top of page

RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/27/20

Key Features in this Release:

Bond Roll

  • Enhanced Exporting/Importing, so traders can share tabs with the filters applied

  • [USD] Added Forward SOFR ASW Z (FSOFR ASW Z) column

  • [EUR] Added Forward ESTR YY (FESTR YY), and Forward ESTR ASW Z (FESTR ASW Z) columns

  • Enhanced RV Analysis and Gap Analysis to honor “Map to Generic” flag along with plotting the auction dates

Forward Swap Matrix

  • [USD] Enhanced FRA OIS tab with added “SOFR” and “FRA-SOFR” columns

  • Enhanced support for the CMT spot and forward strategies in all available currencies across all tabs

CB Rate

  • Allows traders to send strategies from the Central Bank Rate monitor to the Sprd/Bfly sheet

Minor Fixes & Enhancements:

USD S+SP: Updated the “Whole Bond” column to show the matched bond as the short ticker as coupon + MYY

Historical data: Backfilled the historical data for the oo20 off the run

Bond Roll:

  • Enhanced Curve Analysis by adding “ASW Z RVS” time series

  • Curve Analysis - relabeled the WI bond with the prefix “WI

Previous week's release - SOFR Basis, Forward Swap Matrix, CMS spread and other enhancements
bottom of page