Accrued Interest
The portion of the next coupon payment that has accumulated since the last coupon date, paid by the buyer to the seller at settlement.
What is Accrued Interest?
When a bond is traded between coupon payment dates, the buyer must compensate the seller for the interest that has accrued since the last coupon payment. This amount is called accrued interest and is added to the quoted clean price to produce the dirty (or full) price — the actual cash amount paid at settlement. Accrued interest is computed by prorating the periodic coupon based on the number of days elapsed. Different bond markets use different day-count conventions: US Treasuries use actual/actual; US corporates and agencies use 30/360; Eurobonds use actual/360.
Formula
Worked Example
Settlement 60 days after last coupon (May 15, 2024 → July 14, 2024)
Source: US Department of the Treasury — Treasury Securities (2024-07-14)
Calculate Accrued Interest
Dollar value of one periodic coupon payment (e.g. semi-annual)
Number of days elapsed since the last coupon payment date
Total days in this coupon period (e.g. 180 or 182 for semi-annual)
Accrued Interest
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