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Canadian Special Pricing Conventions

Pricing Feature

Treatment

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Pricing Formula

Pricing method referred to as "U.S. Street". This is achieved via a standard application of the ISMA formula.

Accrued Interest

Accrued interest is computed using Act/Act convention but Act/365 is used for presentation purposes. This means that yield is based on a dirty price of clean price + accrued interest (Act/Act) but the dirty price displayed is computed as clean price + accrued interest (Act/365).

 

 

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