RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/30/21


Key Features in this Release:


Forward Swap Matrix

  • Added Convexity Adjusted Expected Return (Cnvx Adj Exp Ret) column

  • [BRL]Added the ability to handle the futures as dates

  • Added support for JPY fixed and floating entriesfor 3MDTIBOR and 6MDTIBOR using format DTIBOR3s-#(X#) or 3sDTIBOR-#(X#), DTIBOR6s-#(X#) or 6sDTIBOR-#(X#)- with historical data and forward matrix in the bottom tables


CMT Monitor

  • Added support for all countries that have CMT curves in RVFI under “Preferences”– “Config Countries”

  • Added base country dropdown to view country spreads

  • Added dropdown to show daily/weekly/monthly changes, which can be viewed in actual change or chg/vol (stdevchg)

  • In RV analysis, added support for “Yld”, “ASW YY”, & “OIS YY” as well as ability to have cross country spreads use the same tenor


Trade Blotter

  • [MTGE] Added support for Key Rate risk and Bucket risk

  • Added the option to change the Float Index to OIS(Fed Fund) for Swaption trades


EUR SSA

  • Added a new CMT curve for the “EU” ticker with the “EU CMT RVS” & “EU CMT dRVS” columns


TBA Analysis

  • Added option to choose which ticker to be displayed.


Minor Fixes & Enhancements:


Custom Basis & Basis Monitors:

  • Added BSBY1s vs BSBY3s and BSBY3s vs BSBY6s

  • Added history for IMM and FWD Matrix for JPY3sDTIBOR & JPY6sDTIBOR

Sprd/Bfly:

  • Added "OISprd Z RVS", "OISprd Z dRVS", "OISprd Z RVS Rich - Chp", "OISprd Z RVS ZS" columns

  • Added Mean Reversion Frequency (“MR Freq”) column to show how many times the data crossed the 3 month mean

TIPS:

  • Honors “Flip ASW”&“FLIP ASW C+R” flags in “Global Preferences”

  • [AUD]: Highlight current TIPS

Custom Bond:

  • Added “Insert Row” & “Insert 10 Rows” options to <right click>

  • Added color highlighting bar

Sprd/Bfly& Forward Swap Matrix: Added “Flip SS C+R” to show the carry and roll for swap spreads as bond minus swap, under “Global Preferences”

Historical Viewer: Added historical data for SSA bonds

AUD Semi, AUD Bond, AUD SSA: Added “Exclude Bonds” filter to RV Analysis

Forward Swap Matrix: Added history for IMMFRA[HMUZ] for 1M FRA

USD Swap 2+RVS: Added support for 20Y SS

Market View: [USD]: Added 50Y point for OIS & SOFR curves

Listed Option Strategy: Added “Import Tab” & “Export Tab” functions


Previous week's release - Trade Blotter, Forward Swap Martix, Sprd/Bfly, TBA Analysis and CB Rate Monitor enhancements