RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/22/21



Key Features in this Release:


[New] CMT Monitor

  • Added a CMT monitor to show all the CMT curves of all active countries


Trade Blotter

  • In the Blotter Manager added “SOFR Hedge”, “Meeting Date Rate Hedge”, “Inflation Risk”, “Swap Spread hedge”, “Basis Risk”, and “Gamma Risk” to the Calculation dropdown

  • Added support for 1 month EUR Overnight future such as “OMM1”, “OMU1”, etc.

  • Added “Sprd01” column to the Summary section for basis swaps


Forward Swap Matrix:

  • Allow users to run Horizontal Analysis directly form the RV Analysis


Sprd/Bfly:

  • Added “Cnvx + Exp Ret” column as a sum of Expected Return and 3 Month Convexity Return


Bond Roll

  • [EUR] Added the ability to allow the user to choose which metric to use under the “Comp diff Type

  • Allow traders to select multiple sectors simultaneously, which is available across tabs and RV Analysis

SSA

  • Added option to load SSA + Covered tickers for other countries to the EUR Curve Analysis



Minor Fixes & Enhancements:


Bond Roll

  • [HKD] Added “3M R CMT” and “3M C+R” columns

  • [CNY CDB] Added default issue size to $10B

Fwd Swap Matrix:

  • [EM] Added 3M Roll for CMT entries

  • o [EM] Added historical data for FRA, IMM FRA, and IMM OIS (if available) strategies such as “FRA0x3”, “IMMFRAH1”, IMMOISH1,. etc

  • Added “#M” tail support for IMM and IMM OIS strategies to show forward by month such as “M21X3M”, “IMMOISU22X6M”, etc.

  • Enhanced plotting Multi/Sprd/Bfly graphs in all tabs under the lower matrix

  • Enabled “ToFwdSwapMatrix” button for strategies in the lower matrix

Hist Viewer: Added the SOFR/ESTR YY Sprd and the SOFR/ESTR Z for USD/EUR Bonds, Strips, Strip Principles, Agencies, Bills, and Bond On-The-Run

Cal ASW: Updated column headers in the Strategy Analysis to be consistent with the strategy detail table

Swap Box: Enhanced the “Yld Sprd” Column to show the spread for a two legged strategy




Previous week's release - Sprd/Bfly, Trade Blotter, Callable Grid and Forward Swap Matrix enhancements