Set up instrument data: Discount Papers

Created by Erik Åkerlund, Modified on Mon, 20 Feb 2023 at 02:28 PM by Erik Åkerlund

Discount Papers need an instrument setup before deals can be registered. Here's how it works:

  1. Go to Register > Instrument Data > Discount Papers
  2. Create a new instrument (F4) or edit an existing instrument

  3. Below you can find descriptions of all the fields and settings available.
Parameter Description
Enter the name of the instrument.
Mark if the register only should be accessible for change by the users with user type manager in the user identity register. If left blank the user who has the right of access to the register can also make changes in the register.
Int 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).
ACT/ACT ICMA if you choose ACT/ACT you can check ICMA. ICMA means that all coupon payments are the same amount
Choose if you want the system to default or lock the instrument to buy or sell in deal input.
Issuing and paying agent (for example Bankers trusts, Euroclear). Used for commercial paper and Medium term note facilities. The list box contains counterpart codes.
Base int
Libor, Stibor, Discount rate etc. are stated here. The base interest is only entered for information purposes and not used in analysis. The field is not mandatory.
Choose if you want the system to default or lock the instrument to spot or forward in deal input
Isin code for the instrument.
Value days
The number of normal banking days between deal date and value date at the inception of the transaction. The number of days entered here will automatically trigger a value date in the registration form based on the deal date taking into consideration any Saturdays/Sundays or bank holidays in between.
Enter a currency if the instrument is denominated in a specific currency. Only mandatory field for Bond and Norweigan certificate. Leave blank if transactions based on the instrument can be entered in multiple currencies.
Oth C/R
Enter % for commission or other cost/revenue based on a % figure. The cost/revenue is calculated in deal input based on nominal amounts in the transaction.
Start and End date
The dates are used to define the start and end date of the discount paper. Can also be left blank if you only have one instrument and the start and end date is entered in deal input instead. (sv. tex emittenter av certifikat)  
Counterpart BD
Check if the counterparts country bank holidays should be considered
Amount rounding
Amount rounding is used to define the amount rounding rules for the instrument in deal input. Residual means that rounding is performed only on the residual amount in the transaction. If rounding is used the number of decimals for rounding must be entered.
Automatic interest fixing
Automatic interest rate from yieldcurve will be shown in deal input when entering a new deal.
Category is an extra information field which can be included in reports in addition to the portfolio codes. The purpose of the Category is to be able to use as a common denominator for different instruments and spanning over different portfolio codes such as Strategies, Deal types, Transaction types. The category code can be used as a sorting variable in the Report manager, Balance sheet and Profit/loss reports. Category codes must be predefined in Register – Setup – Base code table (as type CA).
Yield curve spot/fwd
Enter the name of the Interest code used in yield curves for market valuation of the instrument (Spot) and (Forward). This is the code, with attached interest rates, that the program will look for in the interest rate tables when market valuation is requested in reports. Different codes can be used for spot and forward instruments.
The code to be used here must first be defined in the Base code table under Register/Setup
+/- %
The +/- field is related to the interest code fields. It is to be used to add/deduct a spread to the interest code entered in the previous field. This addition is used throughout the yield curve in market valuations. The idea here is that a single yield curve e.g. for deposits can be used for a number of instruments by adding a different spread for different instruments. Hereby the need is minimized for downloading numerous different yield curves everyday for market valuations.
Int code + currency
Check for use of the interest code entered in the previous field to be used together with a currency code as a total interest code in the interest rate register.
For example:  We are defining an instrument called EURODEP to be used in transaction registration for all eurodeposits in different currencies. The interest code in the previous field is DEP for the EURODEP instrument. But the different currency deposits must be market valued by using different yield curves for each currency. Each yield curve in the interest rate tables defined by its interest code should therefore be named DEPUSD, DEPEUR, DEPSEK etc.
By checking the Int code extension box we request the program that for all EURODEP transactions to look for a yield curve with the name DEP plus the currency code of the transaction, when interest rate gain/loss shall be calculated in various reports.
OM fee
Enter the fee connected to forward started Bonds per contract . Used in OM report. Not applicable on other instruments.
Yield curve
There are three yield curve types used in the system, Benchmark, Fixed Period codes and Days to maturity. These types distinguish three different ways of finding an interest rate or bond/money market price to apply to the instrument in market valuations.
Short-term deposit instruments, FRAs and interest rate swaps normally use Days to maturity as the yield curve type.
Treasury bills and Commercial paper may use days to maturity, or have a fixed period quotation in the market each day based on remaining number of days to the IMM date at which it matures.
Bonds normally have a benchmark bond quotation to use as the basis for the valuation.
Enter the button that applies to each instrument in the system.
The various benchmark codes, period codes and days to maturity definitions must also be entered in the menu alternative Interest rate periods under Register Setup before interest rate tables can be entered and used in the reports. Note that FRN bonds needs an additional yield curve for market valuation. The yield curves should be entered in Register – Interest Rate/Price/Volatility tables. The names of the yield curves should be SPREAD followed by a currency code, for example SPREADSEK, SPREADEUR and so on.
Zero coup
Not applicable
Price rounding
Number of decimals in price quotations if using valutation on price.

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