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RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/17/20

Key Features in this Release:

Curves Enhancements

  • [CMT]Extended the Constant Maturity Treasury (CMT) curve across emerging market countries. Relative value spread analysis against the CMT curve is now supported in Bond Roll for KRW, MYR, NOK, NZK, SGD, THB, COP, CZK, HKD

  • [SOFR] Allow traders to modify the SOFR construction to analyze basis and SOFR swaps during non-USD trading hours

Forward Swap Matrix Enhancements

  • Support cross market for Normal Vol strategies across G7 tabs

  • Enhanced the list of accepted formats for cross currency basis swap tickers for increased usability and readability

Sprd/Bfly Enhancements

  • Enhanced historical graphs with the strategy expected return

  • [EUR] Added the 3s ASW YY column

  • Alerts: further enhanced the consolidation of all alerts into a unified tab

Worksheet Management Enhancement

  • Renamed the menu to make the actions more accurate

Swap Box Enhancement

  • Reorganized the menus and shortcuts to have a more efficient display

Minor Fixes & Enhancements:

Forward Swap Matrix:

  • When entering an incorrect code, the cell will be highlighted yellow to draw attention to it

  • Support AUD OTR bonds& swap spread


  • Updated the Help -> Format References with a PDF for a comprehensive list of all supported tickers and strategy examples

  • [GBP] Auto populate the Alias Name for all UKT bonds

Trade Blotter: Allow traders to price EUR Corporate Bonds with CDS

Callable Bond: Set LGM-VolSkew-AdjMR as default model

EUR TBill: Added the option to create the standard tabs for each country

Bond Roll:

  • [AUD] Updated the RBA Holding in the CB Hold % column

  • Enhanced the Gap Analysis with an added weight column for reference

Previous week's release - Alerts, Trade Blotter, Future Net Basis Forecast, CAD Sprd/Bfly, CAD Prov, Market View and Swap Box enhancements
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