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Market View Enhancements | Weekly Release 10/4/19

Enhancement #1

[ASW Z Spline] Introduced a new proprietary Z-Spread Spline curve, available for G7 + AUD. Traders can leverage this curve for relative value analysis in the Bond Roll sheets to compare each bond’s relative value spread against the Z-Spread Spline curve with “ASW Z RVS” columns.

RiskVal’s Z-Spread Spline curve is available in the back-end “Market view” -> “Libor curve” tab. RiskVal’s ASW Z Spline Curve fitting points take the entire bond universe into account.

The curve uses the ASW ZSpreads of all bonds to to fit a spline model and minimize the sum of square errors (rvs).

For more detail, traders can contact us for technical details on this curve construction.

Across USD, EUR, CAD, JPY, GBP and AUD Bond Roll sheets, RiskVal traders can can find a new default view available under “Table” -> “System Views” and select “default-ZSprdSplineRVS” for the new set of ASW Z RVS columns.

In the EUR Bond, each country uses its own ASW Z Spline curve for the ASW Z RVS columns.


Enhancement #2

[OIS Curve] Enhanced the 1-day Fed Funds Effective Rate (FEDL01 Index) to update in real-time, avoiding the 1-day lag that would occur with FOMC Meeting Announcements.


Enhancement #3

[WI] Added the option to turn off the automatic creation of system-created WI bonds for USD and EUR.

Traders now have the option to toggle on or off the creation of RVFI generated WI bonds. In the default setting, RVFI will automatically load in the market set WIs (which are highlighted purple by default) as well as RiskVal created WIs (which are highlighted pink by default). Traders can turn off RiskVal’s generation of its own WIs by unchecking the box labeled “Auto-Generate RiskVal UWI”.

If “Auto-Generate RiskVal UWI” is checked both types of WI bonds will appear as shown in the screenshot below. If the option is unchecked, only the market WI highlighted purple will appear. Additionally, any user-created WIs made by clicking New” and filling out custom information will also be highlighted pink.


Enhancement #4

[Repo] Added historical data for USD GC Bid & Ask Repo.

Traders can now view historical bid and ask repo rates for overnight, 1 week, 1 month, 2 months, 3 months, 6 months, and 12 months. The repo information in RVFI can be found in the “Repo” tab in Market View as shown below.

To view historical data, double click cell in the “GC(%)” row.


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