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RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/20/20

Key Features in this Release:

  • Leverage the OTC vs Exchange Vol sheet to track the volatility ratio which has recently spiked and is in flux more now than in recent history. Tracking this ratio is especially helpful in times of increased volatility, like in the current market.

  • [Repo] GC and Special Repo is now marked as a spread against the OIS curve, opposed to the Libor curve in previous versions

  • [Curves - OIS] Updated default OIS curve configuration for G7 + AUD

  • [Basis Swap] Added EUR6M vs USD3M cross currency basis swap

  • [Basis Swap] Added AUD3M vs JPY3M cross currency basis swap

  • Added a Scenario Analysis tool for traders to simulate customizable curve shifts to estimate strategy performance across bull/bear steepener/flattener scenarios

  • Trades can be received from the Listed Option Strategy and the Conditional Trade sheets

  • Allow traders to load the SABR parameters for Alpha, Beta, Rho, and Nu given a historical market date

  • Added the CTD Bond for each of the futures used in the Analysis

  • Added the option to plot the CTD Yield in the analysis

Minor Fixes & Enhancements:

Global Preferences: For Future Roll & Active Future Setting, enhanced the logic and renamed Last Trade Date to indicate that ALL future contracts will roll using the 10Y Future Contract’s Last Trade Date

Forward Swap Matrix: Support regression weight (daily change & level) for strategies containing multiple countries such as EU1x10 vs US1x10

Trade Blotter:

  • Future tab: use the global bond future px that is also used across RiskVal such that the non-active future px will be implied by the calendar roll

  • Bond tab: shares the global bond px that is also used across RiskVal

Fwd Fwd: Renamed the headers to make them consistent throughout the system

Historical Viewer:

  • Fra/OIS generic and specific are consistent to be implied from the curves

  • Broad Market – Eco Indices: Added ISM PMI time series

  • Shortened names in the selection dialogue


  • Added the “SA dIOTA” and “OTR dIOTA” as well as 5d and 1M

  • Added BEI Z rich-cheap heatmap


  • Live Graphs: Updated diff, hist, and closing date dropdowns to make them clearer and more consistent to indicate BD for ‘business day’

  • Enhanced XCCY ASW to automatically use the default LIB Index

  • [AUD] Added the ASW YY Carry and Roll against the 6s curve

  • [EUR] Adjusted the standard tabs; ITLo will have the 0 – 3.99 % coupon bonds, ITHi will have 4% coupon bonds and higher

[Custom] Basis Swap Monitor: added a ‘Roll’ tab in the lower panel which calculates the 3M rolldown upon clicking the “calc forward” button


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