Use bond issues to record static information for long-term securities, such as government bonds, that your company invests in or issues. You must set up a bond issue before you can enter a deal for that bond.
Use the Bond Issues window to record static information for your long term securities. You must create a bond issue for every security that you issue. You can also create bond issues for securities that you purchase.
Once you enter and save a new bond issue in Treasury, you cannot delete it; you can only un-authorize it.
Set up the companies and counterparties who are bond issuers. For counterparties, ensure that the Risk Party check box is selected. See: Company Profiles and Counterparty Profiles.
Ensure that the bond product type is authorized in the Deal Types/Product Types window. See: Deal Types and Product Types.
Ensure that the currency that you will issue the bond in is authorized. See: Currency Details.
Define your currency holiday rules. See: Currency Holiday Rules.
Navigate to the Bond Issues window.
In the Issue Code field, enter a code and a description for the issue. The issue code is user-defined, and is usually the same number as that assigned by the issuer or the marketplace.
In the Issuer Code field, choose the bond issuer from the list of values. The bond issuers are defined as risk party counterparties in the Counterparty Profile window. For more information, see: Counterparty Profiles.
If you want to authorize the bond issue for use, check the Authorized check box.
In the Security Num field, enter the bond identifier, for example, the CUSIP number.
In the Currency field of the Main Details region, choose the currency for the bond.
In the Product field, choose the product type of the bond.
In the Start Date field, enter the start date for the bond.
In the Maturity Date field, enter the maturity date.
In the Day Count Basis field, select the day count basis for the bond. The day count basis is used to calculate the bond coupon amount or periodic accrual amount. The possible day count bases are: actual/actual, actual/360, actual/365, actual/actual-bond, actual/365L, 30/360, 30E/360, 30E+/360. For more information on how each day count basis is calculated, see: Treasury Terms.
In the Accrual Basis field, select the basis by which you want to calculate the accrued price for the bond when you enter a deal into the system. After the deal is saved, this parameter no longer has any effect on the deal. This value may be different from the day count basis based on the business convention in your market. The possible accrual bases are: actual/actual, actual/360, actual/365, actual/actual-bond, actual/365L, 30/360, 30E/360, 30E+/360. For more information on how each basis is calculated, see: Treasury Terms.
In the Calculation Precision field, enter the number of decimal places to which you want to calculate the values for the bond.
In the Accuracy field of the Price Display region, enter the number of decimal places you want to use to display the price of the bond.
In the Rounding Type field, choose whether you want to truncate or round the price to the number of decimals specified. This field is for display purposes only.
Note: If, when you enter a bond, you enter the bond's yield and you want Treasury to calculate the price, Treasury will use the price precision you selected in this field.
In the Accuracy field of the Yield Display region, enter the number of decimal places you want to use to display the yield rate of a bond.
In the Rounding Type field, choose whether you want to truncate or round the yield to the number of decimals specified. This field is for display purposes only.
Note: If, when you enter a bond, you enter the bond's price and you want Treasury to calculate the yield, Treasury will use the price precision method you selected in this field.
Choose the Coupon Details tab region.
In the Coupon Type field, choose the coupon type for the bond: Fixed-Regular, Fixed-Irregular, Floating-Regular, Floating-Irregular, Compound Coupon, or Zero Coupon.
Fixed-Regular: The coupon rate is fixed and the coupon amounts are equal regardless of the number of days in each coupon period.
Fixed-Irregular: The coupon rate is fixed and each coupon amount varies according to the number of days in the coupon period.
Floating Regular: The coupon rate is floating and the coupon amounts are equal regardless of the number of days in each coupon period.
Floating Irregular: The coupon rate is floating and each coupon amount varies according to the number of days in the coupon period.
Compound Coupon: For bonds that do not have periodic coupon payments, but a single one at maturity, the coupon amount is calculated assuming that there are interim coupons, but are reinvested until maturity at the same rate as the coupon.
Zero Coupon: For bonds issued at a discount and the discount is then accrued over the assumed holding period (settlement date to bond maturity date) using a straight-line accrual method.
If you choose Compound Coupon or Zero Coupon, the Force Month End check box, the Business Day Convention region, and the First and Last Coupon Date fields are disabled.
