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RiskVal Fixed Income (RVFI) Weekly Enhancements - 09/29/2023

Key Features in this Release:

o Added new “Custom Bond Cashflow” trade type

o [INR/IDR] Added “XCCY ASW” set of columns and functionality

o [AUD] Added support to plot “3s/6s ASW YY (T/Z)” in Curve Analysis

o [AUD] Added ability to plot NZD Treasuries alongside the AUD bonds in Curve Analysis

o Added support for Euribor futures convexity

o Extended the “IMM” functionality to support “IMM/IMMWED/IMMCAD/IMMAUD”

o [Curves - AUD] Added ability to switch the short-term index for the 3M/6M Libor curve

o [Basis Swap – JPY] Added support for Fixed vs. DTIBOR6M

o Added “T-1/T-2/T-3 Sprd”, “4bd dSprd”, and “QTD dSprd” columns

o [EUR] Added generic tickers for France HICP linkers (OATe)

o Added ability to choose the font size for the group graph

Bug Fixes & Minor Enhancements:

Historical Viewer: Added ability to plot SOFR Open Interest from CFTC

Market View:

o [Future] Added support for CNY CGB 30yr future (TBSZ3)

o [Curves – EUR – LIBOR - 6M] Added support for 11y fitting point for EUR 6s

o [Curves – CAD – LIBOR] Removed 11th & 12th default fitting points from the “Future Prices”

CCY SSA + Covered:

o [GBP] Added “LIB1M” , “LIB3M”, & “LIB6M” to XCCY ASW function

o [EUR] Added “PKBSK” & “BENAU” tickers

Trade Blotter:

o [PCA Scenario] Switched to use risk-free rate historical data

o [Custom Bond Cashflow] Added “Tag” and “# of Units” functionality

Forward Swap Matrix: Enhanced the normal vol (NV#X#) & mid curve vol (NV#X#X#) to take in decimal year (0.25, 0.5, 0.75, etc.) and year with “Y” suffix

USD Bond

o “GB Bid/Ask Feed” columns will honor the “Preferences” – “Show GB/NB in 32nd Format” flag

o Added “Strip B/E Par Cpn SSprd dZ” column (also available in the graph dropdown and Sprd/Bfly as well)

CCY TBill: Added “ASW YY” to “XCCY ASW” function

GBP Sprd/Bfly: Added support for Sonia Sprd Z Diff Rich/Chp heatmap and Z-Score columns

Future NetBasis Forecast: Added ability to set the “X” column as the first column under the Preferences menu


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