RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/20/20



Key Features in this Release:


[New] SOFR Basis

  • Created a new window to summarize the Spot, Forward, and IMM Basis for SOFR vs FF, FF vs 3M, and SOFR vs 3M basis, where STIR traders can also set alerts


Sprd/Bfly

  • Enhanced the Alert Monitor to include Expected Return and Mean Reversion Return columns. Also supported in the Fwd Swap Matrix


Forward Swap Matrix

  • For each CCY tab, removed the “Libor” name and just show the CCY. Traders can create tabs and define the default curve for all the strategies within the new tab to use Libor, OIS, SOFR (USD), or ESTR (EUR)

  • Enhanced the Floating Index column which updates to automatically show the correct index for each leg of the strategy

  • Added the ability to send IMMFRAOIS strategies to the Trade Blotter


EUR Bond

  • Updated the Comp Treasury spread to set coupon limits. Also available in the CAD Prov+Covered sheet


CMS Spread Vol

  • In the Market View tab, added CMS Spread Vol for EUR and GBP with historical data


Minor Fixes & Enhancements:


USD Trsy 2+ RVS Graph: Updated the layout and moved supported options to the “Preferences” dropdown. Applies to the CCY Bond CoD graphs

Callable Bond Grid: Added Standard and Extended tabs for SOFR and OIS

GUI Consistency: Applied the “Flip ASW” flag to all the OIS YY/ SOFR (ESTR) YY/ SOFR (ESTR) ASW Z throughout Global IVSP, Bond Rolls, Sprd/Bfly

EUR SSA + Covered: Added the standard Tabs for EU ticker

Forward Swap Matrix:

  • Added the bell icon to indicate an alert in the tab

  • Added a lower panel matrix “OIS-CMT” which calculates the spread of the OIS swap rate and Constant Maturity Treasury (CMT) rate

Sprd/Bfly: Created the ability to send FFFB strategies from the Sprd/Bfly to the Swap Box

Libor Curve: Moved the “Discount Method” to the front-end for traders to view or set the selection

Previous week's release - Sprd/Bfly, TIPS, Market View - Future, Basis Swap Monitor, Trade Blotter and GUI Consistency enhancements
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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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