RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/11/22


Key Features in this Release:


CCY Bond

  • Added outstanding size, issue size, float size, fed holding size, & free float set of columns in market value terms

  • Added overridable DV01 column to Key Rate hedge function

  • Added SOFR/ESTR/OIS as Bfly Type for Custom Bfly columns

  • Added ability to select more than one bond for TED/FF/SOFR hedge


CCY TIPS

  • Added non seasonality adjusted OTR IOTA sets of columns


Forward Swap Matrix

  • Added support for JPYOIS vs JPY3s basis swap


Sprd/Bfly

  • [Seasonality] Added option to adjust the number of trading days displayed under the specific date range

  • [USD & EUR] Added SOFR Spread T & ESTR Spread T columns


Market View - IRVol

  • Added forward/tail matrices for payer/receiver skew



Minor Fixes & Enhancements:


Future CTD Scenario Analysis: [USD & EUR] Added IVSP & FASW risk free rate columns

AUD Semi: Added support for AUSCAP bonds

MYR Bond:

  • Added MGII bonds

  • Added “Ticker” function

  • Added “Sort Ticker – Maturity Asc/Desc” function

Market View – WI: “CMT Curve Roll” will be set as the Roll Method by default

New Global IVSP: Added a new column, “NB(BP)” to show the net basis as invoice yield minus the average if repo forward yield of the basket of bonds

Corp Bond RV:

  • Added CCY filter

  • Added an option to refresh the Bond CDS_5y under the “Preferences”




Previous week's release - Sprd/Bfly, Forward Swap Matrix - RVAnalysis, Basis Swap & Custom Basis Swap, JPY Bond, and Trade Blotter enhancements