Bond Definition

First step is to register the security in Bond definitions.

Go to Market Data / Bond Definition

Fill in the Basics

Name Fill in the name of the paper, this  will be shown at the blue banner of the deal and is possible to get out in a report column.

ISIN  The ISIN is used when mapping imported market data and it is also a report column.

Market valuation; Treasury system can do the market valuation from the market price or by calculate from the yield curve.

Closing option;  Close means that a buy back or a sell before maturity date will create a realised result at the closing day and close part of the position. Continuous means that there will be 2 deals one sell nd one buy back and the realised result will be on maturity date of the bond and the cashflows will not be netted. If issuing a bond and the closing option is Continuous the custodian will also be shown.

Issuer or Investor; Also a report column

Programme amount Fill in the currency and if you are a Issuer you can also fill in the total program amount. It is also a report column.

Counterparty; If you are the issuer fill in the IPA, if you are investing  the fill in the Issuer and the Custodian

Dates

Begin date If you are an Issuer fill in the begin date of the program if you are investing fill in the the latest coupon date before you buy

End date End date of the Bond

Coupon Settings

Bond type;

EMTN the payments will by default go to IPA

MTN payments will by default go to broker

Zero coupon no coupon will be created

CPI linked Not developed yet

Privet Placement  Not developed yet

Norwegian certificate Only one coupon with payment date on maturity date. Not longer than 1 year

Future Daily settlement  

Payment Period the payment period of the coupons 

First payment roll date By default it will show begin date + the payment period , but if the first period is broken the next payment will be from the first payment roll date + the payment period.

Average or FIFO Effects calculation of gain /loss and fx gain/loss when closing the position earlier than maturity date.

Record Date is the cut-off date in order to determine which owner will receive the coupon.

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

Decimals price Number of decimals used when calculating the yield 

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

Denomination of notes Posts/units the bond is traded in (can in some cases cause small differences in coupon amount) 

Interest rates

Different field are shown depending of Interest type

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

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

Spread- The spread added to the base interest

Interest amount decimals  By default the coupon has the same number of decimals as the currency , usually 2 but if the coupon should be rounded, fill in number of decimals for the coupon here.

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 

Date settings

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