RiskVal Guide

RiskVal Fixed Income (RVFI) Weekly Enhancements - 12/3/21

Key Features in this Release: [New] Global Macro Monitor A monitor to see the benchmark treasury yields for each currency and equities...

Added IVSPO (OIS Invoice Spread) and IVSPS/IVSPE (SOFR/ESTR Invoice Spread) columns to the future table The IVSPO, IVSPE, IVSPS, columns...

Added ability to filter sheet by BM CT At the top of CCY Bond sheets, a BM CT (Benchmark Current Treasury) button filter has been added....

Enhancement #1 [EUR] Added support for ESTR vs EUR3s basis as “BSESTR3s-#X#” & “IMM3sBSESTR-##X#” formats, also available in G7 tabs...

Enhancement #1 Added support for ESTR Spread YY & Z as plotting options Traders can access Curve Analysis from the “Analysis” dropdown....

Added default Floating Index selection for swaptions Under the Swaption section, traders have flexibility to set default Floating Index...

Enhancement#1 Added SOFR Swaption ATM strike, Spot premium, forward premium and their change of day In the transition to SOFR, the SOFR...

A monitor to see the benchmark treasury yields for each currency and equities with the change on day, heatmaps, and regression beta...

Key Features in this Release: Sprd/Bfly Added Carry and Roll set of columns with historical data when looking at TIPS bonds TBill Allow...

1) [CCY Bond] Added Mean Reversion Frequency and 1Std Mean Reversion Frequency filters In CCY Bond sheets, traders can access “RV...

Added columns to show the Implied CB rate and the Market CB Rate for each of the curves, with the “Manage Columns” menu There are two...

Enhancement #1 [EUR] Allow traders to choose benchmark from the “BM CT” column In this week’s release, RiskVal enhanced TBill sheets and...

Added Carry and Roll set of columns with historical data when looking at TIPS bonds Carry + Roll columns have been added to CCY TIPS...

Key Features in this Release: Trade Blotter Added new Rate x Vol horizontal analysis to show PnL and Greeks for all Rate/Vol Shock...

[EUR/GBP]Added option to show OISprd & IVSPO change on day In the EUR/ GBP CoD graphs, from “Preferences” – “Show”, traders can check the...

Added SSprd/ESprd options to R/C Graph for USD & EUR, respectively The lower split panel in “Fut Cal Roll” tab provides historical graphs...

Added ability to upload vol spreads to ATM (Skew) In this week’s release, Vol traders have the option to import Skew under the IRVol tab....

Enhancement #1 Added Finland, Greece, Netherlands, & Portugal Traders can now view TBills for Finland, Greece, Netherlands, & Portugal....

Added MAC SOFR/ESTR swaps RiskVal added support for MAC (Market Agreed Coupon) SOFR/ESTR swaps. Traders can enter “SOFR[H/M/U/Z]#x#” &...

Enhancement #1 Added Cusip search function For traders who would search for a bond using the Cusip, ISIN, or part of the identifier, can...