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RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/12/20

Key Features in this Release:

  • Added Forward Seasonality Adjusted Real Yield and Forward Seasonality Forward Break-Even columns based on trader’s custom fwd date

  • Added three new columns to estimate carry: carry adjusted BEI change on day, BEI carry daily, real yield carry daily

  • Expanded the lower panel graph to include Season Adjusted Real Yield as an available option to visualize inflation bond performance across the curve

  • Added new formatting options to sort securities and customize row header format

  • Added columns to show the OIS rate to the future delivery date, Implied Repo Rate vs OIS rate, along with Future Invoice Spread Carry + Rolldown for both ASW and OIS calculated from the settle date to the bond future’s delivery date

  • Renamed Expected Return as “MR Return” (Mean Reversion Return), and Total Return as “Expected Return”. These columns now have historical data available in Sprd/Bfly and Fwd Swap Matrix

  • Added SSA bonds to the spread and butterfly generators. This expansion of the covered securities in the generator tools allows traders to quickly and easily generate all possible SSA spread and butterfly strategies (within their set parameters) with ease

  • Curve Analysis: Allow the trader to select multiple series from the Country/Orig section and the Data Type Section simultaneously

  • Basis swap and cross-currency basis swap strategies can now be created from the Fwd & IMM matrices using the multigraph, spread, and butterfly graph functions and sent to the Forward Swap Matrix for further monitoring

  • Updated the IRVOL section’s labels to better reflect the time-series data

Minor Fixes & Enhancements:

Market View -> IRVOL: Renamed IRVOL as “Black Vol”, and Basis Vol as “Normal Vol”

USD Bond: Add the multigraph function to the Strip B/E par Coupon column

CT Sprd/Bfly: Added a change on day dropdown along with the displaying date for reference

SSA+Covered: Added a flag to hide covered bonds, under the Preferences dropdown


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