RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/4/22


Key Features in this Release:


20-year Bond Future

  • [FUT CTD] Updated symbol to TWE

  • [Calendar ASW] Added TWE roll tab

  • Added to USD Bond sheet & Market View


Fed Fund Simulation

  • Added support for ESTR rate


CCY S+SP

  • [USD/EUR] Added SOFR/ESTR spread Z heatmap & z-score, STRIP B/E & STRIP B/E SP SOFR/ESTR spread Z, & SOFR/ESTR spread YY carry & roll set of columns


USD TBill

  • Added SER Ted YY/T & SFR TED YY/T columns


USD Sprd/Bfly

  • Added “SSprd YY Stdev_d” & “IVSPS YY Stdev_d” columns

  • Added support for PCA weights for CMT strategies


Swap Box

  • Added support for SOFR/ESTR/OIS Sprd True columns

  • Added FWD SOFR PV01 to Swap Hedge dropdown


Market View Curves

  • [KRW & SGD] Added central bank meeting dates & ability to use them as fitting points


Market View IRVol

  • Added Forward Vol matrix


Minor Fixes & Enhancements:


Trade Blotter:

  • Added ability to schedule export files for different Risk breakdowns (Key Risk, Bucket Risk, Fwd Risk)

  • Added cap/floors to the “Summary” section

CCY Bond

  • [CNY] Added ability to set bond future as BM-CT

  • [EUR] Added green bond filter under “Set Comp Trsy” function

  • [RV Analysis] Added “Stdev” & “Stdev_d” columns, already available in Forward Swap Matrix RV Analysis

Sprd/Bfly: Added the SOFR/ESTR/OIS for ASW P

Fed Fund Simulation: Will show current month future

TBA Analysis: Added option to use “FN30 roll for FN15” under “Preferences”

Historical Viewer: Added support for AUDUSD spot & fwd fx rate & annual nvol

IRVOL: Added the “Forward Vol” table to show the matrix of the forward Vols between points





Previous week's release - CCY Sprd/Bfly, CCY TIPS, Trade Blotter, Forward Swap Matrix, Corp Bond RV [Sprd/Bfly table], Market View - Curves, and CCY Bond enhancements