How to enter a Bond with Coupon plan (old way)

Created by Erik Åkerlund, Modified on Mon, 20 Feb, 2023 at 2:31 PM by Erik Åkerlund

Go through the different settings and field on a coupon plan

Issuer or Investor- If entering an issued Bonds (borrower) or Investor if investing in a bond (lender) 

Legal entity: Enter the legal entity that has issued/invested in a bond  

Counterparty (IPA)- the counterpart the coupons are paid to

Market Valuation Type- choose either market valuation on price or market valuation based on yield.

Average/FIFO- If a close of a bond is entered and there are several of sells/buys, this setting will decide how the calculation of the gain/loss is done

Closing Option - Close means that you reduce the outstanding position and the gain/loss will booked att the time of the close deal. Countinues means that instead of closing the deal you enter a "counter" the two deals are parallell until maturity. The end the result will be accounted for at maturity date. If close the buttons to the right will show SELL & CLOSE if  continuous it will show SELL & BUY

Investor- You invest in a Bond (Lender),

Counterpart (Issuer) - the issuer of the Bond, the Risk counterpart

Custodian - The counterpart for the payment

Begin date - The start date for the first relevant coupon or start date of the paper.

End date - The end date of the paper

Payment period - the frequency coupons shall be paid

First payment roll date- first payment date, the payment period will count from this date 

Reconciliation date - how many days before the payment date any bought/sold bonds will be taken into account for the next coupong payment. If a bought bonds is 1 day after the reconciliation date it will not affect this coupon payment.  

Rounding- Number of decimals used when calculating the yield

Denomination of notes - Posts/units the bond is traded in (can in some cases cause small differenses in coupong amount)

Use denomination in calculation - Check if calculation should be done per unit/post  

Different curves can be used for Market valuation of the Bond.  The discount- and forward curve is chosen on the coupon plan. Learn more about Combined curves

Interest type- choose if it is a fixed or floating rate note (FRN), depending on choice different field will be shown, as seen in the picture above

Fixing Index- The Index used for fixing the interest

Floating/Fix Interest - The current interest (used to be able to calculate the correct accrued interest (bought/sold coupon)

Use observation shift- relevant for bonds with risk free rate, read more in articel IBOR transition

Fixing period - the frequency that the interest (coupon) should be fixed 

First fixing roll date - first fixing date, the frequency will be calculated from this date

Interest floor type - Base interest floor, only look at the base interest. Total interest floor looks att the base interest + the spread

Interest floor - default is 0% but an other rate could be chosen

Read more in specific article Day Count Conventions, Date Rolling Behaviour

Last day of period - tick if it always should be last date of the month

Additional Calendars - if more calenders than the currency calenders should be considered 

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