RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/16/21



Key Features in this Release:


Alert Monitor

Added a tab to show all enabled alerts across all initialized sheets and tabs, with the ability to edit, delete, and mute alerts in one place


Forward Swap Matrix:

  • Added support for CMS strategies (format CMS# or CMS#X#); lower CMS matrix has the live and historical data

  • Enhanced the process of sending XCCY spread strategy to the Trade Blotter, such that RiskVal takes the FX rate into consideration, and hedges on either DV01 USD or PV01 USD


Sprd/Bfly

  • Added Carry, Rolldown and Carry+ Rolldown columns for IVSP YY, IVSPO YY, and IVSP SOFR/ESTR YY

  • Added option to plot multiple standard deviations on the same historical graph, also available in the Fwd Swap Matrix

  • Support PCA weight for spread and butterfly strategies containing issue specific bonds, previously only calculated for generics

Basis swap

  • Changed “SOFR vs USD3s” to use the actual market data


User Experience

  • Added the ability to bold selected columns


Minor Fixes & Enhancements:


User Experience: “Market View” – “Curves” – “Libor”, when traders turn on "Auto build", RiskVal automatically forces a "New Build"

Market View:

  • [WI] Added support for Slovakia UWI Bonds

  • [WITII] Added “Show All” check-box to the benchmark dropdown to allow traders to select off-the-run bonds

Sprd/Bfly:

  • [SEK] Added support for “TII5” and “TII10” for generic SEK TIPS

  • Added historical data for non-conventional fwds/tenor swaps for s1.25x1, s1.5x1, s2.25x1, s2.5x1 and also added short term forwards 1.25, 1.5, 1.75, 2.25, 2.5

  • Allow traders to search an Agency bond by maturity year or maturity date, similar to treasuries

  • The real time chart is now available for OISprd Z

CCY TIPS:

  • Added “3M BEI C”, “3M BEI R”, and “3M BEI C+R” columns

  • Added “3M BEI C+R” historical data; also available in the Sprd/Bfly sheet

CCY Bond:

  • “BM CT” column will use closer maturity CT as benchmark; for example, bond between CT5 and CT10 in the GBP Bond sheet, it may use either CT5 or CT10 as BM depending on maturity. This applies to all CCY with the exception to USD

  • Added an option for the “Hist” dropdown in the lower panel graphs to show as points instead of a connected line

New Global IVSP: Added “IVSP ESTR YY”, “IVSP ESTR dYY”, “CTD ESTR YY”, and “CTD ESTR dYY” columns

Forward Swap Matrix: Added calculation for #M Roll history for all EUR sub countries, like CMTAT#(X#), CMTBE#(X#), CMTFI#(X#); enhancement also available in the Sprd/Bfly sheet

Vol Wedge Grid: Added a table to show Z-score, and historical timeseries




Previous week's release - TIPS, Sprd/Bfly and Future NetBAsis Forecast enhancements