Market View – WI Enhancement | Weekly Release 7/22/22

Enhancement


For user created WI bonds, added option to calculate the WI roll using the ASW/OIS/ESprd/SOFR Z Spline RVS curves


Traders analyzing the incoming WIs, have a new measure to calculate the roll using the ASW/ESTR/SOFR/OIS Z spline curve. Traders have the option to choose the “RVS Method” this feature will nullify the “curve”, “Carry”, “liquidity”, and instead will use the spread of the WI to the Z spline RVS. The spread will be set to “zero” to calculate the WI Yield.


In the example below, see the UWI BKO 0.2 Sept 2024, the "RVS Method" is set to "none", which shows the Eprd Z RVS as 3.3, a yield of 0.47, and roll of 6.5. Setting the "RVS Method" to "Esprd Z RVS" will calculate the WI yield based on the assumption that the ESprd Z RVS of the WI is equal to Zero.