Bond Accrued Interest, Settlement Dates, and Weekend Dates
Summary
The question compares expected 30/360 accrued interest on a bond with Bloomberg’s displayed accrual, which appears to count more days than the author expects when including a Friday. It asks whether the difference reflects interest accruing over the weekend. The response suggests that the display may show total accrual through a later evaluation date rather than trade accrued interest through the stated settlement date.
It distinguishes settlement-date accrual from an evaluation or market-value figure that may include subsequent days, and notes that the author may be mixing calculator modes or dates. The explanation gives a date-counting illustration, but it is tentative and does not fully reconcile the Bloomberg fields or establish a general weekend-accrual convention. The practical lesson is to verify which date and accrual measure each screen field represents before diagnosing a day-count discrepancy.
Key ideas
- Bond accrued interest depends on the date through which accrual is measured.
- Trade accrued interest at settlement can differ from total accrual shown for a later evaluation date.
- A mismatch in calculator mode or date inputs can produce an apparent day-count discrepancy.
- The response does not establish a general rule for assigning weekend accrual to Friday.
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Full text
# Dealing with day counts that span a weekend # Dealing with day counts that span a weekend Consider the following security: ``` CUSIP: 3130A3GE8 Federal Home Loan Bank Maturity: 2024-12-13 Coupon: 2.75 % (CPN) Previous Coupon Date: 2019-06-13 ``` Today is 2019-10-18, and since this instrument uses a 30/360 day count, I'd expect the accrual, not including today, to reflect 125 days worth of interest: (125/360) * .0275 * 100 = 0.95486111% Bloomberg confirms that my logic is correct. See stat DS130 in the screenshot below: Now, let's say I want to compute the accrued interest including today. I'd expect to the calculation to be: (126/360) * .0275 * 100 = 0.9625% But as you can see from my screenshot, my calculation is off. Bloomberg is showing .97777778% (see stat DS113). The discrepancy seems to be caused by the fact that Bloomberg is using a day count of 128 (see stat DS032) instead of 126. Their day count is 2 days longer than mine. Why is that? It turns out that 2019-10-18 is a Friday. Could they be factoring in the upcoming weekend into their accrual? If so, is this standard practice? In other words, since the bond markets are closed on weekends, is it normal to just accrue for that weekend's interest on the preceding Friday? Or perhaps the date discrepancy is related to something else entirely and has nothing to do with the weekend. Would love some clarification. Thanks! Thanks, Yippie McSmashmouth ## Answer by Rudy (score -2) https://quant.stackexchange.com/a/79578 you make no sense. i am very sure your evaluation ( or interest to date ) is not 2019-10-18 if this ( 10-18 ) was your settlement date and you calculate trade accrued interest we have 17 days in june 30 days in july, august, september = 107 days in total 17 days in october ( one day less than settlement date ) makes it 124 accrual days if settlement date is 10/20/2019 we are talking about 19 days in october makes it 126 days the screen you showing is not trade accrued interest but total accrual including 10-21 amount to be added to account market value i think you are confusing accrual calculator mode, evaluation and settlement date
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