Bond Valuation and Accrual

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

Bond valuation converts expected cash flows into present value. Accrual and amortization describe how interest, principal, premium, discount, or carrying amount changes through time. These concepts interact but are not interchangeable.

Start With the Measurement Question

Use Bond Valuation to estimate price from expected cash flows, benchmark rates, credit spread, liquidity, and embedded options. It also distinguishes clean price, dirty price, market price, model value, and accounting carrying amount.

Bond Market Equilibrium explains how price and yield adjust as investors absorb available supply. An equilibrium market price can differ from an analyst’s valuation because of liquidity, size, urgency, information, and model assumptions.

Separate Accrual From Amortization

An Accrual Bond defers or capitalizes interest rather than paying all interest currently. Zero-coupon debt is one example, while payment-in-kind, capital-appreciation, and structured accrual tranches can behave differently.

Amortized Bond is an ambiguous label. It can mean a bond that contractually repays principal in installments or a bond whose premium or discount changes carrying amount under an accounting or tax method.

Reconciliation Checklist

  • Contractual principal outstanding.
  • Expected coupon, principal, and option-dependent cash flows.
  • Clean price, accrued interest, and dirty settlement price.
  • Benchmark curve, credit spread, valuation date, and price source.
  • Accounting carrying amount and impairment treatment.
  • Tax basis, OID, market discount, acquisition premium, and bond premium.
  • Accreted value for deferred-interest structures.

Do not assume any two values are equal merely because they move toward face value over time. This section is educational only; accounting and tax treatment require current framework-specific guidance.

In this section

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Accrual Bond

An accrual bond capitalizes or accretes interest instead of paying all interest currently; structures include zero-coupon, capital-appreciation, and accrual tranches.

Amortized Bond

Amortized bond can mean a principal-amortizing security or a bond whose premium or discount is recognized through carrying value; the concepts are distinct.

Bond Equilibrium

Bond market equilibrium is the market-clearing price and yield at which available bond supply is held by investors given rates, credit, liquidity, and expectations.

Bond Valuation

Bond valuation estimates dirty and clean price from discounted cash flows, benchmark rates, credit spread, options, accrued interest, and market inputs.

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