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...

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

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

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...

Key Features in this Release: Future NB Forecast Added option to choose specific UWIs in the delivery basket Trade Blotter Added support...

Key Features in this Release: Trade Blotter Created new “Realized P&L” trade type to pick up the future’s PnL Added support for “1D R”...

Key Features in this Release: Forward Swap Matrix Added support for cap/floor vol Added ability to configure short term forwards & tails...

Key Features in this Release: Trade Blotter Enabled all calculations in the Blotter Manager tab Global Rates Monitor Added ability to add...

Key Features in this Release: [New] GBP SFI Monitor Added GBP SFI Monitor CB Rate Monitor Added KRW Forward Swap Matrix Added ability to...

Key Features in this Release: Swap Box Added option to set the default as SOFR futures for the strip hedge Sprd/Bfly In the butterfly...

Key Features in this Release: 20-year Bond Future [FUT CTD] Updated symbol to TWE [Calendar ASW] Added TWE roll tab Added to USD Bond...

Key Features in this Release: CCY Sprd/Bfly Added “TCV” (Total Cash Value) column Added option to copy CIX for ASW Y & ASW Z CCY TIPS...

Key Features in this Release: Sprd/Bfly [Seasonality] Added ability to configure monthly date range [EUR] Added “IRR” & “IRR ESTR”...

Key Features in this Release: CCY Bond Added outstanding size, issue size, float size, fed holding size, & free float set of columns in...

Key Features in this Release: Sprd/Bfly Added Exp Ret/Stdev column, also available in the Forward Swap Matrix [JPY] Series name will be...

Added support for ESTR vs 3s & ESTR vs 6s, also available in Forward Swap Matrix ESTR vs 3s & ESTR vs 6s have been added to the Custom...

Enhancement #1: Added the “Simple Yield” column and moved the “Compounding yield” into the “Yld” column The “Yld” column will reflect the...

For Bond data type, added ability to right click to set benchmark Future For Bond data type, traders can now select/highlight bonds,...

Key Features in this Release: Fed Fund Simulation Added the SER Future tab Added ED$ frequency option Sprd/Bfly Added “Sprd Min”, “Sprd...

Key Features in this Release: Market View- IRVOL Enhanced the IRVOL to pull in the SOFR Vol Under the “StrikeSOFR” added historical data...