RiskVal Fixed Income (RVFI) Weekly Enhancements - 9/18/20



Key Features in this Release:


Bond Roll

  • [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

SSA + Covered

  • 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

Sprd/Bfly

  • 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

Forward Swap Matrix

  • 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

Swap Box

  • 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

Previous week's release - CCY Sprd/Bfly, GBP Bond, CCY Bond: RV Analysis, Future CTD and Market View enhancements
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