Appendix 1 – Exempt from accrued interest calculation example 

An example to demonstrate the accrued interest calculation on the sale of NHA MBS, settling on April 30, 2002. 

Face Value 

$100,000 

Coupon rate 

5.75% 

Maturity 

12/01/2004 

Coupon compounding frequency 

Semi-annually 

Payment date 

15th of each month 

Accrued interest calculation (NHA MBS convention) 

= (face value x monthly coupon rate x (number of days from the first day of the settlement month to the settlement day)) / ((number of days in the settlement month)) 

 

= (100,000 x 0.473525% x (29))/((30)) 

 

 

Monthly coupon rate 

= ((1+(5.75%/2))(1/6) – 1) 

 

= 0.473525% 

 

 

Value date (settlement date) 

04/30/02 

Number of days from the first day of the settlement month to the settlement day 

29 

 

 

Number of days in the settlement month 

30 

Accrued interest 

$457.74