RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/7/22


Key Features in this Release:


CCY Bond

  • Added ability to enter custom historical date for Hist & Diff dropdowns

  • Added z-score metrics to Data Types


Trade Blotter

  • Under Preferences, added “Futures Carry use CTD Repo” option

  • [Swap & Swaptions] Updated default floating index to RFR, configurable under Preferences – Swap Settings

  • [Swap] Added Gamma P&L & Delta P&L

  • Added 3M Repo column for bonds & futures

  • [Bond] Added the ability to choose the spot or forward DV01 under the Global Preferences


EUR Sprd/Bfly

  • Added “ESprd 2BD dZ”, "ESprd 3BD dZ", "ESprd 5BD dZ", "ESprd 10BD dZ”, & "ESprd 1M dZ" set of columns

  • Added "IVSPE 2BD dZ", "IVSPE 3BD dZ", "IVSPE 5BD dZ", "IVSPE 10BD dZ" , "IVSPE 1M dZ" set of columns


USD 2+ RVS Trsy Graph

  • Added ability to create additional panels


Forward Swap Matrix

  • Added support for IMM Annual Money Market, IMM Semi-Annual Bond, & IMM Quarterly Money Market as the IMMAM, IMMSB, and IMMQM, respectively


Market View - Repo

  • Added ability to upload repo file using Cusip/ISIN & terms


IT FRN CCTS

  • Added “Floor Prem bp” set of columns

  • Added ESTR Sprd YY, T, & Z sets of columns

  • Added cashflow function



Minor Fixes & Enhancements:


CCY Bond

  • [EUR] Added CYP CT 5 & 30, also available in EUR Sprd/Bfly

  • [Curve Analysis] Under Config, added Show Point Label option

  • [Curve Analysis] Added the CMT RVS Z-score, ASW Z Z-score, and OIS Z-score data types

  • [WIT] Re-labeled the WI pulling in the market price to “BBG-WIT”

Forward Swap Matrix

  • Added “Cnvx + Exp Ret” column, also available in Sprd/Bfly

  • Added double click for historical data function for Beta column

  • [AUD] Added the LIB3M and the LIB6M, the default Libor is the LIB3M

Forward Curve Analysis

  • For AUD CCY, added LIB3M & LIB6M as options under Curve

CCY Sprd/Bfly

  • Added YTD dSprd column, also available in CCY Bond

  • Added OIS for CIX function

  • Added Constant Maturity TBill historical data

CCY TIPS

  • Added ability to right click in C, R, C+R columns to change C+R to 1M, 2M, 3M, also available in CCY Bond.

IT FRN CCTS

  • Renamed “Floor Prem” to “Floor Prem Cents”

Global Preferences

  • Added setting to choose to use DV01 or FDV01 for cash bonds

AUD Semi

  • Added “CH Hold %”, “CB Hold Sz B”, & “Float Sz B” columns, also available in AUD Bond

Fed Fund Simulator

  • Added ability to override Upper & Lower Targets of the Range Interval

Market View

  • [IRVol] Added double click for historical data function for Beta tab

  • Added option to include WI in CMT curve

OTC – Exch Vol

  • Under Preferences, added Nvol Ratio with option to set it as OTC/Exch or Exch/OTC

CCY SSA

  • [Curve Analysis] Added ability to select multiple categories & datatypes, already available in CCY Bond

Trade Blotter: Added FX Scenario (Spot x Vol) for FX Option & FX Exotics




Previous week's release - Trade Blotter, Global Macro Monitor, Future Net Basis Forecast, and Bond Roll enhancements