NYSE Euronext Bond Trading Methods

Quotation in Trading Currency

  • UNT (in number of securities): The quantity represents the number of securities to be bought or sold and the price is expressed in trading currency. The price includes the accrued interest.

Security

Quantity

Price

Turnover

Traded

ABC

10 000

1 000

€10 000 000

Turnover Traded: 10 000 x 1 000 = €10 000 000    

Quotation in Percentage

  • UNT:

Quotation on a clean price: The quantity represents the number of securities to be bought or sold and the price is expressed as a percentage of the nominal value. In this case, the price does not include accrued interest. Accrued interest is included after the transaction is executed by the clearing system.

Security

Nominal value

Quantity

Price

Accrued

interest

Turnover

Traded

DEF

1 000

10 000

99

3%

€10 200 000

Turnover Traded: 10 000 x [1 000 x (99%+3%)] = €10 200 000   

Quotation on a dirty price: The quantity represents the number of securities to be bought or sold and the price is expressed as a percentage of the nominal value. In this case, the price includes accrued interest.

Security

Nominal value

Quantity

Price

Accrued

interest

Turnover

Traded

GHI

1 000

10 000

99

3%

€9 900 000

Turnover Traded: 10 000 x (1 000 x 99%) = €9 900 000  

  • FMT (in facial amount):

Quotation on a clean price: The quantity is expressed as an amount of nominal value and the price is expressed as a percentage of the nominal value. In this case, the price does not include accrued interest. Accrued interest is included after the transaction is executed by the clearing system.

Security

Nominal value

Quantity

Price

Accrued

interest

Turnover

Traded

JKL

1 000

10 000

99

3%

€10 200

Turnover Traded: 10 000 x (99%+3%) = €10 200

Quotation on a dirty price: The quantity is expressed as an amount of nominal value and the price is expressed as a percentage of the nominal value. In this case, the price includes accrued interest.

Security

Nominal value

Quantity

Price

Accrued

interest

Turnover

Traded

MNO

1 000

10 000

99

3%

€9 900

Turnover Traded: 10 000 x 99% = €9 900 

Listed Prices

The prices of debt instruments listed for trading on NYSE Euronext’s regulated European markets can be quoted in several different ways:

As a price per unit
Price is expressed in trading currency and the quantity represents the number of securities to be bought or sold. The price includes the value of accrued interest.

As a clean % per unit
Order quantity is quoted in security units, the price being expressed as a percentage of the market face value. The price does not include accrued interest. Accrued interest is added post-clearing.

As a clean % in capital
Order quantity is expressed as an amount of capital and price as a percentage of the market face value. The price does not include accrued interest. Accrued interest is added post-clearing.

As a gross % in capital
Order quantity is expressed as an amount of capital and price as a percentage of the market face value. The price includes accrued interest.

Accrued interest

The accrued interest is the fraction of interest due since the last payment date or by default since the dated date.

An investor who buys then sells a debt instrument before the payment of the coupon does not receive any interest from the issuer. However, he will be paid for having held this instrument for a given period of time.

An investor who sells a debt instrument receives from the buyer interest at the rate in effect on the settlement date; which is three days after the trading date. The seller therefore receives from the buyer a fraction of interest corresponding to the period between the last payment date and the settlement date. This ensures that the seller is not penalized for having sold the debt instrument before its payment.