With recent discussions about the Treasury issuing a new 20-year, this section outlines how traders can leverage RiskVal’s When-Issue Creator to model up a 20-year WI bond and analyze its performance within that sector.
Creating the WI
Click on “New”
In the “When Issue Creator”, select the 10-year as the benchmark
Change the “Maturity Date” to set the WI maturity to 20-years (11/15/2019)
Click on “Save”
Once you have the WI, you can enter it in the USD Bond sheet. Click on “Tools” → ”Reset Security”.
Once you have it in the live “Graph” from the USD Bond, the trader can see where the WI performs relative to the surrounding bonds in the corresponding sector
In the example below, you can see how entering the Alias will automatically populate the WI. columns.
Another form to see the WI is in the Future CTD to analyze whether the WI has any likelihood of becoming the CTD bond. In this case, the 20-year bond has no effect on the deliverable for the USZ9 contract, however, you can see relative to the surrounding bonds where the WI stands.
