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



Key Features in this Release:


Bond Roll

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


OTC vs Exchange MidCurve vol

  • Extended historical data for EUR

  • [USD]Added M1 contract


Sprd/Bfly

  • 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


S+SP

  • 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


New Global IVSP

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


Minor Fixes & Enhancements:


TIPS:

  • Added “ASW dZ Diff” – 2/3/5/10 BD, 1M, 3M columns

  • Applied the “BEI = (N.Yld-R.Yld)*100” flag to the Implied BEI column

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
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