Calculation example for nominal bonds
The calculation example below shows how the settlement amount is calculated for a nominal
bond. The example is based on the document ”Calculation principles for the Swedish Moneyand Bond market” from the Swedish Securities Dealers Association on April 2, 2001.
Calculation of the settlement amount
In order to calculate the settlement amount, we first calculate the price. That is done by
discounting all future cash flows by the yield. Based on this price, we calculate the clean price
by subtracting the accrued interest and rounding off the result to three decimal points. The
settlement amount is calculated by adding back the accrued interest on the clean price and then
multiplying by the face value. The settlement amount is rounded off to the nearest krona.
Example
Bond: 1041
Coupon: 6.75%
Trade date: September 17, 2009
Settlement date∗: September 22, 2009
Maturity date: May 5, 2014
Day-count convention: 30E/360
Number of days to next coupon, d = 223
Number of years to maturity from next coupon date, n = 4
Yield, y = 2.732 %
Face value: SEK 100 M
Coupon
Price** =
=
Coupon
Nom. amount +
in SEK
in SEK
Coupon in SEK
+
+ ... +
d / 360
d / 360+1
(1 + y )
(1 + y )
(1 + y )d / 360+n
100 + 6.75
6.75
6.75
+
+ ... +
223 / 360
223 / 360+1
(1 + 0.02732)
(1 + 0.02732)
(1 + 0.02732)223 / 360+4
= 119.765108...
Accrued interest =
∗
**
360 − d
× Coupon in SEK
360
Settlement occurs three business days after the trade date.
The price of a bond is calculated for the nominal amount of SEK 100.
=
360 − 223
× 6.75 = 2.568750...
360
Clean price = Round[Price − Accrued interest;3]
= 119.765108... − 2.568750... = 117.196
Face value 

Settlement amount = Round (Clean price + Accrued interest ) ×
;0
100


= (117.196 + 2.568750...) ×
SEK 100 M
= 119,764,750
100
2