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RiskVal Fixed Income (RVFI) Weekly Enhancements - 12/01/2023


Key Features in this Release:


o Added the ability to do a simple scenario analysis to the futures

o [RV Analysis] Added the ability to filter by the correlation

o Added Custom regression set of columns to allow users to enter different curve benchmarks per line item

o Added support for the Reverse Repo Balance


  • Forward Swap Matrix

o Added the Curve Regression analysis


Bug Fixes & Minor Enhancements:


  • Cad Prov:[RV Analysis] Added the “Comp Sprd” and the “OISprd YY C+R”

  • Market View:

o [ZAR] Added the ZAR 3s vs USD SOFR xccy Basis Swap

o [HDK] Added the 1M point for the Libor curve

o [NOK] Added the 1W, 2W, 3W, 1M, 2M, and 1Y to the OIS term rates

o [CCY Config] Added the Peruvian Curves

o [WI] Added the WI Repo to the Strip P table and Strip S table

  • USD TIPS: Added the columns “SA 2 ZC Infsw” and the “SA 2 BEI”

  • USD Bond: Added the heatmap and the Z-score for the Spread to CT set of columns

  • Trade Blotter: Added the visibility to the alerts where they are present

  • Sprd/bfly: In the RSI Historical graphs, added the historical statistics in the pop up title






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