Enhancement #1
[EUR only] Added support for generic OTR Austrian 100 year bond (AT100) and French 50 year bond (FR50)
Traders can now view the on-the-run generic French 50 year and Austrian 100-year treasuries. Previously, traders could only view the issue-specific French and Austrian bonds. Now support has been extended to support them; using the same format as the other French and Austrian generic OTRs enter AT100 and FR50.
Enhancement #2
[EUR only] Added support for Italian FRN bonds in the Strategy Creator tool
Previously, in EUR Sprd/Bfly IT FRN bonds could be added by sending strategies from the IT FRN sheet or through the bonds chooser tool. This support has now been extended to the Strategy Creator tool as well. Traders can right-click in the “Sprd Bfly” column and select “Strategy Creator”. Then pick a strategy type in which at least one leg is a bond; in the pop-up window set the currency to EUR and country to Italy. Then click the “Treasury FRN” sub-tab, select the desired Italian FRN, and click “Ok”.
The strategy will appear in the first empty row and use the default weighting method.
Enhancement #3
Updated CIX calculation tool by supporting Eurodollar Futures and strategies containing them
To streamline sharing trade strategies amongst traders, the CIX function is very useful. The CIX function is now expanded, even further, to handle ED$ (either issue-specific or generic)
See the screenshot below, on how to generate the CIX string.
Enhancement #4
In this week’s release, we are beginning to transition RiskVal’s roll adjustment flags, such that traders can also have full control of the roll adjustment settings for their historical analysis. Please note, this is an ongoing work in progress, and will not affect previous settings
Map to generic: Applies to issue-specific bonds. When checked, it will also use the “Roll adj for generic” setting
Roll adjust for generic:
No Roll Adjust
Roll adjust with decay
Roll adjust without decay
Traders can also find the “Roll Adjust” flag available from the “Sprd” column which we will propagate to other RV measures in the sprd/bfly. We will also expand this function in a future release to make the “Map to Generic” available for issue specifics, and specific the generic curve point.
When turning on the “Map to Generic”, the specific bond’s historical data is rolled.
The second flag refers to the adjustment method, whether we apply the decay to the WI Roll, no decay, or no roll adjustment applied to the historical data. This can be adjusted in the graph as well.
As noted above, this is still a work in progress, any feedback is greatly appreciated.