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RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/18/22

Key Features in this Release:

  • [Seasonality] Added ability to configure monthly date range

  • [EUR] Added “IRR” & “IRR ESTR” columns

  • In historical popup graphs, weight of the strategy will be shown in the title

  • [EUR] Added up to 30yr forwards for ESTR vs SOFR

  • In Multi Graph popups, added flag to plot timeseries on multiple Y or single Y axis, also available in Forward Swap Matrix

  • [MYR] Added Forward ASW YY/T/Z columns to currencies with “Off-Shore” curves

  • Added OIS as an index choice for GBP/CAD/JPY/AUD

  • [INR] Added support to calculate against USD (SOFR) & EUR (ESTR)

  • [SGD] Added XCCY ASW function

Minor Fixes & Enhancements:


  • Default index will be set to SOFR for USD, ESTR for EUR, & OIS for GBP/CAD/JPY/AUD

New Global IVSP [AUD]:

  • Enhanced IRR calculation to use basket bonds to be consistent with NB calculation

  • NB calculation will now use “Repo” column value for all basket bond calculations.

  • NB = AVG (basket repo forward yield) - Use Future Invoice Yield

  • CCY TBill: Under “Sort” dropdown, added “Sort Ticker – Maturity Asc” & “Sort Ticker – Maturity Desc

Swap Box [SOFR HEDGE]: Stub will be pulled out by assuming full risk of the 1st contract

Sprd/Bfly: [USD/EUR] Added support for real time intraday IVSPS/IVSPE YY


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