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RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/2/20

Key Features in this Release:

  • Centralized the roll adjustment settings to keep consistency between the Bond Roll and the Sprd/Bfly such that both places share the roll adjustment flags

  • Added a “map to generic limit” which allows the user to define the number of off-the-run generic curve points to map issue-specific securities to graph generic + roll adjusted historical data

  • Added the “Cashflows” report summary including bonds and swaps

  • Created a new floating window which displays SOFR Future butterfly strategies

  • [EUR] Enhanced the Color Management tool with the option to color code by country and original series

  • Added columns to show the $ Annual ASW YY carry + roll and $ Annual OIS YY carry + roll

  • [EUR] Added a Green Bond filter to only include the Green Bonds on the list; also available in the EUR SSA

  • Added the SOFR Future Packs & Bundles

  • Added a pop up message to warn users if the selected weighting type is not supported for the strategy; additionally added a tool tip on the weight column to show the weighting type

  • In an effort to remove the obsolete CCY-OIS sub-tabs, moved the lower subtabs from the OIS tab to the Libor tab

Minor Fixes & Enhancements:

Bond Roll:

  • Traders can delete multiple user created views at a time

  • Added the FASW dZ for the future rows

  • Enhanced the OIS column to have the ability to send the spread or butterflies to the Sprd/Bfly

  • Added the background heat map for CMT dRVS, ASW Z dRVS. And dYld under the “Preferences” menu

Trade Blotter:

  • Adjusted the last few fitting points of the Forward Bucket Risk to from 40x5 and 45x5 to 40x10

  • Enhanced the sheet to handle CMS strategies

  • [CAD] Adjusted the roll convention on IMM dates which is also updated in the Forward Swap Matrix


  • [EUR] Added the “CA Sprd” and “CA dSprd”

  • Enhanced the historical graphs to draw a line to show the 2nd standard deviation

USD S+SP: Added the CT20 as a benchmark for the original 20 yr SPX and as s choice

EUR SSA + Covered: Backfilled historical data for the tickers: EU, EIB, KFW, ESFS


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