Market View: WI Enhancements | Weekly Release 10/11/19

Enhancement #1

Added ability to create aliases for user-created WI bonds to set an identifying name instead of the generic UWI Ticker, which traders can reference in the Sprd/Bfly


For traders who create multiple WIs with the same coupon and same Maturity during their analysis, it can be difficult to distinguish which WI bond is which. To resolve this problem, we have introduced an “alias” field. You can also enter the WI using the “Alias” in the Sprd/Bfly.

In the example below, you can see how entering the Alias will automatically populate the WI. columns.

Enhancement #2

Added CMT Curve which traders can use to calculate the Curve component in estimating the WI Roll


Traders have multiple options in calculating the curve component, which is used to estimate the total roll to approximate the WI’s yield. In this release, we have added another curve component method, the CMT Roll. The CMTCurve_Roll component estimates the distance between the Current Treasury (CT) bond and the old CT using the CMT curve.


In the example below, you can see three 2 yr WIs with three different roll methods. Each method, whether it is CMT, OTR, or Market Roll, calculates a different yield for the WI.


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