RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/18/22


Key Features in this Release:



Sprd/Bfly

  • [Seasonality] Added ability to configure monthly date range

  • [EUR] Added “IRR” & “IRR ESTR” columns

  • In historical popup graphs, weight of the strategy will be shown in the title


Basis Swap & Custom Basis

  • [EUR] Added up to 30yr forwards for ESTR vs SOFR


CCY Bond

  • In Multi Graph popups, added flag to plot timeseries on multiple Y or single Y axis, also available in Forward Swap Matrix

  • [MYR] Added Forward ASW YY/T/Z columns to currencies with “Off-Shore” curves


XCCY ASW:

  • Added OIS as an index choice for GBP/CAD/JPY/AUD

  • [INR] Added support to calculate against USD (SOFR) & EUR (ESTR)

  • [SGD] Added XCCY ASW function


Minor Fixes & Enhancements:



XCCY ASW:

  • Default index will be set to SOFR for USD, ESTR for EUR, & OIS for GBP/CAD/JPY/AUD

New Global IVSP [AUD]:

  • Enhanced IRR calculation to use basket bonds to be consistent with NB calculation

  • NB calculation will now use “Repo” column value for all basket bond calculations.

  • NB = AVG (basket repo forward yield) - Use Future Invoice Yield

  • CCY TBill: Under “Sort” dropdown, added “Sort Ticker – Maturity Asc” & “Sort Ticker – Maturity Desc

Swap Box [SOFR HEDGE]: Stub will be pulled out by assuming full risk of the 1st contract

Sprd/Bfly: [USD/EUR] Added support for real time intraday IVSPS/IVSPE YY



Previous week's release - CCY Bond, CCY TIPS, Forward Swap Matrix, Sprd/Bfly, and Market View - IRVol enhancements