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UST 20-year bond Enhancements | Weekly Release 5/22/20

With this week’s auction, RiskVal added full support for the 20-year bond.

Enhancement #1

USD Bond & Sprd/Bfly: Support the 20-year bond such that traders can calculate the implied lock px using CT20, leverage the OTR Summary, and enter ‘20’ for the CT20 in the Sprd/Bfly

Traders can use the CT20 as the benchmark and have the Implied lock price calculated based off the Swap Box Spread. In the example below, it is displayed in the Swap Box, then as the historical spread graph. Which can then send the Strategy to the spread strategy. Where the “20” is supported.

Note: CT 20 has extended historical data because it is being mapped to the o30.

The highly anticipated 20 year CT was auctioned this week. In this week’s release, it has been integrated to RiskVal for traders to analyze as any other CT.

In the USD Bond tab, the CT20 has been marked as an On-the-Run. It was also added to USD OTR Summary table.


Enhancement #2

USD Trsy 2+RVS: Include CT20 as one of the key benchmarks


Enhancement #3

Market View – WI allows traders to create the WI using the CT20 as the benchmark

To help traders with setting up the next 20 year WI, the “When Issued Creator” will be pre-filled with the interest accrue date, Maturity Date, Issue Date, and First Coupon Date.


Enhancement #4

Future CTD & Future Net Basis Forecast: Analyze the delivery probability of USM0, which now includes the new 20-year


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