Key Features in this Release:
Enhanced all CMT Curves to use each country’s default weight (Free Float, Issue Size, or Outstanding Size) multiplied by DV01 to achieve a more balanced weighting across both the short and long ends of the curve
[EUR only] Added support for Italy FRN CCTS bonds and allow users to send spread and butterfly strategies from historical graphs in the Italy FRN sheet
[JPY only] Enhanced formatting flexibility by accepting ticker + series inputs [e.g. “JB356” = “0.1 929” = “JB-356 0.1 929”]
Enhanced formating flexibility by accepting condensed type formats using parenthesis, also applicable in the curve field [e.g. “CMT(2/10)” as an alternative shortcut to “CMT2/CMT10”]
Future Calendar Roll Monitor Enhancement
Added history for the “diff IVSPO YY” column, which is the difference between the Back Contract’s OIS Invoice Spread – Front Contract’s OIS Invoice Spread
Added ability for traders to generate strategies directly from the IVSP & IVSPO columns from all Blotter and Watchlist tabs and send directly to either the Swap Box or Sprd/Bfly for advanced strategy analysis
For strategies containing a Bond Future leg, RiskVal enhanced the Carry & Rolldown calculation to use the CTD Bond by default, unless already modified by the user
Bug Fixes & Minor Enhancements:
Sprd/Bfly: Enhanced Alerts with consistent column names as Sprd/Bfly
Forward Swap Matrix:
Added historical data for FRA0x3 for G7 currencies
Enhanced user control experience by adding a roll adjustment for generic bond preference specific to the sheet
Future CTD: When “Use 0 Net Basis” is enabled, RiskVal will update the deliverable basket based on Net Basis