When Issued Bond Enhancement | Weekly Release 2/7/20

Calculate the Strip Roll for SP bonds which traders can utilize for analyze 20-year and 30-year WI bonds


Leverage the default view under “Table” – “System View” and select “default” with new columns added: STRIP WI SP Roll, STRIP WI SP Yld, and STRIP BM SP Yld.

  • STRIP WI SP Yld: the equivalent SP yield for B/E SP_PX of WI Bond

  • STRIP BM SP Yld: the equivalent SP yield for B/E SP_PX of BM bond

  • STRIP WI SP Roll: STRIP WI SP YLD - STRIP BM SP YLD

In RiskVal, traders can estimate the SP WI Roll using two methods:


Method #1: SP WI Roll = Carry + Curve Liquidity


Method #2: Use SP B/E calculation to imply WI SP vs SP roll. If you choose this method, then the whole bond WI roll value will equal the “STRIP WI Roll”

Of note: two columns have been renamed B/E SP Roll to Strip WI Roll and B/E SP Yld to Strip WI Yld.

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