Key Features in this Release:
[EUR] As the EU has announced plans to sell $267 billion Green Bonds as part of its pandemic recovery fund, RiskVal has integrated these bonds into the EUR Bond & EUR Sprd/Bfly sheets
Added daily change of FAWZ (FASW dZ) column; also added FASW Z as an option to the Live Graph drop-down
[EUR] Introduced new cross-Country filter in the XCountry Sprd RV Analysis
Added historical data on 3M C, 3M R, and 3M C+R
[USD/GBP SSA] Added columns to indicate which bonds are considered “Green Bond”, “Social Bond”, “Sustainable Bond”, if applicable
Enhanced the seasonality by adding the option to calculate the Average using either simple or exponential weighting method
Seasonality: Allow traders to draw a line down the “Zero Day” day to see at what level each time series crosses
Enhanced the “To Sprd Bfly” to allow traders to send batch strategies with weighting information from one tab to another
Enhanced the short code to allow traders to enter strategies such as (1/2)x2 which shows 1y fwd 2y rate spread to the 2y fwd 2y rate
FX rate added to the Forward Bond Table for reference for multicurrency strategies
Minor Fixes & Enhancements:
Bond Roll:
Enhanced the “Exclude Bonds” menu by adding a “checkbox” column to select the bonds to be removed
RV Analysis: Corrected the weighting of the strategies sent over to the Sprd/Bfly
Sprd/Bfly:
Highlight the generic 3rd future contract yellow as it’s not currently supported
Enhanced the Strategy Creator to show the Future Bond opposed to the CTD
Forward Swap Matrix: Added 40Y and 50Y tails and 30Y and 40Y forwards
Historical Viewer: Added OTR RVS historical data
TIPS: Updated the RV Analysis to match the Bond Roll’s RV Analysis