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RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/14/20

Key Features in this Release:

  • Enhanced the Bucket Risk (and Cashflow) for global macro traders to convert the buckets into USD DV01, calculated using the FX rate

  • Added “WildCard Px” which is the sum of the switch option and wildcard end of day price

  • Enhanced the logic for C+R ($) which is now consistent with C+R (bps) by taking the strategy weighting into account

  • Allow traders to modify which cross-currency basis swap pairs should imply the 3M, 6M, 9M tenors from the FX Curve. By default, this flag is unchecked such that the short-end will use the market level

  • [EUR] Allow traders to specify the Comp Trsy for each individual country

  • [USD] Added the OTR Summary table

  • Updated ASW column names with the index (6s or 3s) where the calculation uses the non-default swap curve. Applies to EUR, GBP, AUD (as well as EUR & GBP SSA sheets)

Minor Fixes & Enhancements:

Trade Blotter: Extended the bucket risk to support FRA, Cap/Floor, CMS option


  • Added right-click ‘set global repo’ from 3M Repo (Also available in CAD Prov sheet)

  • Added standard tab for KFW and EIB tickers from “Tabs” dropdown

Forward Swap Matrix:

  • Standardized the lower matrices for easier navigation with updated tabs

  • Add the Sprd Z-score historical data

  • Support AUD OIS vs USD FF cross currency basis swaps (Examples: BSAOFF-1x5 or IMMBSAOFF-M0x2)


  • Resolved the Px Ratio discrepancy, where the “Px Ratio Sign” under “Preferences” only applies to the sign, instead of normalizing the ratio (Also applies to Swap Box)

  • Support alerts from the ASW Z RVS and ASW Z RVS ZS columns

  • Added OIS Z history for heatmaps and historical graphs for FRN securities

  • Set the default condor weight to use 1/-1/-1/1 (also applies to Forward Swap Matrix)

Swap Box/Calendar ASW: Added and extended the FF hedge to cover the risk to the maturity date of the CTD

Global Preferences: Standardized the “Max # of Alerts within 10 Mins” from each sheet to honor the batch alert setting under Global Preferences (Advanced)

Bond Roll:

  • Enhanced RVAnalysis such that RiskVal will automatically skip any bonds that have short historical data in generating the strategies, honor the “Map to Generic” flag for the first three bonds in the series, and show “Not Found” when there is no strategy that fulfills the parameters

  • [EUR] Added standard tabs for the non-core countries

IVSP: Updated default column layout to include CTD OIS Sprd (YY, Z) with daily change, and CTD Price

Market View – WI: Enhanced “SP Curve Roll” method which uses the BM bond and BM SP to estimate the coupon effect

Listed Option Strategy

  • Added an option to bump curve by the rate instead of px

  • Enhanced Horizon Analysis which uses the Normal Model for both bond future and ED$ future options

USD S+SP: Support tab function

User Experience: Auto shut down will warn the user and give the option to forgo the shutdown when approaching midnight


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