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RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/24/20

Key Features in this Release:

  • Refresh on modeling up the 20y WI with varying coupon assumptions

  • In the WI Bond Creator, updated the coupon assumption to use benchmark yield even if the benchmark is an off-the-run

  • Added LCH/EUREX basis such that traders can set EUREX as the clearing house for EUR swap and basis swap trades. Additionally, traders can set EUREX as the clearing house in the Forward Swap Matrix sheet

  • Enhanced PCA scenario analysis to use RiskVal’s Constant Maturity Treasury (CMT) curve instead of the Swap curve on default

  • Added 3M C+R columns and enhanced rolldown methodology, such that traders can specify the coupon differential to estimate the rolldown

[UX] Historical Period

  • To optimize RiskVal performance and reduce the memory footprint, we reset the default historical period as 3M for all users. This applies to all heat maps and regression analysis, so time series data can avoid hitting the RiskVal server one by one. For longer time series, traders can change the start date as needed from historical graph popup window as needed

Minor Fixes & Enhancements:

CCY Bond

  • Added Central Bank Hold in lower panel graphs for G7+AUD Bond sheets. UST traders can now plot “Fed Hold %” and “Fed Hold Sz B”

  • [USD] Added “Stripped Sz B” column to show the strip principal bond amount in billions. As of this week’s release, the Stripped Size & Stripped % columns will be updated daily

  • Added historical data for the following columns: Strip B/E Par Cpn, Strip B/E SP Yld, and Strip B/E SP ASW Z

  • Added CMT RVS to the graph for all countries with CMT curves

[Custom] Basis Swap Monitor

  • Added ability to send strategies to the Forward Swap Matrix from IMM tabs. Applies to supported basis swap tickers in Fwd Swap Matrix

  • Extended EM coverage and added new cross currency basis swap:


PHP 3M vs USD 3M

THB Fixed vs USD 6M

  • For KRW NDS vs USD6M cross currency basis swap, added 2 month, 4 month, and 5 month terms

Curves: [CZK] Enhanced swap curve construction to include FRA

USD S+SP: Added 2+ RVS to the lower panel graph for S, SP, and SPX tickers

Forward Swap Matrix: Updated logic for Total Return calculation to use Expected Return when C+R is not available

Sprd/Bfly: Allow traders to create spread and butterfly graphs from any of the Custom Columns

Corp Bond RV: Set Normal as the default model. In this week’s release, we auto save user input


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