Why NL/365 Accrual Can Count One Day on a Coupon Date

Summary

This note explains an apparent exception to the usual expectation that accrued interest resets to zero on a coupon payment date. A Bloomberg bond example using NL/365 shows one accrued day on the payment date, while other day-count conventions are expected to show zero.

The explanation is that the bond’s terms apply an inclusive convention for Shanghai or Shenzhen listed securities: accrued interest includes both the settlement date and the previous coupon date. Under that rule, settlement on the payment date still counts one day of interest. The example illustrates that displayed accrued days depend on the instrument’s specific calculation terms, so generic assumptions about coupon-date accrual can mislead. It does not establish that all NL/365 bonds use this treatment; the inclusive rule is associated with the described bond and market listing context.

Key ideas

• Accrued interest often resets to zero on a coupon date, but bond terms can specify a different convention.
• The cited bond uses NL/365 for Shanghai or Shenzhen listed securities.
• Its accrued interest calculation includes both settlement and the previous coupon date.
• That inclusive rule produces one accrued day when settlement occurs on a payment date.

Tags

# Why is the number of accrued days equal to one on coupon dates for NL/365?


# Why is the number of accrued days equal to one on coupon dates for NL/365?












Accrued day should be zero on coupon dates. This is true for all day count conventions. However, I found that Bloomberg returns 1 accrued day on coupon dates only for NL/365 day count.

Bond example:

- ID Number:EK6400528

- Financial instrument global: BBG007NPRMY8









So, for example, on the coupon date 12/11/2018 Bloomberg returns accrued days as 1.

## Answer by oronimbus (score 2, accepted)

https://quant.stackexchange.com/a/41793

If you go to the description page of this bond it says under the calculation type:

> Day count is NL/365 for Shanghai or Shenzhen listed securities and ACT/ACT for all others. For Shanghai or Shenzhen listed bonds accrued interest is calculated inclusive of both the settlement and previous coupon. Note this will result in one day of interest for settlement on a payment date.

So this bond appears to follow an 'extra-day' accrued convention.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.