RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/5/21



Key Features in this Release:


Bond Roll

  • Added “CMT Par Yield” which includes the coupon effect to compare with the CMT Model yield to see the coupon effect

  • Added “To Swap Box Synthetic” option for Original 20Y and 30Y bonds


Swap Box

  • Allow traders to input “Realized P/L” to be part of their “Total P/L”

  • Added “Fwd SOFR/ESTR” hedge with the corresponding forward rate

Sprd/Bfly

  • Enhanced the seasonality’s “Eco Events” dropdown to include CAD and GBP Auctions; also added “Include Supply” checkbox for both CAD and GBP Auctions

  • Traders can create row headers by entering either “--” or “==”, which will automatically highlight the entire row for visual separation


Forward Curve Analysis

  • Expanded support to include the applicable basis swaps, such as 1s3s, 3s6s, 1s6s, OIS v 3s


AUD Semi (Old AUD State)

  • Enhanced the curve analysis by adding the ability to plot ACGB government bonds alongside AUD Semi tickers with the option to filter by the issue size

  • Added “Series” filter which enables the trader the option to exclude EMTN or MTN bonds

  • In the historical graphs added “to Swap Box” and “To Sprd/Bfly” buttons


Minor Fixes & Enhancements:


Bond Roll: The pop-out tabs will have a “Table” menu to manage its view

SSA: Traders can optionally pop-up a tab; consistent with USD/EUR Bond Roll

Market View – WI: Allow traders to create UWI bonds for “NZD”

CMT Monitor

  • Allow traders to plot Multi/Sprd/Bfly graphs across CCY and tenors

  • Added exporting “To Historical Viewer” function

Trade Blotter: Adjusted the “Delta_N” under the Listed Option table to show the same scale as Hedge Ratio in Swaption table

Forward Swap Matrix:

  • Expanded the functionality to the lower panes to allow the traders to choose more than two tails or gaps

  • Allow Traders to enter custom dated CMT

Swap Box:

  • Added Key Risk support for Swaps

  • Allow traders to <right click> to set alerts for supported spread measures

Sprd/Bfly: Added support for MAC swaps

Tools - Set Alerts: Added color highlighting to the “high” and “low” selected measures to better distinguish them




Previous week's release - [New] ILS Bond and Sprd/Bfly, Bond Roll, Trade Blotter, CMT Monitor and Custom Basis enhancements