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RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/19/2024

Key Features in this Release:

  • EUR Bond

    • Added the option to switch clearing house for the swap spreads

    • Added the Ted Hedge using the ESTR (TKY) futures


  • Sprd/Blfy

    • [Seasonality] Added the CB Meeting dates for Mexico, Poland, Columbia, and Chile, in addition to the 20 year and 40 year JPY Auctions

    • Added an option to re-sort the line items

    • Added the AT7 (CTATS7Y)


  • Forward Swap Matrix

    • Added alerts to correlation and residual columns

    • [Lower Panels] Added the dSprd/Stdev_d with the heatmap


Bug Fixes & Minor Enhancements:

  • Sprd/Bfly:

    • [JPY] Extended the Simp Yld historical data for futures

    • [EUR] Added the change on day for Par Swap

    • [EUR] Added support for ESTR TED Sprd set of columns

    • [USD] Extended support for longer generic off-the-runs

  • Forward Swap Matrix: Added the historical data for the Futures Invoice Yield

  • CCY SSA: Added the ISIN filter

  • Global Swap CoD: Added the option to add more tabs

  • Market View – Curves [EUR]: Added an option to share the weightings between the ASW Z Spline, OISprd Z spline, ESprd Z Spline, and CMT Curves

  • GUI: Added an option to automatically redownload historical data, when there is a correction


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