TIPS Enhancements | Weekly Release 4/9/21

Enhancement #1


[GBP] For Inflation traders interested in analyzing linkers against the SONIA curve, RiskVal added “SONIA Sprd Z” and “SONIA Spread Z diff” set of columns


Given the market changes, SONIA Sprd Z set of columns has been added to the GBP TIPS sheet. To add the columns, click on “Table” - “Manage Columns


SONIA Spread Z= TIPS bond Z-Spread based with CPI swap curve calibration. The calculation logic is to discount the bond cash flow with SONIA curve and solve the spread to swap curve such that the NPV of the discounted cash flow equal to bond dirty price.

Enhancement #2


Under RV Analysis, added filters for “IOTA”, “SA IOTA”, “ASW P” and “Must Include Bonds”


Traders can now leverage the RV Analysis tool to generate the top spreads and butterflies with the measures of SA IOTA, IOTA, and ASW P. This is available from the “Measure” dropdown.


In addition, there is now the option to have a list of bonds, that must be included in the analysis. Click on the “Must Include Bonds” button to bring up the list of bonds from which to choose from.

Enhancement #3


Added the “Hist” line to the live graphs to compare the live to a historical date from the “Hist” dropdown as well as added the “ASW P Diff”


Traders who use the live graphs to have a visual representation of where each security is, now can see where the same security was at a selected time from the “Hist” dropdown. The historical position will be plotted as a line. This allows traders to see the performance of the security relative to the selected historical time.


ASW P Diff has also been added to the “Graph” dropdown. Traders can select “ASW P Diff” to plot it in the lower panel graphs.