RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/29/21



Key Features in this Release:


[New] ILS Bond and Sprd/Bfly

  • Introducing the Israeli Bond sheet, Sprd/Bfly, and CMT curve


Bond Roll

  • Allow the trader to override the “Yld Stdev_d” using their own vol assumption to recalculate the “3M convexity return” and the “3M convexity adjusted carry and roll” which will also propagate to the Sprd/Bfly

  • Added “Actives” tab for USD/EUR/JPY which includes the On-the-Runs, front and back CTDs

  • Added the ability to allow the user to pop-out sub tabs as a separate floating window

  • [AUD] Added support for JPY under XCCY ASW


Trade Blotter

  • Enhanced the “Blotter Manager” to allow traders to create folders to better organize their strategies

  • Under the Swaption section, enabled overriding “$Vega N” column to calculate the notional


CMT Monitor

  • Enhanced the lower panel to allow the traders to enter custom strategies

  • Allow traders to configure EUR Countries


Custom Basis:

  • Created a “Standard Tabs” for G7 basis and cross-currency basis; to further customize, traders can drag and drop to rearrange the tab order


Minor Fixes & Enhancements:


Sprd/Bfly

  • [AUD/CAD] Added support for State* and SSA Bonds to “Sprd/Bfly Generator” and “Strategy Creator; enhancement also available in the Swap Box sheet, *State is only for AUD

  • [USD] Added generic time series for “SOFR ASW Z

  • Enhanced plotting of the RT Charts, so the charts are not “Always on top”


Fwd Swap Matrix:

  • Added support for [Country Code] CPISW/CMT format; same enhancement is available in the Sprd/Bfly sheet

  • In the lower panel graphs for CMT Roll, Roll, and Carry and Roll, added highlighting to the 3 best performing values

  • Allow the traders to configure the forward and tails for the lower panel Matrices

Bond Roll:

  • Enabled setting alert for “ASW” columns

  • RV Analysis: Added “>=2Y” as a default sector

Callable Trade: For European bonds, keep “Opt Type” as “European” after they get called

OTC vs Exchange Vol”: Renamed “CBOT Annual Vol (bp)” column to “Exch Annual Vol (bp)”

Historical Viewer: Enhanced exporting strategies from the Sprd/Bfly sheet to reference the same common series

Market View: [GBP] Renamed “CPI Swap” as “RPI Swap” and added “CPI Swap

Callable Grid: Enhanced Bermudan/European tooltip to show LOAS and LOAS based on flat vol assumption




Previous week's release - [New] CMT Monitor, Trade blotter, Forward Swap Matrix, Sprd/Bfly, Bond Roll and SSA enhancements