WI 30 and WI SP30 Enhancements | Weekly Release 4/30/21

Create the UWI:


1- Click on “New” at the top

2- In the pop up select, the current 30 year on- the-run from the benchmark dropdown

3- Enter the estimated coupon

4- Review the Maturity and interest accrue dates if these are correct, leave them, otherwise override them

5- Click “Create


The UWI30 will be created alongside the UWIS30 and the UWISP30

The WI’s yield is based off the total roll + the benchmark. To calculate the Total Roll is as follows:


Total Roll = Carry + Curve + Coupon Effect + Bad Day Adjustment + Liquidity


Watch the following video or ping Jordan Hu for more details

https://vimeo.com/537516047/0cd1ad4ad7