Code Set NameData TypeDescriptionPedigree
RelativeValueTypeCodeSetint

Indicates the type of relative value measurement being specified.


1=

Asset Swap Spread

ASW Spread. The asset swap spread is the difference in the bond's yield (yield to maturity) and a floating interest rate (usually LIBOR), expressed in basis points.

Added EP194 [ASWSpread]
2=

Overnight Indexed Swap Spread

OIS Spread. The overnight indexed swap spread is the spread, expressed in basis points, between the bond yield (the fixed rate) and an overnight indexed rate (e.g. Fed Funds rate, EONIA, SONIA, etc.) (the floating rate).

Added EP194 [OIS]
3=

Zero Volatility Spread

Z-Spread. The zero coupon spread is the constant spread added to the reference zero coupon yield curve (usually Treasury spot rate curve), expressed in basis points, to derive the adjusted yield curve used to determine the present value of the cash flows so that it equals the dirty price of the bond (i.e. accrued interested factored in).

Added EP194 [ZSpread]
4=

Discount Margin

The DM is the spread, expressed in basis points, added to the bond's reference rate that will equate the bond's cash flows to its current price.

Added EP194 [DiscountMargin]
5=

Interpolated Spread

I-Spread or I-Curve spread. The spread, expressed in basis points, added to an interpolated point on the reference yield curve.

Added EP194 [ISpread]
6=

Option Adjusted Spread

OAS or OA-spread. Used to evaluate bonds with embedded (callable or put-able) options. The option adjusted spread is a constant spread, expressed in basis points, applied to each point on the spot rate curve (usually Treasury spot rate curve) where the bond's cash flow is received, such that the price of the bond is the same as the present value of its cash flows.

Added EP194 [OAS]
7=

G-Spread

The spread difference between the bond's yield and the interpolated yield from the government reference yield curve, expressed in basis points. It represents the curve adjusted value of the bond by accounting for the difference between the bond's benchmark yield and the interpolated government reference yield at the same point on the curve that matches the bond's remaining life.

Added EP194 [GSpread]
8=

CDS Basis

Also referred to as CDS Bond Basis. The CDS basis is the spread difference between the CDS spread or premium for the obligor and the Z-Spread or the ASW spread of the same reference or obligor bond, expressed in basis points.

Added EP194 [CDSBasis]
9=

CDS Interpolated Basis

Also referred to as CDS Bond Interpolated Basis. The CDS interpolated basis is the difference between the reference or obligor bond's Z Spread or ASW spread and an interpolated point on CDS curve that matches the maturity of the reference bond, expressed in basis points.

Added EP194 [CDSInterpolatedBasis]
10=

DV01

The currency value change in response to a move of one basis point in the yield of the instrument. Typically used as a measure of interest rate risk of a single bond. Also known as basis point value or BPV.

Added EP272 [DV01]
11=

PV01

The present value change in response to a move of one basis point all along the yield curve used for the instrument. In certain cases the DV01 and PV01 values may be the same.

Added EP272 [PV01]
12=

CS01

Credit spread sensitivity. Represents the change in value of a (CDS) transaction for a one basis point change in the credit spread.

Added EP272 [CS01]
Added EP194

Used in fields:
[RelativeValueType]