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RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/4/19

Key Features in this Release:

  • ASW Z Spline: Introduced a new proprietary Z-Spread Spline curve, available for G7 + AUD. Traders can leverage this curve for relative value analysis in the Bond Roll sheets to compare each bond’s relative value spread against the Z-Spread Spline curve with “ASW Z RVS” columns

  • OIS Curve: Enhanced the 1-day Fed Funds Effective Rate (FEDL01 Index) to update in real-time, avoiding the 1-day lag that would occur with FOMC Meeting Announcements

  • WI: Added the option to turn off the automatic creation of system-created WI bonds for USD and EUR

  • Repo: Added historical data for USD GC Bid & Ask Repo

  • Added SOFR vs 3M Basis and IMM SOFR vs 3M Basis tickers

  • Added a column “Yld EURO” that shows the matched maturity par swap rate implied from the ED$ Strip curve

  • [USD] Added Constant Maturity Treasury Real Yield RVS (CMTRY RVS) columns, including the current level, daily change, rich/cheap heatmap, and Z-score for analyzing inflation-linked strategies

Bug Fixes & Minor Enhancements:

  • Market View→Basis Swap: Reorganized all basis swap and grouped by Currency.

  • Sprd/Bfly: Preferences → dChg Background Color, added the “ASW dYY” and “ASW dT” for the background rich/cheap heatmap feature

  • Bond Roll: Added right-click “set global repo” function to update the 3M repo rate for the entire column, recalculating the 3M Carry and C+R columns

  • USD Agency: Added option to configure the pricing source from the “Preferences” menu


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