Order book for Retail Bonds

Accrued Interest Calculator

Contents

Overview of calculation Methods

Corporate and Supranational bonds

Conventional Gilts

Indexed Linked Gilts (8 month lag)

Indexed Linked Gilts (3 month lag)

Whilst all reasonable care has been taken to ensure that the Order book for Retail Bonds calculators are accurate
and free from errors, no liability is accepted by the London Stock Exchange in any circumstances. These
calculators do not constitute advice on how to price bonds and should not be used for trading purposes.
 r book for Retail Bonds calculators are accurate
Exchange in any circumstances. These
ould not be used for trading purposes.
Overview of Calculation Methods

accrued interest = (interest days/annual basis) x coupon

interest days = days between previous coupon payment date and trade settlement date

interest days (in period between

X-TRM day count convention previous coupon payment and annual basis
trade settlement date)

30E/360 ISMA EUROPEAN assumes 30 days in each month 360

ACT/360 ISMA actual 360

ACT/365 ISMA actual 365

actual days in coupon

ACT/ACT actual
period

actual days in coupon

ACT/ACT ISMA actual
period

actual days in coupon

GILTS ACT/ACT actual
period

Whilst all reasonable care has been taken to ensure that the Order book for Retail Bonds calculators are accurate
errors, no liability is accepted by the London Stock Exchange in any circumstances. These calculators do not con
how to price bonds and should not be used for trading purposes.
nt date

coupon notes

30 European method: if trade settlement date falls

annual rate on 31st, taken to be 30th; if previous coupon date
falls on 31st, this is maintained as 31st

annual rate

annual rate

annual rate/divided by number of

coupon payments per year

annual rate same as ACT/ACT but uses annual coupon rate

annual rate/divided by number of

same as ACT/ACT but factors in ex dividend dates
coupon payments per year

Bonds calculators are accurate and free from Back to Contents

s. These calculators do not constitute advice on
Corporate & Supranational Bonds
Accrued Interest Calculator

Inputs
previous coupon payment date 19-May-10
settlement date (T + 3) 6-Aug-10
next coupon payment date 19-Aug-10
annual coupon rate 0.796
coupon frequency 3

coupon frequency
annual = 12
semi-annual = 6
quarterly = 3

ACT/ACT ACT/ACT ISMA

interest days 79 79
days in coupon period 92 92
accrued interest per £100 nominal 0.1708676 0.6834702

coupon 0.199 0.796

Whilst all reasonable care has been taken to ensure that the Order book for Retail Bonds calculators are accurate
errors, no liability is accepted by the London Stock Exchange in any circumstances. These calculators do not cons
on how to price bonds and should not be used for trading purposes.
 30E/360 ISMA EUROPEAN ACT/360 ISMA ACT/365 ISMA
77 79 79
360 360 365
0.1702427 0.1746646 0.1722719

0.796 0.796 0.796

nds calculators are accurate and free from

hese calculators do not constitute advice Back to Contents
Conventional Gilts
Standard Dividend Period only

Accrued Interest Calculator

Inputs
previous coupon payment date 7-Mar-10
settlement date (T + 1) 20-Aug-10
ex-dividend date 26-Aug-10
next coupon payment date 7-Sep-10
annual coupon rate 5.000

GILTS ACT/ACT
interest days 166
days in coupon period 184
accrued interest per £100 nominal 2.255435

Whilst all reasonable care has been taken to ensure that the Order book for Retail Bonds calculators are accurate and
errors, no liability is accepted by the London Stock Exchange in any circumstances. These calculators do not constitu
how to price bonds and should not be used for trading purposes.
 calculators are accurate and free from
se calculators do not constitute advice on Back to Contents
Index Linked Gilts - 8 month indexation lag
Standard Dividend Period only

Accrued Interest Calculator

Inputs
previous coupon payment date 26-Jul-10
settlement date (T + 1) 20-Aug-10
ex-dividend date 17-Jan-11
next coupon payment date 26-Jan-11
annual coupon rate 2.500
reference RPI 223.600
base RPI 81.62231

GILTS ACT/ACT
interest days 25
days in coupon period 184
accrued interest per £100 nominal 0.46526

coupon

Whilst all reasonable care has been taken to ensure that the Order book for Retail Bonds calculators are accurate
and free from errors, no liability is accepted by the London Stock Exchange in any circumstances. These
calculators do not constitute advice on how to price bonds and should not be used for trading purposes.
xation lag

Access UK DMO RPI data

er book for Retail Bonds calculators are accurate

Exchange in any circumstances. These Back to Contents
hould not be used for trading purposes.
Index Linked Gilts - 3 month indexation lag
Standard Dividend Period only

Accrued Interest Calculator

Inputs
previous coupon payment date 22-May-10
settlement date (T+1) 20-Aug-10
ex dividend date 11-Nov-10
next coupon payment date 22-Nov-10
annual coupon rate 1.250
index ratio 1.15580

GILTS ACT/ACT
interest days 90
days in coupon period 184
accrued interest per £100 nominal 0.353336

coupon

Whilst all reasonable care has been taken to ensure that the Order book for Retail Bonds calculators are accurate
free from errors, no liability is accepted by the London Stock Exchange in any circumstances. These calculators d
constitute advice on how to price bonds and should not be used for trading purposes.
ation lag

Access UK DMO index factor data

book for Retail Bonds calculators are accurate and

nge in any circumstances. These calculators do not Back to Contents
trading purposes.