Market View - WI SSA Enhancement | Weekly Release 5/28/21

Enhancement #1

Added support for USD SSA WIs

Traders can now model USD SSA bonds. To do this:

1- Click on “New”. The “When Issue SSA Creator” will pop up.

2- In the “When Issue SSA Creator” popup box, select the “Ticker” &

Benchmark” from the dropdowns. Set the “Coupon”, “Interest Accrue Date”,

Issue Date”, “Maturity Date”, & “First Coupon Date”.

3- Click “Save

The newly created USD SSA bond will show under “Market View” – “WI SSA” –

USD” as well as in the USD SSA + Covered sheet. It will be highlighted pink in the USD SSA + Covered sheet.

Enhancement #2

Added SOFR to “Sprd method” dropdown, to allow traders to mark the SOFR spread

After modeling a new SSA bond, traders can choose to use SOFR as the spread method. Choosing the SOFR curve as the “Sprd Method” will use the SOFR curve to calculate the “WI FASW YY”, which traders can override to drive the price of the roll.

Enhancement #3

Added the "FPar Rate" column to show Par Swap, OIS or SOFR according to spread method selection

The “FPar Rate” is the par rate of the WI given the curve selected under the “Sprd Method”. In the example below it is the “Par Libor Swap Rate