RiskVal Fixed Income (RVFI) Weekly Enhancements - 8/27/21


Key Features in this Release:


Sprd/Bfly

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

  • Added a column to show the Annualized Carry and Roll over the annual Vol, “Ann C+R/Ann Vol”


Forward Swap Matrix:

  • Added option to send bond future strategies (generic and issue-specific) “ToTradeBlotter”

  • [GBP] Added option to send SFI Futures (generic and issue-specific) “ToTradeBlotter”; also supported from RV Analysis


Trade Blotter:

  • Added the ability to enter the DV01 as “50K” or “2M” for bonds and swaps

  • Added “Trade Px”, “Trade Date”, “Daily P&L”, “Cum P&L” columns for mortgage securities, which are aggregated in the summary table


[EUR] TBill

  • Added support for the Austrian and Finnish TBills


Historical Viewer

  • Added option to choose dependent time series in the multilinear regression


Minor Fixes & Enhancements:


Sprd/Bfly:

  • Added “Show Color Bar” option under the “Preferences” menu

  • Renamed “SOFR Sprd YY/Z” set of columns to “SSprd YY/Z”

  • Added “Flip” optionto the historical graphs of the spreads created directly from the table

USD Agency and USD SSA: Updated the Treasury Benchmarks (BM CT)

CB Rate Monitor:Added support for New Zealand (NZD)

New Global IVSP: Added “NB (bps)” column that represents Net Basis expressed in basis points

[CAD] TIPS: Allow traders to add the CanHou and surrounding TIPS as the benchmark

Constant Maturity Treasury (CMT) Curve: Updated our Nelson-Siegel-Svensson (NSS) multi-factor model to use cubic spline to have continuous zero and forward rates



Previous week's release - Forward Swap Martix, Sprd/Bfly, Global Rates Monitor and Future Net Basis Forecast enhancements