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RiskVal Fixed Income (RVFI) Weekly Enhancements - 06/09/2023


Key Features in this Release:

o Added the Gadget Strategy


o Added “Show Carry Adj for RYld & BEI” option under “Preferences”, also available in CCY TIPS

o Added “Mean”, “Min”, “Max”, & “Max-Min” columns for SSprd Z/ESprd Z


o [CMS Option] Added support for SOFR swaps


o Added “Index”, “B/E Rate Dirty”, & “B/E Rate Clean" columns


o [USD] Added “SSprd YY Carry” column

o [EUR] Added “ESprd YY” heatmap & z-score columns


Bug Fixes & Minor Enhancements:

Cancellable Swap Trade:

o Updated default index to “SOFR”

o Added ability to override the “Cpn %” cells

Market View:

o [Future – GBP] Added support for the “Auto Set Early Delivery” option

o [Repo] Renamed “Save Repo” to “Save Repo Locally” for the local save version & “Save and Share Repo” for the shared version.

o [Curves - EUR] Added EU SSA curve for ASW Z Spline, OIS Spline, & ESprd Z Spline

o [Repo] Enhanced “Security” column to show future descriptions for CTD bonds

Fwd Swap Matrix:

o [TWD] Added history for TWD Libor – Offshore IMM entries

o [RV Analysis] Extended “Distance” filter up to 30 yrs

USD Bond: Added a flag to turn off the “Auto load S and SP bonds”




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