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RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/8/19

Key Features in this Release:


  • RV Analysis: Expanded the options in the Butterfly Generator section to include “tolerance”. Also, made RV Analysis available across G7 + AUD

  • Added a Gap Breakeven Analysis tool, especially useful for short-end traders to estimate funding for money market securities for a full investment period on a breakeven basis

  • [AUD] Added indicators for the CTD and Invoice Spread, where applicable in the live graph

  • Live Graph: WI bonds will show the Alias in the tooltip

  • Enhanced the “Analysis” menu and added Gap Analysis and Curve Analysis across CAD, JPY, and AUD sheets

  • [EUR] Expanded the “XCCY TASW” tool to calculate True Asset Swap adjusted by the CAD 3M vs EUR 3M Cross Currency Basis

  • “Normalize” has been turned on by default. When “Normalize” is checked on, the data will converge at “0”, even if traders +/- days

  • Added indicators to show the most recent 5 trading days

  • Adjusted # of Days based on trading days

  • Separated the Vol input from the Lognormal Vol inputs to price

Bug Fixes & Minor Enhancements:


USD OIS Curve: Default fitting points now exclude the 1-day FEDL01 index

Sprd&Bfly:

  • Added CMT RVS and CMT RVS Z-Score to the Set Alerts tool

  • Regression Analysis: Reset the default to use “Whole Level”

  • Support CMT 40y and 50y points for countries that issue bonds with maturity greater than 30Y (France, Italy, Japan, etc)

Trade Blotter: Added a new default view with 2+ risk and hedge columns in the Summary, Bond, and Bond Future sections

CCY SSA: From the historical graph, traders can now send to the “Sprd/Bfly”, in addition “to Swap Box”

Future CTD: Added back the “Use 0 Net Basis” short-cut

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