the daycounts so that this item accrues correctly?

A: For Calc Code:
Use one of the bond calc codes ('00' or '01'), if it pays coupons periodically.

For DayCount Method:
365E means "even" payments, where the daily accrual rate varies from period to period. This is how US Treasury Bonds work. 365U means "uneven," when the daily accrual rate is the same every day, which leads to different payment amounts from one period to the next. Use the daycount method which is appropriate for this particular security.

Last updated: 04/28/05

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