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RiskVal Fixed Income (RVFI) Weekly Enhancements - 07/28/2023


Key Features in this Release:

o [Curve Analysis] Added ability to plot SP SSprd Z/ESprd Z

o [RV Analysis] Added support for “OTR” to “Sctr” dropdown


o Added support for SSprd/ESprd YY/Z tickers, also available in Sprd/Bfly


o Added support for RBOB contracts

o Added the “Seasonality Matrix”


o Added “DM Crv – MM ASW Z” to “Graph” dropdown

o Added a “Note” column


o Added “Simp RYld” column


Bug Fixes & Minor Enhancements:

Sprd/Bfly:Updated the real-time chart line to light blue in Dark Theme to make the curve more readable

Trade Blotter:

o [Swap] Updated price swap base columns to correspond with the curve’s update for different currency and curve types

o [CMS Option] Enhanced available “Swap Term” selection based on currency and curve

Fed Fund Monitor: Added “Market CoD” column

Tools - Set Alerts:

o Set the “Bond” column as a roll header

o Added “CMT dRVS” option for CCY Bond

Market View [IRVol - USD/GBP]: Updated the longer end symbols, “USDNAT##” for SOFR/ “GBNS####” for GBP

New Global IVSP:

o Added “IRR-SOFR ZS” column

o Added SEK Tab

EUR Carry and Rolldown: Updated the underlying libor curve from 3M to 6M for carry and roll.

LIBOR Cessation:

o Market View – CCY Config | Forward Swap Matrix | CHF/SGD Bond & Sprd/Bfly: Turned off CHF/SGD Libor curve setting as default

o USD/GBP/JPY Bond RollDown and Carry | Tools – Set Alerts: Removed Libor-related columns




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