RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/04/22

Key Features in this Release:

Market View – Repo

• [USD] Added ability to use rates from SOFR curve instead of the Short term SOFR Swap rates

TBill

• [USD] Added support for 4-month bill, including adding a generic “4M” bill in the Sprd/Bfly with historical data

• [USD & EUR] Added SOFR/ESTR Matched Maturity and Zero spreads to Graph dropdown

Forward Swap Matrix

• Added support for MUTSCALM, JPY overnight fixing

• Added Custom Columns functionality, already available in Sprd/Bfly

Sprd/Bfly

• Added support for bond liquidity index (GVLQ)

Future NetBasis Forecast

• Added ability to include/exclude BBG WIT bonds independently of UWI bonds in the delivery baskets

Bug Fixes & Minor Enhancements:

Market View – USD - SOFR: 1y point will now be fitted by default

CAD Prov & Covered: Added alert functionality under “Tools” dropdown

Previous week's release - GBP Sprd/Bfly, GBP SSA + Covered, CCY TBill, CCY Bond - Curve Analysis, and Forward Curve Analysis enhancements