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RiskVal Fixed Income (RVFI) Weekly Enhancements - 2/21/20

Key Features in this Release:

  • Added option under Preferences to allow STRIP traders to use the mid price for the whole bond and/or the implied bid/ask price for the S + SP

  • Enhanced the Curve Analysis when plotting the Diff Hi-Lo series with a ‘close range’ in the tooltip to show the distance between the current level and minimum spread as a percentage

  • Added support for CMT rates derived from the Italian CMT curve inclusive of all BTPS bonds

  • Enhanced the seasonality tool for USD inflation traders to analyze strategy performance using TIPS auction dates as an anchor point with the option to include reopenings

  • Enhanced STIR analysis with added support for G7 FRA strategies

  • Improved the CPI Summary with added table management, and columns for BEI (daily change, heatmap, z-score), CPI Swap and CPI Basis

  • Allow traders leverage the multi-graph feature to analyze historical performance of the Calendar Roll, Implied Repo vs Actual Repo, Bond/Future Basis and Invoice Spreads in one graph

  • Enhanced the STRIP and RECON by adding support for user-created WI SP bonds

Minor Fixes & Enhancements:

EUR TIPS: Added CMT RVS and CMT RVS Low Cpn (applies to IT TIPS Bonds) daily change, rich/heap heatmap, and z-score columns

USD FRN: Added option to reset matched treasury under “Tools”

TBA Analysis: Updated default CPR to 2.21% and changed column headers to “Front and Next Month Roll” and “Next and Third Month’s $ Roll”

Invoice Spread: Highlighted the IVSP YY, IVSPO YY, and Fwd Repo columns by default to help draw attention to most important columns


  • Added history for OIS 1M, 3M, 6M, 12M (also available in Forward Swap Matrix)

  • Reorganized RVAcademy videos list by grouping together in Help menu

Forward Swap Matrix: Added ability to reorder tabs with drag & drop ability

Listed Option Strategy: Automatically “Save” strategies automatically (also applies to the Conditional Trade)

USD Bond: Added “STRIPS B/E SP Yld” and “STRIP B/E SP ASW Z” to be displayed in the lower panel graph


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