Key Features in this Release:
In this week’s release, RiskVal enhanced the When Issued Creator for traders to create and analyze the WI 20Y using any bond as the benchmark, such as the 30-year off-the-run, T 4.625 Feb-15-2040
Enhanced the Fwd Swap RV Analysis with additional filters, as well as ability to send potential trades to the Trade Blotter
Support cross-country OIS by entering the two-letter country code, such as EUOIS. Leverage the X-Country Template from the ‘Help’ menu
Seasonality: incorporated the “supply” dates into the EGB Auction for Germany
Hist Graphs: Option to show the mean and +/- one Std Dev grid
Created a TIPS CMT Real Yield curve for AUD inflation traders to conduct relative value analysis against the Constant Maturity Treasury curve
Add the 3M ASW YY and 3M ASW dYY columns
Added Calc Spot, Theta, Vega, Rho P&L columns for Listed Options
Enhanced usability to let traders filter each tab by Issue Size, and enhanced the Comp Sprd functionality to set different Provinces for each Province, and added Comp Sprd C&R
Support sending strategies from CAD Provincial to CAD Sprd/Bfly Allow traders to filter bond list by issue size
Allow traders to include the IMM and Quarter-end points for more granular short-end analysis for the following FX pairs: GBPUSD, JPY, CAD, AUD, CHF, SEK, NZD
Minor Fixes & Enhancements:
Forward Swap Matrix:
Countries can now support rates with their own county code, ie, in the USD tab, enter US10
Enhanced usability for traders finish entering their strategy before refreshing the cell
[GBP] Added historical data for OIS50 & OIS30x20 swaps
Callable Bond: Added “Secondary Structure” and “Original Structure”CMT Curves:
[AUD] Enhanced the curve parameters to better portray the market in the 10y sector
[DE] Refined the German CMT Curve construction based on original issue where 2Y and below uses only original 2Y, 2Y~5Y uses only original 5Y, 5Y~10Y uses only original 10Y, and 10Y~30Y uses only original 30Y
Sprd/Bfly:
Added a new column: “TReturn / Stdev” which is the Total Return divided by the standard deviation
Support cross country swap & OIS swap rates, including 3M OIS (OIS0.25)
Added the real-time intraday chart to populate for strategies, such as RX1 in the USD Sprd/Bfly
Fixed the Px Ratio calculation (also in Swap Box)
Bond Roll:
Remember and display the sorting selection options. Also applies to SSA sheets
[EUR] Added 3M ASW YY and 3M ASW dYY columns against the 3M EUR curve