16 Mar 2023 12:04
I am trying to understand a contract note I have received for a purchase of index-linked gilts. The purchase was made recently, on the ex-div date for the gilt (TR24). The contract note states the clean price paid and then describes the difference between the aggregate clean price paid and the total actually paid as "interest 000 days". It seems to me that this differential figure (about 50% of the clean price) is not really accrued interest but almost entirely the difference between the nominal amount of the gilts and the current principal amount after indexation, with possibly a small amount being the rebate interest which I am presumably due as a result of buying on an ex basis a week before the interest payment date. Is this correct and if so do I need to work out the split myself (or is there no inherent rebate interest)?