In the Coupon Frequency (Quasi Coupon Frequency field for Compound Coupon and Zero Coupon types), choose the coupon frequency. The choices are: Monthly, Bi Monthly, Quarterly, Quadrimestrial, Semi Annual, and Annual.
To generate month-end dates for fixed or floating coupon maturity dates and payment due dates, enable the Force Month End check box.
Note: To ensure month-end dates, you must also set the Business Day Convention Maturity Dates field and Payment Due Dates field to No Adjustment. To ensure that month-end dates that fall on weekends or holidays are automatically adjusted to business days, choose different Business Day Convention.
If an original (without business day convention adjustment) fixed or floating coupon maturity date or payment due date is the same as the bond maturity date or payment due date, the dates are not affected by enabling Force Month End.
In the Business Day Convention region, choose a setting for Maturity Dates and/or Payment Due Dates for fixed or floating coupons. Treasury adjusts the bond's 'original' Coupon Maturity Dates and/or Payment Due Dates that fall on non-business days according to the settings that you choose.
You can apply a separate adjustment to each field:
The Maturity Date affects the interest amount.
The Payment Due Date is the settlement due date; it is also used as the journal date for the interest payment.
The choices are:
Following: Use the following business day.
Previous: Use the previous business day.
Modified Following: Use the following business day, unless this enters the next calendar month, in which case it is moved back to the previous business day.
Modified Previous: Use the previous business day, unless this enters the previous calendar month, in which case it is moved forward to the following business day.
No Adjustment: No adjustment is performed.
In the First Coupon Date field, Treasury populates a value for the maturity date of the first coupon in the bond. You can update this date if necessary.
In the Last Coupon Date field, Treasury populates a value that is equal to the maturity date of the bond. If this is a fixed or floating bond, you can update this date if necessary.
In the Rate field, enter a rate for the coupon.
If this is a Compound Coupon, Treasury calculates and displays the Effective Annual Rate. Whenever you change the Rate value or Quasi Coupon Frequency value, Treasury recalculates the Effective Annual Rate.
(Floating coupons only) In the Benchmark Rate field, enter the benchmark rate to use to automatically reset the floating rate.
(Floating coupons only) In the Margin field, enter the number of basis points above or below the benchmark rate to use when resetting floating coupon rates automatically.
(Floating coupons only) In the Rate Fixing Day field, enter the number of business days before the coupon start date to determine the benchmark index value date.
Choose the rounding rule that you want to use to calculate interest in the Interest Rounding field. The possible choices are: Nearest, Round Up, or Round Down.
Choose the days that you want to include when you calculate interest on the deal in the Interest Includes field. The possible choices are: First Day, Last Day, or Both Days.
Note: If you select Both Days for Interest Includes, you cannot use the 30/360, 30E/360, or 30+/360 day count basis.
Save your work.
Choose the Coupons button to open the Coupons window and view more details about the bond coupons.
Choose the Additional Details tab region.
In the Rate Reference field, enter a reference rate for the bond. The Rate Reference field links to the current market bond prices, which are used in valuing your bond deals.
In the Pricing Margin field, enter the margin for the bond. The margin is applied on top of the yield rate in valuing your bond deals.
In the Pricing Model field, choose the pricing model that you want to use to value bond deals for this issue code. The pricing model for the bond issue overrides the default pricing model for the product type.
In the Market Data Set field, choose the market data set that you want to use to value bond deals with this bond issue. You must define market data sets in the Current System Rates window before you can choose a market data set. The market data set for the bond issue overrides the company's default market data set.
If this is a callable bond, check the Callable Bond box and save your work. This activates the Call Details tab region.
Choose the Call Details tab region to enter details for a callable bond. Use the Call Details tab region to maintain bond repurchase details between the issuer and buyer, including the schedule and the price of redemptions prior to maturity.
In the Notification Date field, enter the date by which to notify investors of the possible call. A notification date must be on or before its corresponding call date.
Enter the Call Date or Call Dates for the bond. A call date must be after the start date and earlier than the maturity date of the bond issue.
In the End Date field, enter the date the call expires, if any. The end date must be after its corresponding call date and earlier than the maturity date of the bond issue.
In the Price fields, enter the applicable strike price of the call for each corresponding call date.
Enter any Comments.
Save your work.