Enter your bond details, repo rate and settlement dates to calculate accrued interest, dirty price, settlement value and repurchase amount instantly. Designed for fixed income professionals, analysts and finance students. Free, no signup.
Calculator below uses actual/365 convention
This calculator takes the full characteristics of the bond being used as collateral — not just a generic principal amount — to derive the dirty price, accrued interest and settlement cash flows precisely. Each input is explained below.
The face value of the bond position being used as collateral — the amount the issuer will repay at the bond’s maturity date. For most government and corporate bonds this is expressed in currency units: $1,000,000 means you are repo-ing $1,000,000 of face value. This is not the market value — market value is derived by applying the clean price and accrued interest to the nominal.
The agreed cash consideration for the transaction — the actual amount of cash exchanged at the first leg (settlement). In a standard repo at full market value, the value of repo equals the dirty value of the bond (nominal × dirty price / 100). Where a haircut is applied, the value of repo will be lower than the full dirty market value — the difference is the haircut buffer protecting the cash lender against a fall in collateral value.
The date on which the first leg of the transaction settles — when the securities are delivered and cash is exchanged. This date is used to calculate the accrued interest on the bond at the point of settlement. Accrued interest accumulates from the last coupon date up to but not including the settlement date, following standard market conventions.
The date on which the bond issuer repays the face value and the bond ceases to exist. This is used together with the coupon frequency to determine the bond’s coupon schedule — specifically, the last coupon date before the repo settlement date, which anchors the accrued interest calculation. For a semi-annual bond maturing on 15 October 2031, coupons fall on 15 April and 15 October each year; the calculator works back from the maturity date to identify which coupon date immediately precedes the settlement date.
The market price of the bond expressed as a percentage of face value, excluding accrued interest. This is the price quoted in most bond markets and the figure you will see on a Bloomberg terminal or broker screen. A clean price of 97.50 on a $1,000,000 nominal position means the market values the bond at $975,000 before accrued interest is added.
The clean price does not represent the full settlement amount — that is the dirty price. The calculator adds accrued interest to the clean price to derive the dirty price, which is the economically correct measure of the bond’s full value at the settlement date.
The annual interest rate the bond pays to its holder, expressed as a percentage of face value. A 4.5% coupon on $1,000,000 nominal pays $45,000 per year — $22,500 every six months on a semi-annual bond. The coupon rate is used to calculate how much interest has accrued on the bond since its last coupon payment date up to the repo settlement date.
How often the bond makes coupon payments per year:
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Frequency affects both the size of each individual coupon payment (annual coupon ÷ frequency) and the length of the accrual period used to calculate accrued interest. Most government bonds pay semi-annually. Some corporate bonds pay annually. Always match this input to the bond’s actual payment schedule stated in its prospectus or term sheet.
The date on which the second leg of the transaction settles — when the cash borrower repurchases the securities and returns the cash plus repo interest to the cash lender. Together with the repo settlement date, this defines the exact term of the transaction in calendar days, which is the figure applied to the repo rate to calculate interest.
The repo term = Repo End Date − Repo Settlement Date.
For an overnight repo, settlement date is today and end date is tomorrow: term = 1 day. For a one-month repo settling on 12 April 2026 and closing on 12 May 2026: term = 30 days. The calculator uses the actual number of calendar days between the two dates — not business days — consistent with standard money market conventions.
The annualised interest rate agreed between the repo counterparties at execution. This rate is fixed for the duration of the transaction and determines the financing cost for the cash borrower and the return for the cash lender. The repo rate is applied to the value of repo over the exact number of days between settlement date and end date to calculate the repo interest — and therefore the repurchase amount due at the second leg.
