Standard RiskMetrics Data sets

Unleaded Gas Risk Factor Replacement

Effective Friday,October 27th, the gasoline risk factors (UNL.C01, UNL.C03, and UNL.C06) will have an underlying time-series change. The risk factors previously referenced the NYMEX Unleaded Gas future contracts, which are being phased out by the exchange. The exchange is replacing this product with the NY Harbor RBOB Gas futures. As a result, RiskMetrics will now use these contracts in population of the gasoline risk factors. Volatility comparisons between the two contracts are similar. However, levels will change by a factor of 100. Levels for the Unleaded Gas contracts were expressed in USc, while the RBOB contracts are expressed in USD.

New Zealand Stock Index Replacement

Effective Wednesday, April 7th, the New Zealand Top 40 Index will be replaced by the New Zealand 50 Index. The reason for this change is that the Top 40 Index is no longer calculated by the exchange. The code for this index is NZD.SE . Values and volatilities as of March 31, 2004 are shown below. Volatilities shown are from the standard dataset daily volatility file.

The Top50 index began on March 3, 2003. Synthetic history created by the exchange is available back to January 3, 2001.

Enhanced USD Government Curves

We have made changes to the U.S. government bond curve to take advantage of additional data and provide greater granularity. We have added repo data to extend the maturities of these curves down to overnight (in the case of the U.S. curve) and 2 days (for EU benchmarks). Repo rates are the rates charged on short-term loans collateralized with high-quality securities, usually government bonds. They are generally considered to be default-risk free. We have also added a proxy 1-year benchmark for the U.S. curve in order to enhance the accuracy of the 1- and 2-year zero-coupon rate time series. The proxy is the 2-year benchmark note issued 1 year earlier.

DataMetrics clients will begin to receive this data on the close of business, October 17th.

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