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RiskVal Fixed Income (RVFI) Weekly Enhancements - 04/21/2023

Key Features in this Release:

Global Preferences

  • [Trade Blotter] Added preference to use flat or decaying DV01 for Future’s Repo Risk calculation

  • [Market View – CT] Added preference to be able to override CT

GBP SSA + Covered

  • Added “Comp 3M C+R” column & included in “Graph” dropdown

Forward Curve Analysis

  • Added supported for ESTR vs 1s, ESTR vs 3s, ESTR vs 6s

Forward Swap Matrix

  • Added “ESTR CMS” tab in lower panel

Bug Fixes & Minor Enhancements:


  • [USD] Added support for “USO#” format for off the runs, for example “USO10” for 10yr first off the run

  • [EUR] Added support for additional metrics for EUSSAEUCM

Trade Blotter: 3M SOFR futures after U28 will use 2-digit year, for example SFRU28, SFRZ28, SFRH29

Previous week's release - Forward Swap Matrix, Sprd/Bfly, and Swap Box enhancements

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