RelativeValueType <2530> field
FIX 5.0 SP2 EP270
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.
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).
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).
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.
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.
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.
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.
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.
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.