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How is accrued interest calculated for gilts?

The Debt Management Office produces a detailed document on calculating the accrued interest on Gilts which can be downloaded from their website. This covers the subject in detail, including the complex calculations performed on index-linked Gilts.

At the risk of oversimplifying the subject, the main variations from the calculation process are as follows:

Most Gilts pay coupons twice a year (the majority of non Gilts pay annual coupons). The exceptions to this rule are some of the undated bonds such as 2.5% Consuls.

The accrued interest is calculated on "actual/actual" basis, where the true number of calendar days is used to determine the apportionment of the coupon.

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