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Is the Best Quoted Bid Price the same as the Clean Price for bonds? I understand that the Clean Price is the Dirty Price less Accrued Interests, however, I am a bit confused of why the Bid Price = Clean Price in every single case. Can anyone help me understand this or make sense of it?

The data is from Thomson Reuters Datastream. The spreadsheet in the picture shows 2 bonds for a period of 2 weeks, but I see the "bid price" = "clean price" occurring for another 200+ bonds over 5 years.

Thank you!

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The quoting convention for almost all bonds is clean (without accrued) rather than dirty (with accrued, all-in). Generally, bonds are quoted dirty in two cases:

1 A distressed bond that's expected to default (after default it trades on recovery)

2 In some foreign markets, it's just a market convention that all bonds are quoted dirty. (For example Brazil NTNs or Argentine bodens).

So.. I would interpret this Reuters data to mean that one column is the best bid using the market convention and the other column is the corresponding clean price (which is the same, except for rare cases when the bond is quoted dirty). You're probably better off asking Reuters tech support whether this is what they mean.

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Bonds are generally quoted in terms of Clean Price in the US market even though you would settle the transaction in terms of Dirty Price or the all-in price. This is because Clean Price does not include accrued interest on a daily basis which makes it relatively stable and static requiring infrequent updates or monitoring. The price change can then be neatly attributed to changes in macro or credit factors.

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