RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/19/20



Key Features in this Release:



Sprd/Bfly

  • Reintroduced the real-time intraday charts for yield (or yield spread), asset swap, invoice spread, price spread, and 2+ RVS

  • [EUR] Enhanced Seasonality tool by adding Tap Reopening Supply auctions as Eco Events for all eurozone countries where available

  • Added historical data for “3M Cnvx adj C+R” and added a “3M Cnvx Return” column

TIPS

  • Added the ability to create spread, butterfly, and multi-graphs in the “Fwd BEI/RYld Matrix” in the Analysis window

  • Enhanced the lower panel graph such that inflation traders can visualize spot and fwd performance side-by-side for both seasonally adjusted breakeven inflation, as well as seasonally adjusted real-yield

Trade Blotter

  • Enhanced Key Rate Risk (Cashflow) calculation by supporting USD 3-month TBill and allowing for swap rates to be set as fitting points

  • Added support for MXN in the Historical VaR simulation [also in Swap Box]

Forward Swap Matrix

  • Enhanced Swap-CMT and CPI matrices by adding “Plot Tail Gap” and “Plot Fwd Gap” functions

  • Enhanced lower IMM matrices by adding Fwd IMM, Hist_Fwd IMM, and dFwd IMM

IRVol [Market View]

  • [AUD] Added 4Y, 15Y, 20Y expiry points and 20Y, 25Y, and 30Y tail points

Historical Viewer

  • Added FEDL01, SOFR, EONIA, SONIA rates, and GC Repo for USD and EUR

  • Added actual repo rate for bond futures

  • Enhanced support for EUR OTR bond list by adding all OTRs that are supported in EUR Sprd/Bfly



Minor Fixes & Enhancements:

Historical Viewer: Renamed “GCFRTSY” to “DTCC GCF Repo” and moved to Broad Market – STIR Indices section

Trade Blotter: Renamed “Upload to Server” to “Export URL” and the “Upload” button to “Export”

Future CTD:

  • Honor the same bond header format setting used in the corresponding CCY Bond Roll sheet

  • Added tooltips to Scenario and HBasis columns and when hovering over a cell to see value in basis points

Corp Bond RV: Set default pricing model as “Normal”

USD Bond: Added dOIS column to show daily change in OIS rate


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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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