RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/13/20



Key Features in this Release:


Sprd/Bfly

  • Added support across G7 for Central Bank meeting dates such as MPCD20; also available in the Fwd Swap Matrix sheet

  • Enhanced exporting strategies from the “3M C+R” column to the Historical Viewer

  • Added the <right click> “Set Alert” option for CMT RVS, CMT dRVS, and CMT RVS ZS columns

TIPS

  • Enhanced the BEI graph to include the “Carry Adj” BEI line

Market View - Future

  • During RiskVal initialization, added a warning message to prompt traders with an option to reset user-defined CTD bond(s) to the system-default

Basis Swap Monitor

  • Allow traders to choose where to send the XCCY Basis Swaps within the Forward Swap Matrix sheet

Trade Blotter

  • Added the IMM column for the FRA section

GUI Consistency

  • Standardized column names across the Sprd/Bfly, Bond Roll, and Swap Box sheets (where applicable)

Renamed “OISprd YY C+R” and “ASW YY C+R” columns to “OISprd C+R” and “ASW C+R”

Updated columns for Mean Reversion as “MR Ret”, Expected Return as “Exp Ret”, Convexity Return as “Cnvx Ret”

Renamed “ASW 3M R” column to “ASW Z 3M R” which uses Z-Spread to estimate the rolldown


Minor Fixes & Enhancements:


Sprd/Bfly: Added generic time series for the “3M Cnvx Ret” column such that traders can toggle the option to “Map to Generic”, “Roll Adj” and “Decay” settings in the historical data series

TIPS: Enhanced “Curve Analysis” to support multiple selections from the “Month” and “Data Type” fields simultaneously

SSA+Covered: Allow traders to do multigraphs from ASW YY/Z and T columns

Forward Swap Matrix: Added a green indicator to specify that tab is initialized

Market View -> WI: For USD, RiskVal will auto-generate the WI 10-year bond

Previous week's release - Forward Swap Matrix, Bond Roll, Sprd/Bfly, Historical Viewer and Future CTD Scenario Analysis enhancements
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