RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/15/21


Key Features in this Release:


Future CTD

  • Given talks of CME releasing a future tied to the 20-year bond series, two 20 -year future prototypes were modeled up for traders to analyze


[New] Global Swap CoD

  • This graph was created to allow traders to monitor multiple currencies swap rates’ change on day


Bond Roll

  • [USD] Added support for “IVSPS Z” & “IVSPS dZ” columns, also available in New Global IVSP sheet

  • [GBP]Added “3M OISprd dZ” column


Fwd Swap Matrix

  • Added support for Fwd & IMM basis for CADOIS vs SOFR


Sprd/Bfly

  • Added “1st MR” & “Last MR” columns, also available in the Forward Swap Matrix

  • [KRW] Added the KW Bond Future to show the invoice yield instead of the spot yield. Also available in the forward Swap Matrix


New Global IVSP

  • Added ability to enter Future Px & IVSP level to back out Swap rate


Trade Blotter [Listed Option]

  • [Listed Option] Added support for SONIA midcurve options and JADX1P CCY options

Minor Fixes & Enhancements:


Sprd/Bfly:

  • [Seasonality] Added 3yr, 7yr, 15yr and 20yr under "EGB auction" for Italy and Spain

  • [CAD] Added “Inflation” template to “Help” – “Examples”, already supported in USD & GBP Sprd/Bfly

  • [MXN] Added 1, 3, 7, & 20 generic points, also available in Forward Swap matrix

Trade Blotter: Added support for “DDMMMYYYY” format

CCY TIPS:

  • Added auction days to the historical graphs, also available in Sprd/Bfly

  • Added historical data for generic off the run TIPS

  • [EUR/JPY/CAD/AUD/NZD] Added “Beta” column as well as “Beta BEI” set of columns (“Beta BEI”; “Beta dBEI”; “Beta BEI Rich<>Chp”; “Beta BEI ZS”), already available in USD/GBP TIPS

Fwd Swap Matrix: Added historical data for FRA Swap “FRA#x#” for all CCYs

Global Preferences: “Set RV Default Font Size” will be set to “Yes” on default

Bond Roll: “ZS” columns will now honor “Map to Generic” flag


Previous week's release - Trade Blotter, Sprd/Bfly, Forward Curve Analysis, Basis Swap/Custom Basis, USD Trsy 2+RVS, and USD Bond enhancements