Was just curious why would accrued interest not show up on Bloomberg terminal the day before coupon payment?
I work in ops and was pricng a UST and when I went to grab A/I it showed it as 0. Knowing this CUSIP pays a coupon, and seeing the day before the A/I was ~2.23 why wouldn’t it show A/I of 2.25? (Its was a 4.5% bond).
Doesn’t the A/I converge to bi-annual coupon payment as you get closer to payment date? Why would they just leave this as zero?
This throw me off and had me calling tech suppoort and disagree with the counter party.
I agree that it doesn’t really make sense but that’s just how Bloomberg reflects accrued interest - they “roll over” to the next accrual period a day early. My first job out of school required a lot of accrual verifications to BBG and I remember always having to account for this difference.
I don’t know the details on how BBG handles it, but the point of accrued interest is to keep track of that, yes.
Some quotes are dirty prices, which means that they include the accrued interest in the price. I guess BBG may have 0 accrued interest if the underlying quote is a dirty price.
Most bond quotes in the US (if I remember correcly) are clean prices, which mean it’s the price of the bond without accrued interest. If I were writign BBG software, I would definitely want the accrued interest to be in a separate field if I was quoting a clean price.