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RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/14/22

Key Features in this Release:

  • Updated NTT code to the CME 20Y bond future specifications

  • Added the option to automatically create 20y Treasury WIs & include it in Future CTD & Future NetBasis forecast sheets for 20y bond futures

  • Added ability to set alerts on “SSprd” & “ESprd” set of columns in USD & EUR bond sheets, respectively

  • Added code to show the On-the-Run as a price

  • Added OIS to the CIX function*

  • Added support for “NV#x#” & “NVD#x#” for swaption vols*

  • Added Risk Free Rate CT Sprd syntax*

*These items are also available in the Forward Swap Matrix

  • Added historical data and Multi Graph Charting options

  • Added ability to show background heatmaps for the “dYld” & “CoD %” columns.

  • Set Risk Free Rates as default “Sprd Method” & added them to the “Roll Method” dropdown

  • [EUR] Added support for Cyprus

Minor Fixes & Enhancements:

Forward Swap Matrix:

  • Added longer historical data for EUR ESTR swaps

  • Added G7 Risk Free Rate examples under “Help” – “Examples”

SSA + Covered:

  • Added SOFR/ESTR Spread YY Carry, Roll, & Carry & Roll columns to USD & EUR, respectively

  • “Tools” – “Swap Rate” has been moved to SOFR/ESTR for USD & EUR, respectively

  • Added “Comp Yld” column to show yield of comp bond

AUD Semi: Added GBP to XCCY ASW function

USD Agency & SSA: Added the SOFR curve monitor under the “Tools” – “Swap Rate”

Future CTD: After restart will load back default delivery basket plus manually added bonds

New Global IVSP: Added ability to send invoice spreads/butterflies to Sprd/Bfly via right click & historical popup graph

Trade Blotter: Added hotkeys for new row (Ctrl + N) & delete row (Ctrl + D) for all trade types

Market View – IRVol: Added Risk Free Rate Strike tabs for G7 currencies


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