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RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/19/21



Key Features in this Release:


  • Added “MM Position” column to allow traders to enter their positions on the bonds, with color highlighting and filtering to better visualize the bonds that have positions. In addition, to help populate the “Position” column, a sample “Position file” is under the Help menu


  • Added new custom swap tab for traders to customize the forward and tail gaps

  • Added support for XCCY Basis swap entries across all currency tabs


  • Expanded the Mean reversion return and the Expected return columns to SOFR, ESTR, OIS spreads


  • Enhanced sheet with ED$ and FRA/OIS Summary tables


  • Added “Set Repo” function under the Repo section


  • Added the ability to create EUR SSA When Issued bonds


  • Enhanced the curve analysis with the ability to plot the change on day of the OIS Spread and EONIA Spread

  • [EUR] Added Green Bond filter to the Curve Analysis



Minor Fixes & Enhancements:


Sprd/Bfly:

  • Added “G7” standard tab

  • Added “3M dSprd” column to show the change on day based on 3 months

  • Added "OISprd Z 3M R", "SOFR/ESTR ASW Z 3M R"

  • [AUD] Populate the CMT RVS columns for AUD Semi bonds

Market View:

  • [IRVOL] Added RV Analysis

  • [WI] Added support for Greek WI bonds

Fwd Swap Matrix:

  • For IMMFRAOIS entries added “3M R” history

  • For IMMCMT entries added “Sprd” history

Bond:

  • Added history for “IVSP SOFR YY” column; also available in the New Global IVSP and Fut Cal Roll sheet

  • [JPY] Added series filter to the RV Analysis

Swap Box: Added preference to control the number of decimal places for “PX Ratio” column; also available and in sync with the Cal ASW sheet

Trade Blotter:

  • In the Swaption section, made the correlation term consistent with the Midcurve Corr period setting in the Forward Swap Matrix

  • Added a column to the CMS Spread option to display and override the expiry, when the user enters the expiry, the maturity will be the swap settle date after the expiry




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