RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/22/21


Key Features in this Release:


[EUR] Transition From EONIA to ESTR

  • Forward Swap Matrix: “ECB#” meeting dates are now mapped to the ESTR ECB dates, the EONIA ECB dates are now using “ECBOIS#” format, also applied to the Historical Viewer

  • CB Rate Monitor: Added “Live ESTR”, “CoD ESTR”, “Step ESTR”, “Cumul Steps ESTR” columns

  • Bond Roll: Added the IVSPE YY/Z & IVSPE dYY/dZ columns

  • Sprd/Bfly: Added “ESTR Spread Z Rich<->Cheap” heatmap & “ESTR Spread Z-score” columns to complete the ESTR Z spread set of columns


Fut CTD

  • Added three more futures with different delivery baskets


Bond Roll

  • [USD] Added Implied Lock Yield column

  • Added “Cnvx” as an option under “Graph” dropdown


Sprd/Bfly

  • [USD] Added support for SOFR headliner swap spread as “SFCT#”

  • [JPY] Added “Comp Yld” column, already available in JPY Bond


Minor Fixes & Enhancements:


Sprd/Bfly:

  • [USD] Added ability to set alerts on IVSPS YY/dYY/Z/dZ

  • [EUR] extended the ESTR ZS & Rich<->Cheap heatmap to inflation bonds

Forward Swap Matrix:

  • [KRW] Added historical data for KRW futures (KR, KR, KAA), also available in KRW Sprd/Bfly & KRW Bond sheets

USD SSA + Covered:

  • Added historical data for “CMT RVS”

  • Added “SSprd”, “OTR RVS”, & “CMT RVS” to Graph dropdown

Market View:

  • [IRVOL] In RV Analysis, “MR Ret” is set to > 0 on default

  • In “Top Outright” -> “Short”, now show “Vol”, “3M Rlzd Vol”, & “Mean” as positive numbers

  • [CAP/FLR Vol] Will now use ICPL for USD & EUR closes

  • Historical Viewer [CB Rate]:Now map USD FOMC to SOFR version, while keeping FOMCOIS for reference

CCY TIPS: Added tooltips to column headers

Preferences:

  • Under “Global Preferences” > “GUI Preferences” > “Graph Setting” > “Scatter Last Points”, added the ability to set the number of latest points shown in Scatter Plots


Previous week's release - Future CTD, [New] Global Swap CoD, Bond Roll, Fwd Swap Matrix, Sprd/Bfly, New Global IVSP, and Trade Blotter [Listed Option] enhancements