Market View - WI Enhancements | Weekly Release 1/14/22


Enhancement #1:


Set Risk Free Rates as default “Sprd Method” & added them to the “Roll Method” dropdown


Due to the recent Libor cessation, the default “Sprd Method” for WIs has been set to SOFR for USD, ESTR for EUR, & OIS for other currencies. Users can use the “Sprd Method” dropdown to change the method to OIS, for USD and EUR, or SWAP as well. Risk free rates have also been added to the “Roll Method” dropdown menu. SOFR Curve Roll has been added to USD, ESTR Curve Roll has been added to EUR, & OIS Curve Roll has been added to other currencies. These options will use the SOFR/ESTR/OIS curves to estimate the curve (bp) value.


Enhancement #2:


[EUR] Added support for Cyprus


Under WIEUR tab, traders can now create Cyprus WIs. To do so, click “New” and in “When Issued Creator” window select “Cyprus” from the “Country” dropdown. After setting details of the WI, click “Create”. The WI will appear in the WI sheet.

The WI will also be shown in the EUR Bond sheet highlighted pink, provided “include WI” is checked from the “Preferences” dropdown.

Note: To create a Cyprus tab in EUR Bond, click “Preferences” – “Subscribe to Eurozone Countries” & check “Cyprus”. Then click “Tabs” – “Create Standard Tabs” & check “CY”. The “Country” filter can also be used to filter the sheet.