Imagine you buy a bond (a loan you make to a company or government) at a discount. This means you pay less than the face value (the total amount you'll eventually get back). Accretion of a discount is the gradual increase in the value of that bond as you get closer to the maturity date (when you get your money back). It's the profit you earn from the difference between the discounted purchase price and the face value you'll receive at maturity.
