RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/16/20



Key Features in this Release:


LIBOR Transition: SOFR Discounting Solution

  • As the USD swap market is transitioning from OIS to SOFR discounting on October 16th, 2020 after close of business, RiskVal’s USD Libor curve construction will switch to use SOFR as the default discount method. This applies to all cleared USD IRS products (IRS, OIS, FRAs, Basis Swap, Zero Coupon Swaps)

EUR Bond

  • Extended the “Highlight OTR” to apply the On-the-Run highlighting to all Eurozone countries

Sprd/Bfly

  • Extended support for the generic CTs to all countries including emerging markets

Basis Swap

  • Enhanced G7 + AUD 1s3s with an added line item to show the spot breaks which is calculated as (LIB3m- LIB1m) * 100

TBA monitor

  • Added the Performance Graph to show the performance across the coupon stack in terms of price and yield

Future CTD Scenario Analysis

  • Enhanced the Wildcard option to allow users to choose the number of hours used to calculate the Wildcard option

USD SFR Fly

  • Added the “Map to Generic” and “Roll Adjustment for Generic” settings. The roll adjusted historical data is also available in the Sprd/Bfly

User Experience

  • Adjusted the “Tools” -> “Take a screenshot” feature to streamline image sharing



Minor Fixes & Enhancements:


EUR Bond: When creating a “Sprd” graph from the “Comp Trsy Sprd” column, and sending to the “EUR Sprd/Bfly”, the strategy will now get sent as a four-legged strategy, opposed to two separate strategies

Sprd/Bfly

  • Turned on the “Roll Adj for Generic” by default to ensure consistency across all generic time series

  • Seasonality Graphs: Added the 3Y future and the 20 yr On-the-Run as anchors under the “Eco Events”

Swap Box: Extended support for BRL bonds

Trade Blotter:

  • When entering a swap or swaption in a new currency, it will automatically turn on the appropriate curve

  • Enhanced the Calculation --> Historical VaR Simulation with an added column to show the daily P/L USD divided by VOL

Previous week's release - New Global IVSP, [New} CB Rate, Trade Blotter, Sprd/Bfly, Swap Box and TBA Monitor enhancements
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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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