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RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/17/20

Key Features in this Release:

  • With the official announcement that the U.S. Treasury will begin issuing 20-year bonds early this year, here is a quick read on how to create 20-year WI bonds with varying coupon assumptions

  • Introduced a Fwd Swap Relative Value Analysis tool to help derivative traders identify curve and tail trades

  • Added a new sheet for CAD traders to perform relative value analysis across Provincial & Covered bonds

  • Added Non-Farm Payroll dates as Economic Calendar Events in the Seasonality tool for traders to see how strategies perform going into and immediately following the monthly NFP announcement by the BLS

  • Enhanced cross-country support in all Sprd/Bfly windows by accepting swaps and OIS swaps for any G7 + AUD country

  • [USD] Support STIR indices which include upper and lower target bands of the FF range, Fed Discount Rate, and RRP

  • Added USD as an option for the “Comp Trsy” column for relative value analysis on EGBs spreads against USTs

  • Added option to sort by country and maturity

  • Added “Par Cpn” and “Strip B/E Par Cpn” columns, where Strip B/E Par Cpn uses “Strip B/E SP Px” as the principal price instead of the market price. Also available in USD Bond sheet

  • Support AUD OIS vs USD OIS basis swap

  • Centralized and added new font preferences to further customize font size & style across the system

Minor Fixes & Enhancements:

Market View – WI: Allow AUD traders to model up AUD WI bonds

Forward Swap Matrix:

  • Added option to hide all lower panel matrices

  • Added new columns: 3M heatmap for Z-Score and Rolldown, Total Return column (Expected Return [formerly “Sprd Dev”] + 3M C+R)

  • Added Stdev column which is calculated based on level instead of daily change

  • Updated intraday chart to collect data for all swap types, which now includes forward strategies

CAD Bond: Added values for Gen Curve point column like in USD Bond

CCY TIPS: Added ability to view SA IOTA in the lower panel graph

CCY Sprd/Bfly:

  • Renamed “Stdev Sprd” to “Stdev” and adjusted to scale to be in line with other standard deviation columns

  • Added history to Gross Basis column for Bond Futures

  • Enhanced “Custom Column” by setting the column names to match the sprd/bfly column names

Swap Box: Enhanced the Batch Repo Editor “Country” button to include those in the “Strategy Analysis” tab


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