Hi,It seems to me that for a vanilla CDS, there is a bug in the last cashflow in Bloomberg's CDSW page when using the JP Morgan model.For example, if we have a two period CDS that goes from 3/20/2006 to 9/20/2006, a daycount of act/360, a premium of 20bps, a notional of $10MM and QTR payments: (for the sake of simplicity we assume that 3/20, 6/20 and 9/20 are not holidays)1. The first coupon period will be (6/20/2006 - 3/20/2006) / 360 = 92/360 = 0.255556. Therefore the first coupon will be 5111.11 and this period will include protection from 3/20 to 6/19 both inclusive. This is correct.2. The second coupon period will (9/20 - 6/20) / 360 = 0.255556. Again the coupon here will be 5111.11 and will include protection from 6/20 to 9/19. This is incorrect, since even the date 9/20 is under protection.Therefore, shouldn't the daycount of the last coupon technically be 93/360 = 0.25833333?Thank you in advance.

are you paying in advance or arrears?

In general you're correct. The protection for a CDS between dates d1 and d2 will have an extra day compared to the interest on a bond between the same dates.

That's at least what ISDA says... I pointed it out to Bloomberg but haven't received any explanation so far...

Hi Wibble, the payments are not in arrears.

Anju,It's a while since I last worked with CDSs but I do recall there being some funny ISDA convention about the last period of a CDS; it's possible that you are right and there is a small problem with the BB implementation. However, I'd grab a copy of the ISDA conventions and just check what it says...it may just be that the seemingly missed day of protection in the implementation is deliberate.Best,F.