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RiskVal Fixed Income (RVFI) Weekly Enhancements - 01/06/2023

Key Features in this Release:

o Added conditional formatting functionality

o Special repos will be highlighted with light yellow background

o Added support for payer & receiver swaption premiums in decimal format

o Added ability to send “Comp Sprd” to the Historical Viewer sheet

o Added “Reg(weeklyChg) Weight” & “Reg(weeklyChq) Weight using 2 Sprd” weight options

o [Seasonality Analysis] Added ability to include reopening(s) for USD 20Y auctions

o [Swap – Fwd Rate – AUD] Added support for “AUD 3s” and “AUD 6s”

o [Swap – LIBOR- AUD] Added support for “AUD 3M” and “AUD 6M”

o Added “ASW Z Diff”, “DM”, & “Px CCTs vs. Px MM BTPS” to “Graph” dropdown

o Added “DM Crv – MM ASW Z” column

Bug Fixes & Minor Enhancements:

CCY Bond:

o Added ability to remove UWI bonds from the dChange graph

o Added ability to add/remove the “Diff” graph for individual tabs

Swap Box:

o Added support for “CIX Px Sprd (mid) with SOFR”

o Added support for user created WI bills

New Global IVSP:

Added support for KRW futures

Market View:

o [CCY Config] Added control for “OTRSpline” and “CMT RY” curves

o [Future] Added CTD SSprd/ESprd YY/Z/T columns

o [BasisSwap - EUR] Updated ESTR vs EUR3s default fitting points to fit 6M, 9M, 1Y points instead of IMM


Added support for SSA EU CMT RVS rich cheap heatmap & z-score columns


Added the ability to send Comp Trsy sprds directly to the Historical Viewer

Forward Swap Matrix:

o Added historical data for normal vol

o Added support for Key Rate Cashflow weight

USD SFR Monitor:

o Updated generic SFR rank to be same as ED$

o Updated SFR Butterfly & SFR Spread tables to show SFR(H3/M3/U3) for readability purposes

o Updated EURO $$$ Levels table to have 21 entries starting with SFR0 followed by packs


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