RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/2/21

Key Features in this Release:

Added “XCCY Fixed Yld” columns to convert bond cashflow into another CCY cashflow and imply the yield, also available in the SSA sheets

Added regression weights based on daily change OISprd Z, OISprd Z-score, and OISprd Z standard deviation
Added columns to calculate the CT spread mean reversion return “CTSprd MR Ret" and the difference of expected return and CT mean reversion return “Exp Ret – CT MR"
Added “ASW dP”, “ASW P rich/cheap heatmap”, and “ASW P ZS”, “ASW P Diff” and “ASW P Diff ZS” columns for TIPS bonds

Added “MM S Yld Sprd” columns to show the yield spread between the matched maturity strip coupon (S) and the strip principle (SP)
Added “0 Sprd” columns to allow traders to compare multiple spreads

Added carry, roll, and carry+ roll columns for IVSP SOFR/ESTR YY columns, also available in the USD/EUR IVSP

TIPS:

Sprd/Bfly:

[AUD] Added “6s ASW (YY/T/Z)", "6s ASW d(YY/T/Z)", "6s ASW YY 3M C+R", "6s ASW YY 3M C", and “6s ASW YY 3M R" columns
[AUD] Renamed ASW columns etc to "3s ASW YY(T/Z)" etc
Enhanced the “weight” selector by only showing the supported weight based on the strategy type (Spread/Butterfly/Condors)
Added support for AUD Repo across all tabs, AUGC#

Fwd Swap Matrix: Extended support for 6M/1Y Rolldown to Swap Spreads

Historical Viewer: Added support for “3M C”, “3M R CMT”, “ASW 3M C”, “ASW 3M R Crv”, “OISprd 3M C”, and “OISprd 3M R Crv” graphing options

Callable Trade: Updated “Edit” menu to be consistent with Callable Bonds and Trade Blotter sheets

User Experience - “Tools” - “Realtime configuration” - “Use Close Level for Bond, Futures, Swaps”: Extended this flag to cover Basis Swaps

S+SP: Added support for the User created WIs in the “graph” drop down

Previous week's release - User experience, TIPS, Bond Roll, Market View - IRVOL, Sprd/Bfly and Historical Viewer enhancements