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

Key Features in this Release:

  • 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)

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

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

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

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

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

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

  • 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


  • 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


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