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Sovereign Yield Spread Futures Fair Value Pricing Tool

The Sovereign Yield Spread (Sovys) Futures Fair Value Pricing Tool is a spreadsheet that has been designed to assist users in estimating "fair value" of the nearby Sovys futures contracts.

In order to access the tool, users must open the spreadsheet in a Bloomberg-linked computer. The tool will not function on computers that are not linked to Bloomberg.

Caveats for users of the Sovys Fair Value Pricing Tool include, but are not limited to:

  1. The worksheet is populated with Bloomberg default pricing, and Bloomberg default repo rates.
  2. The user can override the default bond price and repo rate. If the user wants to return to default pricing, they should delete the input value with the "delete" key.
  3. The user decides which repo rate to use for each sovereign bond. The user should recognize that whatever source is chosen on the Bloomberg terminal, the repo rate may not be representative of the actual term rate at that point in time.
  4. Users should recognize that the bonds in the representative basket may change, and this will likely have an impact on fair value.

Click here to access the Sovereign Yield Spread Futures Fair Value Pricing Tool