How to enter IRS with Premium/Discount and Accrued interest

Created by Elin Stenrud, Modified on Tue, 28 Mar 2023 at 05:14 PM by Maria Appelquist

If your are Issuing bonds some customers want to hedge all part of the bonds including premium or discount and the accrued interest (bought/sold coupon interest on begin date). All accounting and cash flows of the interest rate swap will be mirroring the Bond. Premium discount will be amortized with effective interest method. 

Click on new deal Interest rate swap 

Enter the interest rate swap as usual also see article How to enter an interest rate swap 

In TAB Finished

  1. Enter the price of the Bond (on Receiving leg if you are an Issuer and on Paying leg if you are an Investor). The amount of the premium / discount will be calculated. 
  2. Enter the Accrued interest bought sold on the Bonds begin date
  3. Enter the date from when the interest is calculated.

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