Special Note on Modelling 20-year WI bonds in RVFI | Weekly Release 1/17/20

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:

  1. Click on “New

  2. In the “When Issue Creator”, set the Benchmark as the current 10-year

  3. Set the “Maturity Date” to 20-years (02/15/2040)

  4. (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.

  5. Click “Create

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.