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RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/9/20

Key Features in this Release:

  • Added Alert Management so traders can set alerts on Invoice Spreads, Net Basis, Implied Repo, etc.,

  • Introduced Central Bank Rate floating window for G7 and AUD which summarizes meeting date rates, step and cumulative steps with historical time series

  • Enhanced the Historical VaR to allow users to change the lookback period from daily (default) to weekly or monthly

  • Added, in the summary table, the “Return on Net Capital” for bond positions

  • [New] Added the fully functional CHF Sprd/Bfly integrated with CHF On-the-Run generic Treasury bonds, historical data, and CHF CMT curve to perform RV Analysis

  • [EUR] Added the ESTR, ESTR YY, ESTR dYY, ESTR ASW Z, ESTR ASW dZ columns

  • Added a way to apply a custom Bid/Ask Sprd for the Repo rate

  • Added an option to allow users to remove line items from the table

Minor Fixes & Enhancements:

User Experience: Enhanced the table headers to apply a red border should the header be customized to show it has a custom name


  • “Map to Generic” will be turned off for non G7 currencies as the default which is consistent with the Bond Roll Sheets

  • Added the “Generic”, “Roll Adj”, and “Decay” flags in the Strategy’s pop up graphs

NZD Bond: Adjusted the On the Run Spline Curve to include 2y, 5y, 7y, 10y fitting points

ZAR Bond: Adjusted the On the Run Spline Curve to include 3y, 6y, 10y, 30y fitting points

Bond Roll:

  • Enhanced the 3M C+R, to share the selected time horizon across all subtabs

  • [EUR] Added a “IT All” Standard Tab to show all Italian tabs in one tab

  • Enhanced the Forward Analysis in the subtabs to allow the traders to enter a forward date or future, this will be shared amongst all tabs

Basis Swap Monitor: EUR - EONIA vs EUR3M - IMM, GBP - SONIA vs GBP3M - IMM, added the 3M tail column, also available in the Custom Basis Swap Monitor

Historical Viewer:

  • Re-ordered the Treasury bonds to original issue, then maturity; the flag is under Preferences – Sort Bonds by Orig

  • Under “Fut-Bond” and “Fut-Bond-Generic” added the 3Yr future


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