Calculating U.S. Treasury Coupon Cash Flows and Accrued Interest

Summary

The document outlines conventions needed to derive coupon dates, cash flows, and accrued interest for U.S. Treasury securities. Coupon schedules can be found by starting at maturity and stepping backward through the semiannual payment dates. The final payment includes principal plus the last coupon, while earlier dates carry coupon payments. It distinguishes Treasury conventions from those often used for corporate bonds, including clean-price quotation and a Treasury-specific day-count basis; coupon amounts themselves are not prorated by day count.

For accrued interest, the relevant interval runs from the current coupon period’s start date to the settlement date, so the trade date alone is insufficient. The answer notes that Treasuries typically settle one business day after trade and gives an example day count, while explicitly expressing uncertainty about that count. These conventions apply to standard U.S. Treasury securities; other bonds may have different schedules, settlement rules, day-count methods, or irregular coupon periods. The document does not specify every input needed for a general calculation, so instrument terms and calendar details still matter.

Key ideas

• Standard U.S. Treasury coupons are paid semiannually, and the schedule can be generated backward from maturity.
• The maturity cash flow combines principal repayment with the final coupon.
• Treasury clean prices exclude accrued interest, which is calculated through settlement.
• Settlement date and the correct Treasury day-count convention are needed to determine accrued interest.
• Other fixed-income securities may use different conventions and can have irregular coupon periods.

Tags

# T- bond cash flows


# T- bond cash flows












a) without a frequency and T note start date how do I find the coupon dates and cash flows? b) is that calculated semi- annually? c) how do I find the number of days for the current period?

Thanks

## Answer by Dimitri Vulis (score 1)

https://quant.stackexchange.com/a/58464

If you're trying to get the jargon right, a "note" is up to 10 years maturity, and a U.S. Treasury "bond" is longer than 10 years. But it's OK, it's not wrong to call everything "bonds".

You need to know the market conventions for US treasury securities. You have to know that if they're quoted on price, then it's clean price. They are semi-annual and have a peculiar daycount (not 30/360 like most USD corporate bonds), but the coupons paid out are not daycounted. They never have odd first or last coupon period. For each of these assumptions, it is easy to finds bonds that are not U.S. treasury and behave differently.

So you start at maturity and march backwards:

May 15, 2021 100 + 3.5/2

November 15, 2020 3.5/2

May 15, 2020 current coupon start date

Note that you are given the trade date, but the settlement date is probably T+1 (not T+2 like most securities - you need to know that US treasuries settle T+1) and you need to calculate the accrued, using the correct daycount convention for US treasuries, from the coupon start date until the settlement date. The 25th is a Friday. The next business day is Monday the 28th. The number of actual days is 136 (I think - check).

Use the calculator here http://www.tipsinc.com/ficalc/calc.tips to see the usual assumptions.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.