With the official announcement that the U.S. Treasury will begin issuing 20-year bonds early this year, here is a quick read on how to create 20-year WI bonds with varying coupon assumptions
Creating the WI in RiskVal:
Click on “New”
In the “When Issue Creator”, set the Benchmark as the current 10-year
Set the “Maturity Date” to 20-years (02/15/2040)
(Optional) Check “Range” to model up multiple 20-year WI bonds with varying coupon assumptions. The example below uses a coupon range of 2.00 – 2.50% with a coupon increment of 0.125.
Note, as a recommended ‘Roll Method’ we encourage traders to use the CMT Curve.
Finally, in the USD Bond click “Tools” -”Reset Security” to add the 20y WIs.