Key Features in this Release:
Added support for Modified Duration weighted Key Rate Risk
[IRVol] Reorganized tabs under the Normal Vol section and allow traders to create Spread, Bfly and Multi graph charts
[IRVol] Added "Respect Expiry" option with floor 1W and cap 2Y
Added more options to the default historical time period for charts under the “Preferences” menu
[EUR] Added support for ESTR Z RVS set of columns with curve in the back end
Added support forward and IMM basis for ESTR vs EUR3s, AUDOIS vs SOFR and NZDOIS vs SOFR
Added support for IMM FRA-ESTR formats
Added ESTR and FRA-ESTR columns under the “FRA-OIS/ESTR”
Added ESTR Spread YY & ESTR Spread Z sets of columns
Added Mean Reversion Frequency and 1Std Mean Reversion Frequency filters
Minor Fixes & Enhancements:
Market view:
[Curves - USD] Under the ‘SOFR’ tab, allow traders to uncheck the FOMC meeting dates and use the Short Term SOFR to configure the short end of the curve
[Curves - USD] Added additional forward FOMC OIS points
[Curves - USD] Under the ‘SOFR’ tab, RiskVal fits monthly SOFR (SER) futures instead of forward fed meeting SOFR
[Curves - GBP] Under the ‘OIS’ tab, RiskVal will roll MPC day after the meeting day
[Basis Swap] Under the “CNH3s vs USD3s” tab, RiskVal allows traders to switch to FX implied close for 3M/6M/9M points
[Basis Swap] Added “3M Tail” under the “ESTR vs EUR3s” tab
EUR SSA: Added ESprd YY set of columns
New Global IVSP: Added “GB (bp)” column
Global Rate Monitor: Added RV Analysis
Trade Blotter:
Under the Swaption section, traders can overwrite “$Delta_N” and back out the Notional
In the Horizontal Analysis show Vol bump size next to the Rate bump size
Sprd/Bfly
For Futures, RiskVal will load 3M Rolldown history based on the curve settings (CMT or OTR); also available in Forward Swap Matrix
[CNY] Added support for CNY CDB Bonds
USD Agency: Added history for OTR RVS, and CMT RVS set of columns
User Experience: “Bond Chooser” is adjusted to include “FRN SSA”, “FRN Agcy”, “FRN Govt”, as separate tabs
Previous week's release - [EUR] Transition From EONIA to ESTR, CCY Bond, USD Sprd/Bfly, Forward Swap Matrix, CCY TIPS, Basis Swap/Custom Basis, and Market View enhancements