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RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/28/22

Key Features in this Release:

  • Added the SER Future tab

  • Added ED$ frequency option

  • Added “Sprd Min”, “Sprd Max”, & “Sprd Max-Min” columns, also available in the Forward Swap Matrix

  • [USD & EUR] Added ability to send trades to Historical Viewer from SSprd/Esprd YY & Z columns

  • [CCY Bond] Added OIS/EONIA/SONIA Sprd YY measures

  • [Forward Swap Matrix] In RV Analysis, added SOFR/ESTR IMM & OIS IMM to Curve dropdown

  • [Future CTD] Added RV Analysis function to show the top spreads to the CTD

  • Added Ticker, Country, & Maturity Range filters

  • Added “Country” & “Composite Rating” column

  • CDS Sprd 5Y will be used as the default value model

  • [USD]Added ability to choose SOFR swap points for Key Rate risk

  • Added ESprd YY & IVSPE YY levels

  • Curve Analysis will be plotted using SOFR/ESTR curve for USD/EUR, respectively

  • Added “$Ann SSprd/ESprd C+R” column with the live graph

  • Added support for EUR linkers

Minor Fixes & Enhancements:

User Experience: Added ability to rename worksheets (<right click> – “Rename Tab”)

Market View:

  • [IRVol] Added GBP SONIA swaption vol

  • [IRVol] Added Daily Realized Z-Score, % Ratio, & % Ratio Z-Score tables to the “Daily” tab

[Repo] Repo is now spread to Risk Free rate; SOFR/ESTR for USD/EUR

CCY Bond:

  • Added $Ann C+R set of columns to “Graph” dropdown

  • [XCountry RV Analysis]: Added “Top Outright”, “Top Sprd”, & “Top Bfly” tabs

Fwd Swap Matrix: Added 3M rolldown for FF & SOFR futures, already supported in Sprd/Bfly

Trade Blotter:

  • For 1M/3M SOFR and ESTR hedges, added the ability to copy and paste in the same structure as the ED Hedge; also available in Swap Box

  • [AUD]When running forward bucket risk, will show 1y1y/2y1y /3y1y/4y1y

EUR TIPS: Added tooltip (ESprd Z – Trys Esprd Z) to “ESprd Z Diff” column

Global Preferences: Added “Line Size Chart” to control thickness of line in Curve Analysis graph

Corp Bond RV: Added “All Tabs Share Same View” to “Preferences”


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