Valuation, Return, and Roll-Down

Understand how bond price, accrued interest, coupon income, spread, amortization, and yield-curve roll-down combine into fixed-income value and return.

Bond return comes from more than coupon income. Price changes, accrued interest, principal payments, credit spread, currency, transaction costs, and movement along the yield curve can all affect the result.

Value the Cash Flows First

The Bond Valuation and Accrual branch covers present-value pricing, market equilibrium, clean and dirty price, deferred interest, principal amortization, and amortized cost.

A complete analysis states the valuation date, settlement, cash-flow assumptions, benchmark curve, credit spread, option model, and price source. Model value is not automatically an executable trading price.

Then Explain the Holding-Period Return

A simplified bond holding-period return can be decomposed as:

1Coupon or interest cash received
2+ principal cash received
3+ price change
4+ accrued-interest change
5- transaction and financing costs
6= holding-period profit or loss

Currency and tax effects may also matter. Carrying-value amortization is not itself market return, although the same discount or premium can influence both calculations in different ways.

Yield-Curve Effects

The Bond Yields and Roll-Down branch explains Treasury yield, negative yield, and roll-down return. Roll-down assumes a path along a yield curve; it is not guaranteed because the curve, spread, liquidity, and time horizon can change.

Review Checklist

  • Separate coupon rate, current yield, yield to maturity, and realized return.
  • Reconcile clean and dirty prices around settlement.
  • Distinguish benchmark-rate movement from credit-spread movement.
  • Identify calls, puts, prepayments, conversions, and default scenarios.
  • Compare market price, model value, carrying amount, and tax basis separately.
  • Use executable market evidence where possible and label evaluated prices.

This section is educational only and does not provide individualized investment, accounting, or tax advice.

In this section

Choose a subsection first. Deeper term pages live inside each subsection, which keeps large topic hubs readable.

Bond Valuation and Accrual

Distinguish bond model value, market price, clean and dirty price, accrued interest, accreted value, amortizing principal, and amortized cost.

Bond Yields and Roll-Down

Bond yield and roll-down concepts for interpreting Treasury benchmarks, negative yields, curve aging, and holding-period return assumptions.

Spread Measures
Yield Measures
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