I am looking at some spreadsheets that show the US treasury bonds have some negative accrued. Why would that be the case? Shouldn't bond accruals always be positive?
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$\begingroup$ Which country's treasurys? $\endgroup$– Dimitri VulisAug 15, 2022 at 20:21
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$\begingroup$ @DimitriVulis thanks I am actually referring to US treasury $\endgroup$– Matt FrankAug 16, 2022 at 13:32
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1$\begingroup$ Cash US treasures don't use ex date AFAIK. Could it be when-issueds or some weird deeivatives? $\endgroup$– Dimitri VulisAug 16, 2022 at 13:55
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1$\begingroup$ Please give cusip (or other identifying info) for a bond with negative accrued interest. $\endgroup$– nbbo2Aug 16, 2022 at 14:39
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1 Answer
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In some countries/markets other than US, bonds (treasury and corporate too) have an "ex coupon" date some days before the end of the coupon period. The bondholder of record is determined using the ex coupon date, and receives from the bond issuer the full coupon, accrued over the entire coupon period. If he sells the bond settling after the ex coupon date and before the end of the coupon period, then the proceeds are the clean price minus the interest accrued from the settle date to the end of the coupon period.
answered Aug 15, 2022 at 20:32
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1$\begingroup$ there was an error when I looked up the bond, it's not an US treasury bond, sorry for that and thanks for the answer $\endgroup$ Aug 27, 2022 at 0:48