RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/31/20

Key Features in this Release:


Future Calendar Roll Enhancement

  • Created a STIR view with new columns available for analyzing front & back future performance across Implied Repo vs SOFR, Implied Repo vs OIS, and Implied Repo vs Actual Repo, with added history for actual repo

Forward Swap Matrix Enhancement

  • Support G7 Central Bank meeting date rates across all currency tabs

CCY Sprd/Bfly Enhancements

  • Added the “SOFRRATE” Index

  • Added an option to adjust the font color for cells with the background heatmap enabled, such that traders can switch the negative numbers as black for improved visibility

CCY Bond Enhancements

  • Enhanced historical graphs with the option to flip between flattener and steepener

  • Enhanced the watchlist (tab) functionality for quicker bond list creation. In this week’s release, users can manage bond lists based on filters (maturity, coupon, original issue, etc). For traders who have more specific bond lists, it is accessible from the Sprd/Bfly

FRN Enhancement

  • Added OIS Z, Trsy OIS Z, and the spread to OIS Z columns

Fwd Fwd Enhancements

  • Support shortcodes for forward spreads, such as 2x(2/10)

  • Expanded coverage to include CPI swaps, both spot and forward


Minor Fixes & Enhancements:


Curves

  • [GBP & JPY] Enhanced the CMT curve parameters. We also enhanced the curve construction for GBP CMT Real Yield

Bond Roll

  • Honor the ‘Preferences’ – ‘Auto Load WI’ to automatically add the user-created WI to Blotter & Watchlist tabs without having to ‘reset security’

  • [USD] In the Live Graph, added the Strip B/E Par Cpn

  • Expanded RV Analysis to include ASW Z RVS

Forward Swap Matrix:

  • Added historical carry & roll for NZD, SGD, HKD, TWD, KRW

  • Added right-click function and ‘x’ to delete user-created tabs


[USD] TIPS: Added the “Floor Prem(bps)” = Floor Premium* 100/DV01

IVSP: If the bond is set to early delivery, it will be highlighted in yellow

Sprd/Bfly: Enhanced the TIPS view with BEI Z (Live, dChg, and Z-score)

Listed Option Strategy: Support weekly option, also available in the Trade Blotter such as 2MG0C 130, 1MG0C 130, TYWG20C1 131

Historical CTD: Enhanced the loading to be much quicker upon opening the sheet

Previous week's release - WI Creator, Forward Swap Matrix and AUD TIPS enhancements
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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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