RiskVal Fixed Income (RVFI) Weekly Enhancements - 12/11/20



Key Features in this Release:


Bond Roll

  • Enhanced the Curve Analysis to show the “ESTR/SOFR ASW Z”, “FESTR/FSOFR ASW Z”, “ESTR/SOFR YY”, and “FESTR/FSOFR YY” in the EUR Bond and USD Bond respectively


Future Analysis

  • Added a “Seasonal” flag to show the futures pair by quarter for the year selected under “Contract #”

  • Added a dropdown to select the time frame for the historical data

  • Revamped the layout of the options and the graph legend


Forward Swap Matrix

  • Included ED$ futures to the RVAnalysis

  • Added support for IMM SOFR and IMM ESTR Swaps

  • Added the SOFR and ESTR forward tabs under USD and EUR tabs respectively

SSA

  • Added the “0 Yld Sprd” column,

  • Incorporated “Trsy ASW Z”, “ASW Z Diff”, “ASW dZ Diff”, “ASW Z Diff Rich/Cheap”, “ASW Z Diff ZS” columns with the option to change the ASW type to either YY/Z/T


Minor Fixes & Enhancements:


Futures: Added support for the new AUD future- VTAH1

Sprd/Bfly

  • Including “Cnvx Ret”, “Cnvx Adj C+R”, and “C+R Zs” columns’ historical horizon when changing it for “3 M C+R” to keep them consistet

  • Added the “CAONREPO” to show the overnight repo, also available in the Forward Swap Matrix

  • Flip ASW flag is applied to the “OISprd 3M C”, “OISprd 3M R crv”, and the “OISprd 3M C+R

  • Added support for the OIS fwd rates such as OIS6Mx6M

TBill: Renamed the “Trsy Conv” to “Yld” and the “Trsy dConv” –“dYld

Bond Roll:

  • Applied the “Flip ASW” flag to the “OISprd 3M C”, “OISprd 3M R crv”, and the “OISprd 3M C+R”

  • Enhanced the process of sending trades from the “RV Analysis” to the Sprd/Bfly to include the strategy’s weight

Fut Cal Roll: Enhanced the historical graph to fill the available space available below the table

Trade Blotter: Enhanced the auto-save function to include saving the color customization by the user

Tbill: Added the “SOFR/ESTR”, “SOFR/ESTR YY”, “SOFR/ESTR dYY”, “SOFR/ESTR ASW Z”, and “SOFR/ESTR ASW dZ”


Previous week's release - Historical Viewer, Bond Roll, G7 XCountry Sprd and Swap Box enhancements