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RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/27/20

Key Features in this Release:

  • Added new function to aggregate all alerts from all tabs into a single tab for more convenient access and alert management

  • Enhanced Seasonality tool by adding CPI announcement dates as Eco Calendar Events for USD, EUR, and GBP inflation strategies

  • Added the ability to unwind trades for swaptions and listed options

  • Updated Key Rate Risk (& Cashflow) to allow users to enter EGB short country codes as they are formatted in EUR Sprd/Bfly

  • For bond & future trade types, added PV & Previous PV columns, where Previous PV is calculated for the previous settle date

  • Enhanced Implied Lock Px and Benchmark CT column to now use the CTD implied lock price when setting a bond future as the benchmark

  • Updated the “Sector” drop-down menu with an option for only OTR bonds

  • Enhanced the recovery of expired strategies with an added preference to view expired trades in a dedicated “Expired Strategies” tab, which traders can right-click to restore back to the “Strategy Analysis” tab

  • Added support for the AUD3M vs. JPY3M cross-currency basis swap in both AUD and JPY Libor tabs

  • Intraday real-time charts have been removed from default system views across Sprd/Bfly & Forward Swap Matrix to improve memory & CPU

Minor Fixes & Enhancements:

Floating Windows: Added Help -> Online Support to all windows (Sprd/Bfly, Fut Cal Roll, Invoice Spread, etc)

Desktop Menu: "Hide All Windows” and “Show All Windows” includes floating windows

Trade Blotter: Bond Chooser now supports multiple selection

Custom Basis & Basis Monitor:

  • Added 1W and 2W columns with selection and historical function for inferred basis swap pairs

  • Added 3s6s basis for DKK, HUF, and CZK for EM traders

Swap Box: Enhanced Strategy Creator by updating the GUI layout

Market View: Modeling a WI now uses the CT bond yield rounded down to the nearest 1/8 fraction and floor at 0 as the default coupon level

Bond: Enhanced “Set Alert” to let traders use RV while alert window is open


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