RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/29/21


Key Features in this Release:


[EUR] Transition from EONIA to ESTR

  • TIPS: Added ESTR Sprd YY, ESTR Sprd Z, ESTR Sprd Z Diff sets of columns

  • New Global IVSP: Added “Dlv ESTR” & “IRR ESTR”

  • Basis Swap/Custom Basis: Added support for ESTR vs 3s

  • Sprd/Bfly: Added “IVSPE 2BD dYY”, “IVSPE 3BD dYY”, “IVSPE 5BD dYY”, “IVSPE 10BD dYY”, and “IVSPE 1M dYY” columns

CCY Bond

  • [USD] Added Cross Country RV Analysis

  • Added ability to choose default popup graph settings


USD Sprd/Bfly

  • Added SSprd YY real time chart (“SSprd Chart”)

  • Added “IVSPS YY” & “IVSPS Z” heatmap & z-score columnsAdded “IVSPS 2BD/3BD/5BD/10BD/1M dYY” columns

  • Added historical data for IVSPS YY column when "Preferences" - "Sprd of Inv Sprd" set to "Respective Delivery Date"


Forward Swap Matrix

  • Use “FOMC#” format to map to SOFR & “FOMCOIS#” to map to OIS, also in the Sprd/Bfly


CCY TIPS

  • Added CMTBEI RVS set of columns


Basis Swap/Custom Basis

  • [NZD] Added support for NZDOIS vs SOFR


Market View

  • [USD- SOFR] Added forward SOFR rates

  • [IRVOL] Added CoD tables for Spot Straddle & Fwd Straddle tabs

  • [IRVOL] Moved Strike, Strike CoD, Spot Straddle, & Fwd Straddle from Black Vol to Normal Vol


Minor Fixes & Enhancements:


USD Bond: Added “0 Sprd4 Yld” & “d0Sprd4” columns

New Global IVSP:

  • [USD] Added “Dlv SOFR” & “IRR SOFR”

USD Agency & USD SSA + Covered: Added “Exclude Bonds” functionality under “Tools” dropdown


Sprd/Bfly:

  • [EUR] Added history for ESTR Sprd Z z-score, “ESprd Z ZS” column

TIPS:

  • [USD/EUR/GBP/CAD] Added 3-month carry “3M C” & 3-month CMT real yield carry & roll “3M C+R CMTRY” columns

  • [GBP] Added 3-month CMT real yield rolldown “3M C+R CMTRY” column

Trade Blotter: Bond Chooser- Added support for “12-O2” format

Historical Viewer:

  • Added TONAR vs SOFR XCCY basis historical data

  • Added EU SSA OTR & EU SSA CMT data series

CB Rate:

  • [USD] Added suffix OIS to all columns & added Live, CoD, Step, Cumul Step columns based on SOFR

  • Include "ESTR", "EONIA", "SOFR" or "OIS" in the graph label to differentiate the historical graphs

Transition to real time Market data instead of Basis:

  • [AUD] AUDOIS vs SOFR now uses real time market data

  • [USD- SOFR] Short Term SOFR & Swap Rates table data is obtained directly from Live Market data

  • [USD- SOFR] Use outright live market data instead of SOFR vs FF Basis


Previous week's release - [EUR] Transition From EONIA to ESTR, Fut CTD, Bond Roll, and Sprd/Bfly enhancements