From these inputs the calculator derives the following outputs:
Accrued Interest — the coupon interest accumulated on the bond from the last coupon date to the repo settlement date:
Accrued Interest = (Annual Coupon / Frequency) × (Days Since Last Coupon / Days in Coupon Period)
Dirty Price — the full market price per 100 nominal, including accrued interest:
Dirty Price = Clean Price + Accrued Interest per 100 Nominal
Market Value of Collateral — the full value of the bond position at the settlement date:
Market Value = Nominal × Dirty Price / 100
Implied Haircut — the buffer between market value and the agreed cash consideration:
Haircut (%) = (Market Value − Value of Repo) / Market Value × 100
Repo Interest — the financing cost accrued over the transaction’s term, applied to the agreed cash amount:
Repo Interest = Value of Repo × Repo Rate × (Days / Day Count Basis)
Repurchase Amount (Second Leg) — total cash owed at the repo’s closing date:
Repurchase Amount = Value of Repo + Repo Interest
A portfolio manager repos out a government bond position to raise short-term funding:
| Input | Value |
|---|---|
| Nominal value | $2,000,000 |
| Value of repo | $1,940,000 |
| Repo settlement date | 12 April 2026 |
| Repo end date | 12 May 2026 |
| Bond maturity date | 15 October 2031 |
| Clean price | 97.25 |
| Coupon rate | 4.50% |
| Coupon frequency | Semi-annual |
| Repo rate | 4.80% |
The bond matures 15 October 2031 and pays semi-annually, so coupons fall on 15 April and 15 October each year. The last coupon before settlement on 12 April 2026 was 15 October 2025. Days since last coupon: 178 days. Days in the coupon period (15 Oct 2025 → 15 Apr 2026): 182 days.
Semi-annual coupon = $2,000,000 × 4.50% / 2 = $45,000
Accrued Interest = $45,000 × (178 / 182) = $44,011
Per 100 nominal: $44,011 / $2,000,000 × 100 = 2.2006
Dirty Price = 97.25 + 2.2006 = 99.4506
Market Value = $2,000,000 × 99.4506 / 100 = $1,989,012
Haircut = ($1,989,012 − $1,940,000) / $1,989,012 = 2.46%
The value of repo ($1,940,000) is 2.46% below the full market value — providing the cash lender a buffer against a decline in the bond’s price during the repo’s term.
Repo term = 12 May 2026 − 12 April 2026 = 30 days Day-count convention: Actual/360
Repo Interest = $1,940,000 × 0.0480 × (30/360) = $7,760
Repurchase Amount = $1,940,000 + $7,760 = $1,947,760
The manager delivers $2,000,000 nominal of bonds, receives $1,940,000 cash today, and pays $1,947,760 in 30 days to recover the securities. The $7,760 is the financing cost — equivalent to borrowing at 4.80% annualised for 30 days.
Because repo settlement is based on the bond’s dirty price, not its face value or clean price. The dirty price requires the accrued interest at the settlement date, which depends on the coupon rate, coupon frequency, and the last coupon date. The last coupon date is derived from the bond’s maturity date and coupon frequency. Without these inputs, the settlement value would be incorrectly calculated using only the clean price, understating the true economic value of the collateral.
The clean price is the market-quoted price excluding accrued interest. The dirty price is the full economic value including accrued interest — what the buyer actually pays at settlement. Repo transactions always settle at the dirty price, because the seller is transferring the full economic value of the bond including interest accrued since the last coupon payment. Using clean price alone would understate the collateral value and misprize the transaction.
The value of repo is the agreed cash consideration — the actual amount exchanged at the first leg. Where no haircut applies, it equals the bond’s full dirty market value. Where a haircut is applied, the value of repo is lower than the market value. The calculator shows the implied haircut so you can verify it matches your agreed terms. Always confirm the value of repo with your counterparty before settlement, as mismatches are a common source of settlement failures.
The calculator works back from the bond’s maturity date using the coupon frequency to reconstruct the full coupon schedule. It then selects the most recent coupon date falling before the repo settlement date. For example: a semi-annual bond maturing 15 October 2031 pays on 15 April and 15 October every year. For a settlement date of 20 November 2026, the last coupon was 15 October 2026 and accrued interest covers the 36 days from 15 October to 20 November.
The repo rate applies to the value of repo — the agreed cash consideration — not the full market value of the collateral. If the value of repo is $1,940,000 and the repo rate is 4.8%, the interest is calculated on $1,940,000. The collateral’s market value determines what is delivered as security, but the financing cost accrues only on the cash actually exchanged.
Yes. The accrued interest and dirty price methodology is the same for any fixed-rate bond with regular coupon payments. Enter the bond’s actual coupon rate, coupon frequency and maturity date regardless of whether the issuer is a government, agency or corporation. The calculator applies standard market conventions to derive the correct settlement values.
This calculator handles precise settlement mechanics. For a full understanding of how repos are structured legally, how haircuts protect cash lenders, what repo specialness means for bond pricing, and how central banks use repo to implement monetary policy:
👉 Repo vs Reverse Repo Explained — Structure, Mechanics and Role in Financial Markets
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