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RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/23/21

Key Features in this Release:

  • Enhanced “Graph” dropdown with Carry, Rolldown, and sum of Carry and Rolldown for theASW YY, OIS, OISprd YY, SOFR/ESTR, SOFR/ESTR Sprd YY sets of columns

  • Added “XCCY 3M C”, “XCCY 3M R”, and “XCCY 3M C+R” columns for XCCY ASW columns

  • [Seasonality Analysis] Under the “Auction” Eco event, added option to segment the data by the re-openings, excluding the new issuances

  • Added pre-built product types and examples under the “Help” menu

  • Enhanced the format for issue specific securities where the maturity of the bond is past 2100 to use the MYYYY format (ie- RAGB 0.850 30-Jun-2120)

  • Added “3M C”, “3M R” and “3M C+R” columns

  • For SP and SPX, added two columns to calculate the yield – whole bond yield and the Strip B/E SP yield – whole bond yield

  • Enhanced how RiskVal estimates the WITII total roll where the rolldown is calculated using the CMT RYld curve

Minor Fixes & Enhancements:

Market View:

  • [WI] Added “BM FASW YY” column

  • [WI - EUR] Added support for Slovenia user WI bonds


  • Added “IVSPO YY Chart” column to show real time intraday invoice spread

  • Added historical data series for Carry, Roll and sum of Carry and Rolldown for IVSP SOFR/ESTR set of columns

  • Added “3M C”, “3M R”, “3M C+R” historical data series for CMT strategies under the RV Analysis; also added to the CMT Monitor window

  • Added IT50 and FR25

CCY Bond:

  • Renamed ASW/OISprd/ESprd/SSprd columns for 3M C, 3M R Crv, and 3M C+R to include "YY" in the column name

  • [EUR] Added support for “IT50” and “FR25”; also supported in the Sprd/Bfly sheet

Historical Viewer: Added “3M BEI C”, “3M BEI R”, “3M BEI C+R” for TIPS

Trade Blotter: For the EUR Swaptions, enhanced the default “Cash Settle Method" to be "Physical Settle", instead of "Cash Settle"

IT FRN: Added “3M C”, “3M R” and “3M C+R” columns

CMT Monitor: Added historical data in the lower panel table

Vol Spread: Adjusted option premium based on selection made under “Preferences”, and also updated hedge method to be consistent with the Future Option sheet

Swap Box: Added an option to <right-click> on the strategy tab and rename it


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