Reported interest rates shall be calculated as nominal annual rates for the actual number of days in the year ahead (365 or 366). (The percentage return over the term is calculated by dividing the interest rate by the actual number of days in the year ahead and multiplying it by the actual number of days to maturity).
As far as I can tell, this is a relatively non-standard day count (because it refers to the year from the fixing date). My interpretation of the rule gives:
- Fixing on 2015-02-28 = 365 days (2015-02-28 to 2016-02-27 inclusive)
- Fixing on 2015-03-01 = 366 days (2015-03-01 to 2016-02-29 inclusive)
- Fixing on 2016-02-28 = 366 days (2016-02-28 to 2017-02-27 inclusive)
- Fixing on 2016-02-29 = 365 days (2016-02-29 to 2017-02-28 inclusive)
- Is my interpretation correct?
- Does this day count have a recognised name?