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RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/21/22

Key Features in this Release:

  • Enhanced the IRVOL to pull in the SOFR Vol

  • Under the “StrikeSOFR” added historical data for the forward SOFR rates

  • Added support for SOFR future options & SOFR midcurve options, also available in Listed Option SABR model

  • Added key risk regression whole & daily change

  • Added support for broken date CPI swaps, also available in Sprd/Bfly

  • Added support for SOFR/ESTR/OIS quarterly swaps greater than 1 year

  • Added “SOFR-OIS”/ “ESTR-OIS” columns under “FRA-OIS/SOFR”/ “FRA-OIS/ESTR” tabs for USD/EUR tabs, respectively

  • Added SOFR/ESTR asset swap measures

  • Added ability to set alerts on spot/forward SOFR/ESTR spread metrics, also available in Swap Box

  • Added “3M ESprd dZ” & “3M IVSPE dZ” columns

  • Added “SSprd Z/SSprd Z Stdev_d” & “ASW Z/ASW Z Stdev_d” columns

  • Added “Diff SSprd Z”/ “Diff ESprd Z” & “D2 Diff SSprd Z”/ “D2 Diff ESprd Z” columns to USD/EUR tabs, respectively

  • Added the “Map to Generic” flag to allow the T-Bills to pull the generic historical data

Minor Fixes & Enhancements:

Trade Blotter: Added support for Basis Risk for SOFR/LIBOR swap

Swap Box:

  • Adjusted the default hedge to be Fwd SOFR/ESTR/OIS, where applicable

  • Added option to create alerts on the SOFR/ESTR YY & Z, IVSPS/IVSPE YY & Z columns

CCY Bond:

  • Added <right click> - “Set Alerts” feature to columns with the alert option, already available in Sprd/Bfly

  • Added “CMT Model Yld” to graph dropdown

New Global IVSP: Added “$IVSPS YY C+R” column (IVSPS C+R * Fut FDV01)

Forward Swap Matrix:

  • If default curve is set as SOFR(USD) or ESTR(EUR) and another country that doesn't have SOFR equivalent is entered, it will default to pulling the other country's OIS rate

  • If <right click> - “Send Highlighted Rows to Other Tab” is to create a new tab, the default curve of the new tab will be the same as the positions that are sent

Conditional Curve: Added “Float Index” dropdown. Will default to SOFR/ESTR for USD/EUR (respectively) & to OIS for other currencies

CB Rate: Added the option to plot the CB rates curve historically

Sprd/Bfly: [USD] Added “SSprd Z” historical data for “B12”


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