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


Key Features in this Release:

CCY Bond

  • Added columns to allow traders to enter spread to GC repo for the 3M Repo used for carry, “3M GC Repo” & “3M GC Repo Sprd” columns

Forward Swap Matrix:

  • [CNY]: Added support for current China 1-year government bond, also available in Sprd/Bfly

  • [USD & EUR]: For “3M Cnvx Ret” & “3M Cnvx Adj C+R” columns, added support for libor & OIS strategies

Calendar ASW

  • When CTD is changed, “Theo B/E Cal Roll” will be automatically updated


Bug Fixes & Minor Enhancements:

Trade Blotter:Added support for Meeting Date Rate Hedge for MXN

Market View – Repo: Added a feature to save the folder location for the repo file

GBP Sprd/Bfly: Treasuries will show spread historical data under “S/A Yld” set of columns

EUR Bond: Added Estonia, Latvia, & Lithuani as options under “Tabs” – “Create Standard Tabs”

Hist Viewer: Added support for price vol


Previous week's release - Market View - Repo, TBill, Forward Swap Matrix, Sprd/Bfly, and Future NetBasis Forecast enhancements