RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/8/2024

Key Features in this Release:

• Trade Blotter

  • [AUD] Added preference to separate treasury & semi bond risk

  • Added “Clean MTM” & “Clean MTM USD” columns

• TIPS

  • Added column to show the carry adjustment component of Carry Adjusted BEI

• Sprd/Bfly

  • Added ability to send $Divide input to Historical Viewer

• SSA + Covered

  • [Curve Analysis] Added Issuer filter

Bug Fixes & Minor Enhancements:

• Future CTD: Added modified duration (“M Dur”) column

• Sprd/Bfly:

  • Added <right-click> “To Historical Viewer” function for SA RYld

  • “Custom R2” column will be shown in percent

• CMT Monitor:

  • Added preference to add heatmap background color to Z-Score tab

  • [RV Analysis] Added <right-click> “To Sprd Bfly” option

• Market View – Basis Swap: [GBP SONIA vs SOFR] Extended tail from 10 to 30 in lower matrix

• EUR Govt Sprd: Added color panel functionality
  

Previous week's release - Sprd Bfly, and Historical Viewer enhancements