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RiskVal Fixed Income (RVFI) Weekly Enhancements - 9/4/20

Key Features in this Release:

  • [EUR] Added the ESTR YY and EST ASW Z set of columns

  • RVAnalysis – Added a column for Convecity Adjusted Expected Return to show the Exp Return + Conv Return)

  • RVAnalysis- Allows users to sort the strategies by the Mean Reversion Return, Total Return, Carry + Roll Thresholds.

  • RVAnalysis- Added separate tabs for the Spreads and Butterfly strategies

  • Enhanced weighting options by adding “Change to Key Risk (cashflow) Weight”

  • Added SPY bond to the panel and enabled selection in the ticket chooser

  • Added a columns for Trsy ASW Z and ASW Z Diff as a difference between the SSA bond ASW Z and Comp Trsy ASW Z

  • Added R/C OIS Z column with historical data

  • Updated 3M1OY vs TY to 3M10Y vs UXY 2 and 3M30Y vs US to 3M15Y vs US

  • Added 3M25Y vs WN

Minor Fixes & Enhancements:

Market View - Basis Swap, Basis Monitor and Custom Basis Monitor

  • Limited tails to: 3M, 6M, 1Y, 2Y, 3Y, 4Y, 5Y, 6Y, 7Y, 8Y, 9Y, 10Y, 12Y, 15Y, 20Y, 25Y, and 30Y

Fwd Swap Matrix: Added the ability to send the strategy directly to the Trade Blotter


  • Automatically add additional rows for batch copy/paste selections

  • Added an empty row at the end of the open tabs

GBP & JPY Tbill and TIPS

  • Added default PCS for user’s conventionality

Conditional Trade: Added historical graphs for Spot Sprd and ATM Sprd columns


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