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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
  • Name: ZHENGZHOU MOUZHONG DEVEL
  • Effective: 12/11/2014
  • Maturity: 12/11/2021
  • Frequency: Annual

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

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  • $\begingroup$ Is 12/11/2018 the settlement date? $\endgroup$ – Magic is in the chain Sep 18 '18 at 11:25
  • $\begingroup$ @Magicisinthechain Yes, I performed calculation for that settlement date. $\endgroup$ – Dejan Sep 18 '18 at 11:27
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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.

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  • $\begingroup$ Tnx, this explains everything. I wasn't looking at the additional description believing that all conventions are standardize on global level. $\endgroup$ – Dejan Sep 18 '18 at 13:40

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