RiskVal Fixed Income (RVFI) Weekly Enhancements - 8/6/21


Key Features in this Release:


[NEW] USD ED$ Roll

  • Added new USD ED$ Roll sheet

Custom Basis & Basis Monitors

  • Added SOFR vs ESTR XCCY basis swap curve, SOFR vs AUD OIS XCCY basis swap curve, SOFR vs JPY OIS XCCY basis swap curve, also available in the Basis Swap Sheet


Sprd/Bfly

  • Added support for Sonia Futures

  • Added support for EUR SSA EU CMT curve and RBACOR index, also available in Fwd Swap Matrix

  • Added support for AUD On-the-Run TIPS


Bond Roll - RV Analysis

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

  • Added “Exp Ret-CT MR” & “CTSprd MR Ret” columns, also available in “Sort By” dropdown

  • Max tolerance has been extended from 12 months to 10 years


TIPS

  • Added the ability to choose a specific treasury as the benchmark in the “BM CT” column



Minor Fixes & Enhancements:


Sprd/Bfly& Hist Viewer: Added the FOMC’s generic historical data with roll adjustment to show longer history

Historical Viewer:

  • [Bond & Bond OTR]: Added Vol Adjusted Carry and Roll, which is the 3m C+R divided by stdev_d

  • [Bond-T, S, SP, Agency, B]: Added “Yld-stdev”&“Yld-stdev_d”

  • Added FOMC dates from Dec 2015 as well as dates out to Dec 2022

Forward Swap Matrix: Renamed “Xmean” to “MR Freq”

Bond Roll:

  • Added “OISprd YY Rich-Chp”, “OISprd YY ZS”, “ASW YY RichChp”, “ASW YY ZS” columns

  • [USD] Added “SSprd YY RichChp” & “SSprd YY ZS” columns

  • Added historical data double click function to “Vol Adj C+R” column

Market View:

  • [KRW]: Set up on shore curve under “Curves” & moved offshore curve to “Basis”

  • Added Russia (“RUB”) to “CCY Config”

EUR SSA:

  • Renamed “EU CMT RVS” & “EU CMT dRVS” to “SSA EU CMT RVS”& “SSA EU CMT dRVS”

  • When sheet is initialized, SSA EU CMT curve is automatically set to “Auto Build”

Trade Blotter:

  • [Callable Trade]: In “Preferences”, added menu group “Notional Unit” to allow trader to configure notional in $M or $K

  • [Listed Option & Callable]: Allow user to enter “$Vega N” to back out “# of K”


Previous week's release - Forward Swap Matrix, CMT Monitor, Trade Blotter, EUR SSA and TBA Analysis enhancements