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RiskVal Fixed Income (RVFI) Weekly Enhancements - 10/27/2023

Key Features in this Release:

o Added support for GBP inflation indices

o Added support for RPI monthly swaps

o Added “OISprd YY 3M C+R” and “ESprd YY 3M C+R” columns

o Added the set of Interpolated Yield columns, which allows users to create a curve selecting two bonds as the fitting points

Bug Fixes & Minor Enhancements:

  • Sprd/Bfly:

    • Added support for “ESTR1W”

    • Added support for “DM Crv – MM ASW Z” for IT FRN CCT bonds

  • SSA+Covered: In the lower graphs, RiskVal will differentiate bonds that have position =0

  • USD New Market Monitor:

    • Added 20Y treasury

    • Under the Swap Curve and CoD tab, SOFR history is available


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