RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/26/21



Key Features in this Release:


User Experience

  • Allow traders to load the previous business day’s closing levels in lieu of the real time data to use RiskVal’s analytics for Bond, Swap, Bond Future, and ED$


TIPS

  • Added Implied Breakeven, Implied CPI, TIPS Implied Repo and Treasury Implied Repo

  • Added 3M IOTA carry, 3M IOTA roll, and 3M IOTA carry and roll


Bond Roll

  • Enhanced the RV Analysis to have a “must include” list of bonds, of which, at least one must be in each strategy


Market View – IRVOL

  • Added the RV Analysis to generate top performing normal vol strategies


Sprd/Bfly

  • [USD] Extended CIX functionality to include SOFR hedge

  • [EUR]Added support for ITRX and Xover with historical data and the 1-day EUR ESTR rate as “ESTRON”


Historical Viewer

  • [GBP] Added spot and forward historical data for RPI swap rates including the ability to receive the spot and forward RPI and CPI swaps from the Forward Swap Matrix and Sprd/Bfly


Minor Fixes & Enhancements:


TIPS: Enhanced the logic behind the matched treasury bond

EUR SSA/AUD Semi:

  • Added highlighting to the User created WIs

  • [SSA] Added issue size filter to the Curve Analysis

Sprd/Bfly:

  • [EUR/GBP] Renamed “OISprd C+R” columns to “EONIA” and “SONIA”

  • [USD] Added support for the FR/IT/DE CT3, CT7, CT15

  • [USD/EUR] Added historical data to the IVSP SOFR/ESTR YY and IVSP SOFR/ESTR Z columns

  • Added the ability to plot multiple graphs for the ASW 3M carry, ASW 3M roll curve, OISprd 3M carry, and OISprd 3M roll curve

Market View – WI:

  • Added the convexity column for created WIs

[SSA] Added Auto-fill functionality according to the ticker

Calendar ASW: Removed the dependency on the ASW Spread type flag from the Global Preferences and added the ASW dYY and ASW dT

USD ED$ Fly: Added Color to the ED$ bundles

IT FRN CCTS: Updated the default view with the ASW Z heatmap and the ASW Z-score

Historical Viewer: Added the 2+ Parameter (X,Y,Z, Lamda) for USD




Previous week's release - Bond/TIPS/TBILL/Agency, Fwd Swap Matrix, Sprd/Bfly, USD ED$ Fly, Fut NB Forecast, Market View - WI SSA and Bond Roll enhancements