How to: Deal input Fixed/Floating Rate Loan

Created by Erik Åkerlund, Modified on Mon, 20 Feb, 2023 at 2:28 PM by Erik Åkerlund

This form is used to enter non-standard loan/deposits wher each loan/deposit has a unique structure.

Step-by-step guide

Go to Deal input/ Fixed/Floating Rate Loan.
Create a new contract

Choose a name and press OK. The new contract Wizard will be shown. Enter Legal entity, counterpart and base data concerning the loan. Complete the registration by adding portfolio codes.

	Description
Annuity method	If checked the annuity method is used to calculate amortisations. Used in conjunction with the field Annuity amount.
Amortizing loan	If checked amortisation structure can be entered
Residual Method	If checked amortisation amount is calculated as a percentage of each remaining capital amounts. The percentage is entered in field Residual without % sign, for example 5% is entered as 5. The Residual amount should be equal to the capital amount.
Bank Holidays Reg	Add extra bank holiday calenders. Default bank holiday calenders: Currency of the deal and the local currency of the entity.
No trans	Not used.
No	Tranche number
L D	Enter L for a Loan, D for a Deposit, C for current accounts.
Begin / End	Enter the begin date (value date) and end date (Final maturity date) for the contract.
Cur	Select currency from list box
FX rate	FX rate against Legal entity accounting currency.
B day convention	Decides how to treat transactions falling on a bank holiday. Following - If payment is due on a bank holiday the date is moved forward to the next valid bank day. Mod follow - If the payment is due on a bank holiday the date is moved forward to the next valid bank day. But if it is a new month the date is moved back to the first preceding valid bank day. Preceding- payment date is moved back to previous valid bank day. IMM- the third Wednesday in each quarter
Adj	If checked maturity date and payment date are adjusted according to B day convention. If not checked only payment date is adjusted.
Capital amount	This is the capital amount per start of period. The amount you enter is automatically set to minus if it is a liability leg.
Annuity/ Amortisation/ Residual	Depending on which , if any, checkbox is filled in. If the field is grey, it is a bullet loan and the final repayment should be the same as the capital amount and is filled in automatically.
Period	Enter the amortisation period (for amortisation)
First Roll d	Date for the first amortisation transaction. (for amortisation)
Yield curve/ Yield curve fixing/ discount curve	Yield curve is used for market valuation and interest fixing via Confirm start. Note! If not "-IBOR" rates are included in the selected Yield curve then use Yield curve fixing. Discount curve should be used for market valuation if you would like to add actual credit margin. The discount curve must be defined as a Yield curve (YC) in the system.
Type	Enter if interest rate is Fixed or Variable
Period	Enter the interest period (for interest payment)
Interest Conv	Enter the convention relevant for the instrument. If “Act/365” is specified, the actual number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 365; If “Act/360” is specified, the actual number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 360; If “30e/360” or “Eurobond Basis” is specified, the number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 360 (the number of days to be calculated on the basis of a year of 360 days with 12 30/day months, without regard to the date of the first day or last day of the Calculation Period or Compounding Period unless, in the case of the final Calculation Period or Compounding Period, the Termination Date is the last day of the month of February, in which case the month of February shall not be considered to be lengthended to a 30/day month). If “30u/360” or “Eurobond Basis” is specified, the number of days in the Calculation Period or Compounding Period in respect of which payment is being made divided by 360 (the number of days to be calculated on the basis of a year of 360 days with 12 30/day months. Each month is assumed to have 30 days, with an exception that if the last day is the 31st and the first day is not 30th or 31st then that month has 31 days ACT/ACT ICMA if you choose ACT/ACT you can check ICMA. ICMA means that all coupon payments are the same amount
ICMA	Can only be used together with Interest conv Act/Act.
Floor base/ Floor tot	Base interest can not be below zero / Total interest ( base + spread) can not be below zero.
Base interest	Enter interest base for example STIBOR3M. Just an information field. Note! On tranches of type 'C' (Current accounts) this field is entered after the contract is created (directly on the tranche line).
Base Int%	Enter interest rate without spread for the transaction
Spread +/- %	Margin which will be added to the Base Int %. Note! On tranches of type 'C' (Current accounts) this information is entered after the contract is created. Click on the 'Check Limit' button and enter Debit and Credit spread.
Interest %	Enter interest rate including spread for the transaction
First Roll d	Date for the first interest payment
First broken / last	Only used with variable interest type. Is checked if the first/last interest transaction is shorter or longer than the selected interest period. The fixing for the broken period must be done manually
T	If checked other cost/revenues is calculated as VAT and with holding tax.
Oth C/R % / Oth C/R amount	Enter % other costs/revenues or an absolute amount
LDOP	If checked, roll date will be last day of period
Man Fix	If checked interest fixing will be done manually and will not be updated automatically in confirm start
Fix days	Number of fixing days ( business days). Default is is set to 2 days.
Bank acc 1/ Bank acc 2	Specifies the bank account used on value date ( bank acc 1) and maturity date ( bank acc 2). Note! if bank acc 2 is omitted bank acc 1 will be used on maturity date.