RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/15/19

Key Features in this Release:


Bond Roll Enhancements

  • [JPY only] Updated “Orig” column to series that shows the market convention ticker prefixes instead of original issue year number

  • Enhanced butterfly strategies by adding new preference configuration tool and adding a column to show the strategy

Conditional Curve Enhancement

  • Enhanced cross-sheet usability by allowing traders to send strategies to the Trade Blotter sheet

Sprd/Bfly Enhancements

  • [EUR only] Added support for generic OTR Austrian 100 year bond (AT100) and French 50-year bond (FR50)

  • [EUR only] Added support for Italian FRN bonds in the Strategy Creator tool

  • Updated CIX calculation tool by supporting Eurodollar Futures and strategies containing them

  • In this week’s release, we are beginning to transition RiskVal’s roll adjustment flags, such that traders can also have full control of the roll adjustment settings for their historical analysis. Please note, this is an ongoing work in progress, and will not affect previous settings

CCY TIPS Enhancements

  • [EUR only] Added the ability to configure different pricing sources for each country (also available in EUR TBill and EUR SSA sheets)

  • Enhanced Carry Adjusted Breakeven Inflation analysis by adding the corresponding rich-cheap heatmap and z-score columns

  • Enhanced “Analysis” menu options by adding “RV Analysis”, which functions the same as it does in CCY Bond (available in EUR, GBP, and USD)

Bug Fixes & Minor Enhancements:

TIPS:

  • Allow traders to create new ‘Tabs’ to group inflation bonds the way traders like to monitor them

  • Enhanced the Curve Analysis in G7+AUD to include Season-Adjusted IOTA and renamed column headers to match the sheet

Market View:

  • FX Curve: For EURUSD and USDJPY FX Fwd Curves, added option in Global Preferences to use IMM fitting points

  • IRVOL: Backfilled Actual Skew historical data for USD, EUR, GBP, and JPY

  • ASW Z Spline [EUR only]: Separated the Italian curves into ASW Z RVS IT Hi and Lo (the same as for the CMT curves)

Future Analysis: Added “Normalize” and “Show Average” options to graphs (the same as in the “Seasonality” graphs in Sprd/Bfly)

EUR Bond: Removed the BTPS 8.5% Dec-2023 IT Bond from RiskVal as it’s no longer trading

Trade Blotter; Sprd/Bfly; 2+ Trading Strategy: Typing in a CT in the “Bond Chooser” tool no longer clears out other bond selections

Historical CTD: Enhanced smoothness of sheet loading upon initial opening

Forward Swap Matrix:

  • Added “Regression Choices” in Preferences to choose between whole level, daily change, and whole level w/ beta on daily change

  • Added ability to reset the number of decimal places to sheet default

  • Added a tooltip when hovering over a bond to see the specific issue

Calendar ASW: Support the “To Trade Blotter” function from the P&L section

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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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