In this week’s RVFI release, RiskVal is happy to introduce our SOFR Swap Curve in response to traders’ requests and its rise in popularity. This enhancement al allows traders to create SOFR Swap strategies and analyze their relative value performance in Forward Swap Matrix and New Swap Trade Sheets.
Additionally, we expanded the variety of currencies available for relative value spread analysis against RiskVal’s Constant Maturity Treasury (CMT) curve to include Netherlands, Austria, and Finland. This functionality is now available across EUR Sprd/Bfly, EUR Bond Roll Analysis & Forward Swap Matrix.
Furthermore, G7 Bond/Future Spreads & Butterflies Monitor was enhanced by adding “Dev to SMA” column, which is the deviation to # days Simple Moving Average (SMA). Traders can set alerts on this value, which represents the difference between the spot level and the average SMA(x).