[New] ILS Bond and Sprd/Bfly | Weekly Release 1/29/21

Introducing the Israeli Bond sheet, Sprd/Bfly, and CMT curve


Traders who are interested in analyzing the Israeli bonds and monitoring their movements in the market can do so in RiskVal. Leveraging the ILS Bond, traders can see the market data such as price and yield.


Moving across the ILS Bond to the right,

  1. There is the 0 Sprd column and the hedge ratio column, where traders can set an anchor to see the spread of each bond to the set anchor.

  2. Then, there is the 3-month Carry and Roll(C+R) set of columns to show the gain or loss on holding each of these bonds for a three month period, the 3M repo can be overwritten to have a more accurate C+R.

  3. The next set of columns includes the relative value spread(RVS) of each bond to the ILS CMT curve, with its change on day plus a three-month rich/cheap heatmap and z-score.

  4. Next, is the ASW spreads, including the Yield-Yield ASW and ASW Z with its change on day and heatmap and z-score.

  5. Finally, there are the forward analysis columns, which populate when entering the “Fwd Dt”.

ILS Sprd/Bfly


Traders can leverage the ILS Sprd/Bfly to monitor Spreads or Butterflies. Traders can either enter them directly into the monitor or generate them using the Spread or Butterfly Generator.