RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/5/21


Key Features in this Release:


Trade Blotter

  • Added support for Modified Duration weighted Key Rate Risk


Market View

  • [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


CCY Bond

  • 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


Forward Swap Matrix

  • 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”


EUR SSA + Covered

  • Added ESTR Spread YY & ESTR Spread Z sets of columns


RV Analysis

  • 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