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mwestra88
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Posts: 2
Joined: March 25th, 2014, 8:57 am

Bond coupon payments at the valuation date

March 26th, 2014, 8:28 am

Dear all,Suppose I want to value a coupon bearing bond at the 31st of September 2013. Let's assume that a coupon payment is also scheduled at that date. Is there any rule/market consensus on whether the coupon should be regarded as being paid in my valuation? In other words, if I value the bond should I assume that the coupon is already paid out to me, or should I assume that it still has to be paid. Depending on the number of units you own, this can affect accrued interest significantly. Thanks in advance!
 
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daveangel
Posts: 17031
Joined: October 20th, 2003, 4:05 pm

Bond coupon payments at the valuation date

March 26th, 2014, 8:58 am

no - you only pay for the coupons that you receive.
knowledge comes, wisdom lingers
 
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Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

Bond coupon payments at the valuation date

March 26th, 2014, 11:43 am

Isn't this what the ex div day conventions are for?
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

Bond coupon payments at the valuation date

March 26th, 2014, 1:18 pm

QuoteOriginally posted by: mwestra88Dear all,Suppose I want to value a coupon bearing bond at the 31st of September 2013. Let's assume that a coupon payment is also scheduled at that date. Is there any rule/market consensus on whether the coupon should be regarded as being paid in my valuation? In other words, if I value the bond should I assume that the coupon is already paid out to me, or should I assume that it still has to be paid. Depending on the number of units you own, this can affect accrued interest significantly. Thanks in advance!31st of september don't existSecondly, the coupon payment rule depend on the bond and country. Some bonds have a coupon payment different from the principal (ex-dividend or other style -where the payment is made n days after the principal) .
Last edited by cemil on March 25th, 2014, 11:00 pm, edited 1 time in total.
 
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mwestra88
Topic Author
Posts: 2
Joined: March 25th, 2014, 8:57 am

Bond coupon payments at the valuation date

March 27th, 2014, 2:53 pm

Thanks for commenting! Indeeed the 31st of September does not exist, hehe
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