RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/30/21



Key Features in this Release:


WI 30 and WI SP30

  • Refresher on how to create the WI for the upcoming 30 year on-the-run and its strip

Trade Blotter

  • Added the Emerging Markets Swap Risk, similar to the Bucket Risk

  • Added a Preference to select the default, whether it is on/off shore curve for emerging markets or if NDIRS is applicable

  • Added the Gross Notional and Net Notional totals for bonds


Forward Swap Matrix

  • Added a “Beta Matrix” to show the beta values for various input combinations based on the input selection


S+SP

  • Added historical data for the Whole Bond (WB) column and daily change, heatmap, and Z-score for Yld -WB spread


Treasury Auction Viewer

  • Added the UST 20 year bond series


CMT Monitor

  • Added the OIS Sprd YY/Z and the ASW YY/Z as the spread types with historical data



Minor Fixes & Enhancements:


Trade Blotter:

  • Adjusted the risk exposure of the off-the-shore NDIRS swap to show the exposure to the USDBRL Spot FX and XCCY Basis

  • Adjusted the pricing of MXN Swaps, by price Alignment Interest is using Fed Funds Overnight Rate adjusted by FX Overnight and tomorrow next rates

  • Enhanced the swap’s NPV, Unwinding Fee, DV01, etc., to accept “100K” or “10M” input

Market View – Curves – BRL – Libor: Added more OD futures to the curve building

Sprd/Bfly and New Global IVSP: Historical data has been added to Carry, Roll, C+R for IVSP YY and IVSPO YY

Historical viewer: Added historical data for SOFR v FF, SOFR v USD3s, and Fwd SOFR/ESTR

Sprd/Bfly:

  • Support loading Intraday data for the swap legs

  • Added the alert on the ASW Z diff column

Forward Swap Matrix: Added carry and roll historical data for nonconventional Forward/Tenors

Bond:

  • Added the ability to create multiple graphs across a different column on the same row.

  • Include the future contracts in the Hedge (HG) column

  • Added the option under the preferences dropdown to skip calculating carry and roll for the bonds maturing within the first 5 months



Previous week's release - CCY Bond, Sprd/Bfly, IT FRN, USD S+SP and WI TIPS enhancements