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Rule 223 Special value date A special value date may be mutually agreed between the buyer and the seller at the time of dealing. Rule 224 Value date on non-settlement day Deleted effective June 1, 1995. Rule 225 Value date and coupon due date Where the due date of an interest coupon coincides with the value date of a transaction, the buyer shall not acquire such coupon and no accrued interest shall be calculated on such a contract. With the exception of floating rate notes, in the case of a transaction with a value date on the thirtieth calendar day and a coupon due date on the thirty-first calendar day of the same month, accrued interest shall correspond to the full value of the coupon. The value date and the settlement date are normally identical. It is conventional and recommended that all calculations on securities are performed to the value date and not the settlement date if there is a discrepancy. Similarly if a coupon or redemption falls on a non-settlement date then all calculations are performed as if the payment were to be made on that date. The worst problem that can arise is when a bond is expected to be redeemed on a non-settlement date e.g. Taylor Woodrow 8 3/4% 1 December 1990 which was redeemed on a Saturday. The terms of most new international issues are now chosen so that this does not occur, however in some domestic markets, e.g. the Netherlands and Germany, it is a common occurrence, because of their coupon payment conventions. Example If the cost of overnight money is 10% then the cost of a two day delay on the redemption payment is 10 2/365 = 0.0548%. Coupons on fixed rate bonds will frequently occur at weekends and on bank holidays. However, this should not happen with floating rate notes as the issuing houses normally follow the convention below. The interest payment date is the date falling six calendar months after the closing date and each date thereafter which falls six calendar months after the preceding interest payment date. If any interest payment date would otherwise fall on a day which is not a business day, it shall be postponed to the next business day unless it would thereby fall in the next calendar month. In the latter event, the interest payment date shall be the immediately preceding business day, and each subsequent interest payment date

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04/05/2010 23:52