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

Key Features in this Release:

  • 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

  • Added non seasonality adjusted OTR IOTA sets of columns

  • Added support for JPYOIS vs JPY3s basis swap

  • [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

  • 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”

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