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RiskVal Fixed Income (RVFI) Weekly Enhancements - 04/28/2023

Key Features in this Release:

o [EUR] Updated the delivery basket to accommodate the minimum day rule

o Automatically lock the “Fut Px” with the scenario price for further analysis

o [Listed Option] Added “Intrinsic Value” column

o [Bond] Added “Daily P&L USD” & “Cum P&L USD” columns

Bug Fixes & Minor Enhancements:

Market View:

o [Curves]: For PHP Libor curve, removed 1w and 2m fitting points

o [Basis Swap]: Imply the front end 3m to 1y from FX curve option for HKD3s vs. SOFR

CAD TBills: The Yld and the MMY were showing the same values, this has been corrected

EUR Bond: Corrected the “Bad Day” for BTPS bonds

Sprd/Bfly [Seasonality]: Future Dates were not picking up the early delivery date for the JPY-JB


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