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

Key Features in this Release:

  • [FUT CTD] Updated symbol to TWE

  • [Calendar ASW] Added TWE roll tab

  • Added to USD Bond sheet & Market View

  • Added support for ESTR rate

  • [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

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

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

  • Added support for PCA weights for CMT strategies

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

  • Added FWD SOFR PV01 to Swap Hedge dropdown

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

  • 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


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