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RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/28/20

Key Features in this Release:

  • Developed a Strategy Enhancer as a tool for traders to enhance the relative value performance for On-the-Run curve and butterfly trades

  • Added a button in historical graphs as a quick means for traders to send favorable strategies directly to the Swap Box for pre-trade monetization

  • Added support for Libor Fixings. Also in Forward Swap Matrix for G7 + AUD

  • Introduced a new sheet for AUD traders to analyze the AUD semi-government bond market

  • Created a new sheet for AUD supra-sovereign bonds such as EIB and KFW tickers

  • [Alerts] Revamped the alerting workflow for traders to give triggered alerts higher priority to quickly react to the market in real-time

  • Removed the ‘x’ to close sheets/tabs. Sheets/Tabs can be closed (or renamed if applicable) by right-click function

  • Added preference to calculate TED Hedge (Strip Hedge) with or without spread adjustment

  • Added standard tabs and set default country+index in Blotter tab

  • Updated the CMT RVS calculation and historical data

  • Added specific Fed Fund and Eurodollar Futures in addition to existing generic series

Minor Fixes & Enhancements:

Calendar ASW: Added standard tabs, organized by CCY under “Tabs” to quickly analyze the calendar roll

CCY Sprd/Bfly:

  • In the alert tool “YLD ZS” has been renamed to “Sprd ZS” to be consistent with column header

  • Updated default Condor weighting to be 1/-1/-1/1

  • Let traders enter #-o# for old issues less than 4 (e.g. 2-o7)

USD FRN: Updated MM Trsy column to use only original 2 yr issues

IVSP: Show index in lower hedge panel window for spreads against OIS

USD TIPS: In the CPI Summary, added 5yr/30yr spread strategy line to CPI summary window. Also added “Map to Generic” for longer history

Future CTD: Added historical repo data and graphs (Also Bond Roll & IVSP)

GBP Bond: Added default “Alias” short-code as Coupon+YY to be used as shortcut in GBP Sprd/Bfly

Swap Box: Added Future hedge for Future/Future trades to use Spot, Fwd (Dt1 vs Dt2), or Fwd (Dt2 vs Dt2)


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