RiskVal Guide

RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/13/22

Key Features in this Release: CCY Bond Added ability to include/exclude specific future rows [EUR] Reassigned bonds’ “Orig”. This will be...

Enhancement #1 [AUD] Added “Avg ASW YY” & “Avg IVSP YY” columns RiskVal added two new columns to show a simple average of 3s ASW YY &...

Added “Impl SOFR D1 D2” column Note: Traders can add columns to user view from “Table” – “Manage Columns”.

Enhancement Added “IVSPS dYY/IVSPS Stdev_d”, & “IVSPS 5BD dYY/IVSPS YY Stdev_d” columns; also supporting IVSPS Z, IVSPO YY/Z, and IVSP...

[EUR] Added ability to set OIS- ESTR spread If the trader checks “Derived From ESTR” under “Preferences” in OIS curve, the short term and...

Enhancement #1 Added “Fx Scenario (Spot x Time)” to “Calculation” menu Traders who trade FX Options can now take a look at the FX...

Enhancement #1 Added ability to include/exclude specific future rows Traders can click “Preferences” & in the dropdown select “Filter...

Key Features in this Release: Market View – Basis Swap [KRW] Added support for “KRW3S vs SOFR” [HKD] Added support for “HKD3s vs SOFR”...

Added a column to show the carry and roll PnL to maturity along with repo Short end traders can now see the carry and roll to maturity...

Added support for "3M C", "3M R", "3M C+R", "BEI C", and "Jun BEI C", "JUL BEI C", "AUG BEI C" columns For JPY TIPS traders, carry...

Enhancement #1: [JPY] Added ability to choose Clearing House Traders can change the default clearing house JSCC to LCH from “Preferences”...

[USD] Added support for “CIX” function for CPI spot swaps In this release, traders can generate the CIX strings for CPI swap strategies...

Enhancement #1: [KRW] Added support for “KRW3S vs SOFR” From the “KRW” – “KRW3s vs SOFR” tab, traders can load the basis swap table. If...

Key Features in this Release: Future CTD Updated delivery basket for TWE future Forward Swap Matrix When sending vol trades to Trade...

Added ability to change meeting cutoff dates across RiskVal To further support traders on setting the global calculation preferences, in...

Added support for SEK, NOK, CHF, DKK bonds & swaps In this release, SEK, NOK, CHF, DKK traders will be able to plot historical data of...

Enhancement #1: Added support for additional SOFR packs, bundles, and ability to specify starting month RiskVal now supports the...

Enhancement 1: When sending vol trades to Trade Blotter sheet, enabled “Notional Hedge” Traders can now send “Notional Hedge” Vol...

Updated delivery basket for TWE future In this week’s release, the TWEU2’s delivery basket has been updated according to the new CME’s...

Key Features in this Release: Future CTD Added option to choose which bonds and WIs to include in the future’s delivery basket Swap Box...