RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/15/21



Key Features in this Release:


Sprd/Bfly

  • Added SOFR swaps and ESTR Swaps

  • Added Basis Swaps and Cross Currency Basis (Spot/Forward/IMM)

  • Added GBP SONIA and EUR EONIA Futures

  • Added FX Majors across all currency tabs


Trade Blotter

  • Enhanced the XCCY Basis to allow the trader to configure the notional hedge

  • Added the ability to calculate Risk off the Blotter Manager

  • Added the “Custom Risk” and “Custom Return” columns to the Blotter Manager


Callable Grid

  • Enhanced the Customized Callable Bond table to include the Libor/OIS/SOFR spreads for traders to calculate the corresponding coupon, treasury spread, and DV01 for each index

  • Extended the funding grid to include 11, 12, 13, 14-year terms along with their respective locks


Forward Swap Matrix

  • Added the Absolute Spread “Abs Sprd” column to show the absolute value of the spread



Minor Fixes & Enhancements:


Basis Swap: Enhanced JPY OIS vs FF xccy basis, which is now implied by JPY3s vs USD 3s to match market convention

Future Net Basis Forecast: Added an option to exclude the contracts in the current cycle from recalculating when the yield factor changes

[New] CAD SSA: This sheet will include SSA bonds issued in CAD

Hist Viewer: Enhanced the “Import User Events” to include a user guide and a sample file under the “Help” dropdown

BRL Bond and BRL Sprd/bfly: Added the On-The-Run 5 year bond

EUR Sprd/Bfly:

  • Added support for ES7

  • Extended the PCA Weighting to all the generic country codes such as ES(5/710), IT(2/5/10), etc

  • Added the OTR IOTA

Trade Blotter: Added support for EONIA Futures such as “EXM1”

Callable Grid: Enhanced the synchronization of all tables, such that user entries/selections auto save

Swap Box: Added a column to show the “3M Convx Ret”

Bond Roll: Added the Cnvx Adj C+R to the Curve Analysis



Previous week's release - Bond Roll, TIPS, Alert Configuration, User Experience, AUD State, Callable Bond Grid and Callable Bond Trade enhancements
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