RiskVal Fixed Income (RVFI) Weekly Enhancements - 8/20/21


Key Features in this Release:


Forward Swap Matrix

  • Added support for SFI futures

  • [GBP] Added support for SFI future curve under the RVAnalysis

  • Added the 1 Standard Deviation Mean Reversion Frequency, "1 Std MR Freq", column, which counts the number of times a trade goes from +/- 1 Stdev level back to the mean


Sprd/Bfly

  • Added “ASW YY Rich/Cheap” and “ASW YY Z-Score” columns


Global Rates Monitor

  • Added option to show and hide different currencies


Future Net Basis Forecast

  • Added function to calculate the repo based on the SOFR Curve for USD Bond futures


Minor Fixes & Enhancements:


User Experience: Renamed “IVSP SOFR” and “IVSP ESTR” sets of columns to “IVSPS” and “IVSPE”across RiskVal

Sprd/Bfly:

  • Added historical data series for “C+R/Stdev_d" column

  • When entering FX vol such as “EURUSD-FXVOL-3M”, RiskValenables the FX Vol for this ccy pair;also available in the Forward Swap Matrix

  • Enabled sending FX FWD and FX VOL strategies to the Trade Blotter; also available in the Fwd Swap Matrix

Bond Roll: Added “Issue Date” column

Fwd Swap Matrix:

  • Added missing C+R historic data on IMM Swap, OIS Swap and IMMOIS for all currencies

  • Added “Notional Hedge” as exporting option to Trade Blotter, if strategy includes FXFWD, FX OPT FX VOL etc

Trade Blotter:Added “Calculations” support for Callable Bond trade type

CMT Monitor: Added “Hist”, “Change on day”, and “Z-Score” tabs

Swap Monitor:Added the ability to have multiple or single X and Y-axis when creating multigraphs

Basis Swap: RiskVal limits the Fwd and Tail selection to the available terms in the matrix


Previous week's release - [NEW] USD LIBOR Cessation - June 2023, Sprd/Bfly, Forward Swap Matrix, Global Rates Monitor, Trade Blotter and CMT Monitor enhancements