RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/5/21



Key Features in this Release:


Sprd/Bfly

  • Added the JPY/CAD generic 10 year TIPS, in addition, made the G7 Generic TIPS available in all CCY Sprd/Bfly

  • Extended Alerts to cover BEI

  • Enhanced the Spread and Butterfly Generators with an option to generate strategies by issue size


USD TIPS

  • Updated the Trsy Bond” comparator for the breakeven inflation, which now uses market convention to default to the correct nominal bond


AUD Semi

  • Incorporated the CMT RVS set of columns to analyze the relative value spread (RVS) performance of AUD Semi bonds against the AUD Constant Maturity Treasury (CMT) curve

  • Added the ability to create When Issued bonds under the Market View – WI Semi

  • Enhanced RV Analysis under the AUD Semi sheet by adding series filter

  • Added the “Hist” line to the live graphs to compare the live to a historical date from the “Hist” dropdown


Forward Swap Matrix

  • [GBP] Enhanced the CPI#x# and CPI# to use the CPI curve whilst adding RPI#x# and RPI# to use the RPI curve

  • Added the XCCY RV Analysis to calculate the top single, Sprd, and Bfly strategies for any country pair



Minor Fixes & Enhancements:


AUD Semi:

  • Added the Yld 3 month heatmap and the Yld Z-score columns, along with the Yld Z-score to the live graph dropdown

  • Added the JPY Curves to the XCCY ASW, also available in the AUD Bond and AUD SSA

Sprd/Bfly:

  • Added the issue size filter to the Sprd and Bfly Generator

  • Added the historical data for OISprd C, OISprd R, and OISprd 3M C+R, also available in the Bond Roll

SSA Sheet: Allow traders to send a single bond to the Sprd/Bfly

Trade Blotter:

  • Expanded support to Cap Floors for Horizontal Analysis, PCA, and Forward Bucket

  • Added the “Upfront Fee” for Basis Swaps

TIPS:

  • [ZAR] Added the ZAR Inflation Bond sheet

Market Monitor– Future: Added Column Management

Bond Roll: Added the OISprd Z 3M R to the live graph dropdown

Fwd Fwd: Added the option to disable “Multiple Y Axis”

CCY IVSP: Added the sorting function to group by cycle or by pair

Fwd Swap Matrix: NVol strategies will activate the “use BBG live”




Previous week's release - Supra Sovereign Agency, Bond Roll, TIPS, Forward Swap Matrix, CMT monitor and Sprd/Bfly enhancements