top of page

When Issued Bond Enhancements | Weekly Release 4/24/20

Enhancement #1

Refresh on modeling up the 20y WI with varying coupon assumptions

Creating the WI in RiskVal

1. Click on “New

2. In the “When Issued Creator”, on the same row as the Benchmark, check on “Show All

3. The Benchmark drop-down will show all the bonds in the universe to be used as the benchmark, the suggested bond to be used is 4.25 539

4. Set the “Interest Accrue Date” to 5/15/2020

5. Set the “Maturity Date” to 20-years by entering “20y” (05/15/2040)

6. (Optional) Check “Range” to model up multiple 20-year WI bonds with varying coupon assumptions. The example below uses a coupon range of 0.25 – 0.50% with a coupon increment of 0.125.

7. Click “Create

Setting the Roll Method as SPCurve_Roll

The SPCurve_Roll is calculated using the Strip WI, less the Strip Benchmark Yield:

  • Strip WI Roll = 100*(Strip WI Yld - Strip BM Yld)

  • Strip WI Yld: fwd yield of WI bond derived from Strip curve

  • Strip BM Yld: yield of Benchmark bond derived from Strip curve

Adding the WI to the USD Bond

To ensure that the WI is automatically loaded into the USD Bond, turn on the setting under “Preferences” – “Auto Load WI

Should the WI not load due to the “Auto Load WI” being turned off, you can click on “Refresh Bonds (Keep Filters)” to load the WI in the USD Bond sheet.

In addition, the WI will be available in the Live Graph, to visually see where the bond is among the surrounding bonds.


Enhancement #2

In the WI Bond Creator, updated the coupon assumption to use benchmark yield even if the benchmark is an off-the-run

To help traders in estimating the coupon for the WI, the coupon is calculated based on the benchmark’s current yield and rounded down to the nearest eighth. This coupon can be overridden based on the trader’s estimate


Commenting has been turned off.
bottom of page