RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/14/21



Key Features in this Release:


Trade Blotter

  • [Emerging Markets] Expanded the Bucket Risk to include the FX Spot and forwards for currency pairs such as USDMXN and USDBRL, as well as added the Emerging Markets Swap Risk

  • Added the Benchmark CT and the CT spread columns to allow traders to set the benchmarks and the spread to the benchmark for Agency bonds

Sprd/Bfly

  • Enhanced “IVSP YY” column to show the spread of swap spread to the future’s ASW YY Invoice spread

  • Enhanced the format for entering monthly tenors to use “1M”, “2M”, “3M”, “4M” … “12M”

  • [EUR] Added support for alias EURIB1, EURIB3, EURIB6, EURIB12 for LIB1M, LIB3M, LIB6M, LIB12M respectively

TBill

  • Added graphing options for “MMY TB-T”, “MMY SOFR” and “CT Sprd” columns

User Experience

  • Added a "Flip ASW C+R" flag to control the direction in which the carry and roll is displayed, independently from the "Flip ASW" flag


Minor Fixes & Enhancements:


USD Agency:

  • Added the "3M C+R”, “SOFR Sprd YY”, and “SOFR Sprd Z”

  • Added a flag to skip calculating the carry and roll for bonds maturing withing the first 5 months, under “Preferences” – “Skip C/R Maturing in 5M”, also available in the XCCY SSA + covered

  • Added a flag under “Preferences” – “Skip loading bonds matures in 1M” to exclude bonds that are maturing within 1 month, also available in the XCCY SSA + covered

Forward Swap Matrix:

  • Added support for MXN28D vs USD1S as “BSMXN28DUSD1S-#(X#)”

  • Enabled exporting lower panel table from Basis Swap Monitor sheet

  • Corrected the Carry and Roll calculation for Bonds(B#) when changing the Rolldown period

  • Added historical data for non -conventional forward swaps for 1.25x1, 1.5x1, 2.25x1, 2.5x1

Swap Monitor: Auto-save has been enabled for the entered strategies

CMT Monitor: Added option to plot multi and spread cross-currency graphs in the lower panel table

System: Renamed "Restore Desktop Popups" to "Restore Floating Windows"

Option Monitor: Adjusted ATM and Vol calculations




Previous week's release - [New] SWAP Montitor, G7 Bond, SSA+Covered, Sprd/Bfly, CB Rate Monitor, Forward Curve Analysis, and Trade Blotter enhancements