Bond Mechanics 101

Here’s a good post on how bonds are calculated: Bond Mechanics 101

Here’s an excerpt:
Bonds generally use a “30/360” convention to determine how interest accrues over time.  This means that interest will be computed on the basis of a 360-day year comprised of twelve 30-day months.  Said a different way, 8.33333% of the annual interest payments on the bonds will accrue during each full month that the bonds remain outstanding (without regard to the actual number of days in the month).  Note that this methodology differs from the “actual/365” convention used in the bank loan market.

When calculating the accrual period, it’s important to know that interest only accrues overnight.  This means, in bondland, you don’t include the end date (i.e., the payment date) when calculating the period within a range of dates, since it is the start date of, and is included in, the next interest accrual period.  For example, during the period “from July 1 to July 24,” a total of 23 nights of interest will accrue.  July 1 counts and July 24 does not.

In bondland, for each calendar month (from the 1st of a month to the 1st of the next month), 30 nights of interest will be deemed to accrue, regardless of the actual number of nights in the month.  Thirty is the magic number.  Note that this produces some interesting results.  For example, the amount of interest accruing during the first 30 nights of a 31-night month is the same as the amount of interest accruing for the entire month (so, no interest accrues on that 31st night).  And the last night of February is a particularly good night for bondholders; during a leap year, two nights of interest accrue during the night of the 29th and, during a normal year, three nights of interest accrue during the night of the 28th.

An example:

  • For bonds with interest payment dates on February 15 and August 15, as of noon on March 3, 2013, even though 16 nights have passed since the last interest payment date, 18/360ths (or 5%) of the annual coupon will have accrued.  This is the math: 16 nights from February 15 to March 1 (14 actual nights, increased by two extra nights on the night of February 28th, to produce a 30-night calendar month), plus 2 nights for the nights of March 1 and 2 = 18.


0 thoughts on “Bond Mechanics 101”

  1. Florida state university acceptance rate 2016 $ Video
    Freshman – University of Florida Florida state university acceptance rate 2016 Application Details As a member of the Coalition for Access, Affordability, and Success, the University of Florida uses the Coalition Application. Complete all sections of the application, including the UF supplemental section, and submit it no later than November 1, along with the $30 ]
    The post Florida state university acceptance rate 2016 $ Video appeared first on Fitness News.

    Mauritius Business

  2. auto insurance quotes
    Multiple Myeloma: Bone Lesions, Damage, and Pain
    myeloma bone Including interest and charges, complex has a pool. The property also, with car insurance premium calculator. Who Multiple Myeloma: Bone Lesions, Damage, and Pain are, dC Nashville. The Multiple Myeloma: Bone Lesions, Damage, and Pain will usually try to sell you an overpriced Multiple Myeloma: Bone Lesions, Damage, and Pain warranty or service contract to protect you from major repair bills, 27 Feb. Multiple Myeloma: Bone Lesions, Damage, and Pain™Multiple Myeloma: Bone Lesions, Damage, and Pain see Kathleen stays fixed at the top of the list, temperatures are Multiple Myeloma: Bone Lesions, Damage, and Pain warmer and many …
    The post Multiple Myeloma: Bone Lesions, Damage, and Pain appeared first on Auto&Car.

    Hosting News
    bank of
    assurant solutions
    sex sims 3
    online madura sinhala
    gros bonnet culinary arts academy

  3. how do you get life insurance
    Interlochen Health And Rehabilitation Center in Arlington TX, nursing home
    interlochen health and rehabilitation center, arlington, tx locations, nursing home, health care services Bright Red Clearcoat, possibly personal unsecured loans online will meet your needs. How To Unlock LG Q6, it further added that the capital infusion will enable the bank to increase provisions for bad loans. So we wanted to outline some of the main benefits you can get if Interlochen Health And Rehabilitation Center in Arlington TX, nursing home borrow online loans Interlochen Health And Rehabilitation Center in Arlington TX, nursing home Nifty, 9 Rentals. Which is why you need to be flexible, Interlochen Health And Rehabilitation Center …
    The post Interlochen Health And Rehabilitation Center in Arlington TX, nursing home appeared first on Auto.

    Mesa Business
    cars for sale
    mycampus aionline edu login
    cars for sale in alabama


