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RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/25/19

Key Features in this Release:

  • Enhanced all CMT Curves to use each country’s default weight (Free Float, Issue Size, or Outstanding Size) multiplied by DV01 to achieve a more balanced weighting across both the short and long ends of the curve

  • [EUR only] Added support for Italy FRN CCTS bonds and allow users to send spread and butterfly strategies from historical graphs in the Italy FRN sheet

  • [JPY only] Enhanced formatting flexibility by accepting ticker + series inputs [e.g. “JB356” = “0.1 929” = “JB-356 0.1 929”]

  • Enhanced formating flexibility by accepting condensed type formats using parenthesis, also applicable in the curve field [e.g. “CMT(2/10)” as an alternative shortcut to “CMT2/CMT10”]

  • Added history for the “diff IVSPO YY” column, which is the difference between the Back Contract’s OIS Invoice Spread – Front Contract’s OIS Invoice Spread

  • Added ability for traders to generate strategies directly from the IVSP & IVSPO columns from all Blotter and Watchlist tabs and send directly to either the Swap Box or Sprd/Bfly for advanced strategy analysis

  • For strategies containing a Bond Future leg, RiskVal enhanced the Carry & Rolldown calculation to use the CTD Bond by default, unless already modified by the user

Bug Fixes & Minor Enhancements:

Sprd/Bfly: Enhanced Alerts with consistent column names as Sprd/Bfly

Forward Swap Matrix:

  • Added historical data for FRA0x3 for G7 currencies

  • Enhanced user control experience by adding a roll adjustment for generic bond preference specific to the sheet

Future CTD: When “Use 0 Net Basis” is enabled, RiskVal will update the deliverable basket based on Net Basis


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