RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/12/21



Key Features in this Release:


Forward Swap Matrix

  • Added pre-built cross-market and supported G7 security type examples so traders can quickly reference the codes and customize their monitors as needed

  • [AUD] Adjusted the logic behind the headline spreads, such as ss3 and ss10 to show the swap vs the future


User Experience

  • Allow traders to turn off the “always on top” for the historical graphs pop up

  • Updated Table Management such that, when traders click + drag the columns directly on the sheet, they will be prompted with an initial pop up to save the custom view. Any subsequent column changes will be automatically saved to preserve the updated user view


Bond Roll

  • Enhanced the Emerging Markets sheets for ZAR, MXN, INR, CNY with the XCCY ASW calculation vs USD/EUR

  • Added the SOFR/ESTR rate’s 3M Carry and Rolldown columns


Forward Curve Analysis:

  • Allow traders to select and plot multiple CMT curves for multiple countries

  • Added the option to switch from “Forward Term” to “Tail Term” by clicking the “Fwd Term” button


Custom Basis

  • Enhanced the RV Analysis to generate spreads and butterfly strategies


Sprd/Bfly

  • Added the ASW P for TIPs strategies


Minor Fixes & Enhancements:


Bond Roll: Bonds that have a stale price will show a different background color to indicate the stale price

Callable Grid: Extended the grids out to 20 years across all tabs (Libor/OIS/SOFR)

Forward Swap Matrix

  • Can handle expired IMM /MAC/ IMMFRA/ IMMFRAOIS swaps

  • Allow traders to create strategies with 6 legs

AUD Semi +SSA: Updated the “Sctr” to allow users to select multiple sectors

Market View – IRVOL: Allow traders to create multiple graphs/spread graphs/ bfly graph

Calendar ASW: Added the “Note” field in the Strategy Analysis to reference the note field in the strategies

Custom Basis: Added tab sharing between users

Sprd/Bfly

  • Backfilled the supply and re-opening of the French On-the-Runs

  • [EUR] Added the BE50

  • When entering a ticker for a new currency, it will trigger the curve auto build




Previous week's release - Bond Roll, Swap box, Sprd/Bfly, Forward Curve Analysis, and AUD Semi (Old AUD State) enhancements