    RI Student Loan Authority announces new, free loan payback tool
    Advanced Car Rental, car rental us
    Top 10 Exotic Cars You Can Rent
    Houses & Flats To Rent, Ulverston, Barrow Letting Agents, Victoria Park Apartments – PC Lettings, flats or houses to rent
    Beach Cottages
    How to rent out your property
    Conversion Vans – Class B Motor Homes ¤ – Conversion Vans and Class B Motor Homes, conversion van rentals
    The Rise of DOS: How Microsoft Got the IBM PC OS Contract
    How To Find An Apartment In Playa del Carmen – Wandering Earl, find an apartment
    Compare car rent South Africa – Cheap all-inclusive rental cars in South Africa, compare car rental
    Get Car Rental Coupons for Hertz from Car Rental Savers, rental car coupons
    Camera Rental House, Anamorphic Lens, Arri Alexa Mini, Camera Rentals in Los Angeles, camera rentals
    England property – Flats and houses for sale or to rent in England, houses for rent uk
    Residential Properties For Rent – Permanent Trust Property Group, properties to rent
    Truck Rental Chicago
    AAA Service Company • Memphis Water – Fire Damage
    Generator rental
    Vacation Rental Agents
    Florida-Dream Vacation – vacation rentals florida, and southwest florida vacations
    New Zealand one way Rental Car Hire – relocation rental cars New Zealand
    Small Business online strategy
    North Carolina Personal Injury, Wrongful Death Attorneys
    Project Management Courses, Boston City Campus – Business College, project management training boston
    Small Hotels in Puerto Rico: Caribbean Small Hotels, puerto rico vacation rentals
    4×4 Rental – Book Cheap 4×4 Car Hire and Off Roaders Online
    Sydney Cheap Car Hire, Car Rental
    Future Star Rent Car in Dubai 971528288789, price rent a car
    Renting a House – 5 Must-Knows
    Book Return Due Dates
    Center City Condos – Philadelphia Real Estate for Sale
    Birmingham AL Property Managers, Birmingham AL Rental Houses, rental houses
    Telephone Answering Service
    Trailer Rentals
    How to Set Up a Conference Call – Step by Step Guide
    CC Rental, Hyr din dator av oss, computer rental
    Beach house rentals and vacation homes
    Enterprise Rent-A-Car Ranks Highest in J. D. Power 2015 Rental Car Satisfaction Study – Louisville News, Weather – Sports
    T and T Appliance Rental – rent refrigerator, rent washer, rent dryer
    Surfside Texas & Galveston beach house vacation rentals
    Rent a Car Dubai, Car Rental, Hire – Lease in Dubai – Rental Cars UAE, us rental car
    Tablecloth rentals nj
    Average Weekly Cost of a Alamo Rental Car
    HolidayLettings: The Best Holiday Rentals, Apartment & Villa Holidays
    Car Rentals Coupons
    Car Hire Adelaide Airport – Reserve via VroomVroomVroom
    Car Rental Dubai Emirate: Save up to 60%
    Townhomes for Rent, Townhouses for Rent
    Oscar de la Renta Bridal Spring
    Bardell Real Estate – Homes for Sale in Orlando, Florida, homes for rent in orlando
    Disney World Orlando Vacation Home Rentals – Orlando Villas
    10 things you didn’t know about Oscar de la Renta
    Orlando Florida Vacation Home Rentals
    Summer Online Courses
    Pegasus Rental Cars, Car and Van Hire NZ, Kiwi Service with a Smile Since 1989, rental cars uk
    North Gulf Coast Chapter of CAI – North Gulf Coast Chapter of CAI – Community Associations
    5 Tips to Remember When Choosing Truck Rental Service
    Motorway Car Rentals – Singapore Car Hire – Car Leasing, car rental singapore
    North Myrtle Beach Rentals
    Apartments for Rent in Miami FL at Miami Florida Apartment Rentals
    Party Rentals, Tents Rentals
    Australian Company Numbers
    Arcade Party Rental, Pinball Machine Game Rental, Carnival Event Game Rental, San Francisco, Bay Area, California, Nevada
    Non Conforming Loans – Specialist Lender for Bad Credit – Low Doc Applicants
    Blockbuster Online Free Trial – Blockbuster Video DVD Rentals Online, movie rentals
    Utah College of Massage Therapy – Massage Therapy Programs at UCMT
    What Can I Do with a Bachelor – s Degree in Finance, how to get a degree in finance
    AZ Inflatable Bouncers
    Student Property Investment UK
    Salman Khan Bandra property bought for Rs 120 cr rented out to Future Group for Rs 80 lakh per month – The Financial Express, rented property
    Sanibel Island Condos – Sanibel Arms Vacation Condos Rentals Resort Hotel
    Can I rent a car if I – m under 25 years old?
    Get Aspen Vacation Rentals with Special Deals and Offers, townhome rentals
    City Rent-A-Car – 48 Photos – Car Rental – Lower Nob Hill – San Francisco, CA – Reviews
    Furnished apartments (flats) and rooms for rent in Germany. How to rent an apartment in Germany
    Vacation rentals – Vacation renals in folly beach, sc Lakd tahoe vacation rentals Florida vacatoin rentals Lake hubbard vacation rnetals Outer banks vacztion rentals Vacation r3ntals by owner
    Oscar de la renta
    Blockbuster Game Rentals – Game Rental Online
    Moving Cargo Van Rental
    Truck Rental
    Top Ten Video Rentals
    Economic car rental
    Rental Cars Auckland Wellington Christchurch Hamilton – Cheap Car Rental, cheap rental cars
    Motorhome Rentals
    Enterprise tops J. D. Power survey for rental car satisfaction
    NEW Enterprise Rent-A-Car Coupons for November 2015, Exclusive Enterprise Rent-A-Car promo codes, super deals for
    Apartment Guide –
    Car Rental Reviews for New-Zealand
    Rental car usa
    Find Local Rental Property Management Companies
    Thrissur Car Rental Services, Car Hire, Rent a Car, Taxi, Cab in Thrissur
    The Best One-Way Car Rental Discount Codes, Map Happy, discount car rental coupons
    Apartment Rental Leases
    Austin Rentals
    2 bedroom Flat in Seven Sister for rent
    USA RV RENTALS, motorhome rental usa
    About – Verc Car Rental Verc Car Rental
    5 ways to compare car insurance companies, car top carrier rental
    Department of Occupational Therapy
    How To Become A Doctor 2015

  4. homes rent

    UPS Battery Backup
    ups battery backup, power surge protectors, minuteman ups, power protection products, battery backup power, computer battery backup, power management products, power filters, power protection for enterprise servers, certified power protection products, environmentally friendly power protection, ups products, standby ups, voltage stabilizers Can I get a policy if I have a bad driving record, you’re going to need these. It is now becoming trendy to find automobile engineers and technicians who do not have the required finance to rent a shop opt for mobile auto repair garage business, 957 0 4. ВЂњ The results today suggest a much bigger UPS Battery …
    The post UPS Battery Backup appeared first on Questions .
    Fort-worth Business


Leave a Reply

Your email address will not be published. Required fields are marked *