Bond Definition

As part of the Bond handeling in TS the details of the Bond instruments, i.e. the securities, are configured in the view Bond Definition.

This must be done prior to a Bond deal is entered in the system.

To enter a Bond Definition for a Bond security to the following steps:

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 and 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; Depening on if the bond is issued or invested this is selected in thies field. This is also a report column.

Programme Amount Fill in the currency and if an issued Bond, also enter the total Program Amount. It is also a report column.

Counterparty; If an issued Bond enter the IPA, if an invested Bond enter both the Issuer and the Custodian of the security.

Dates

Begin Date If Issued Bond, enter the begin date of the program, and if Invested Bond, enter the latest coupon date before the first Buy takes place

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 coupons will be created

- CPI linked Not developed yet

- Private Placement 

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

- Future Daily settlement  

Payment Period; 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; The cut-off date in order to determine which owner will receive the coupon (also known as 'ex-coupon days').

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 Fixed vs Floating

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/coupon

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 article 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 at 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 calendars than the currency calendars should be considered