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RiskVal Fixed Income (RVFI) Weekly Enhancements - 4/26/2024

Key Features in this Release:


  • CCY S+SP

    • Added “ZC SOFR/ESTR/OIS” & “SSprd/ESprd/OISprd ZC YY” columns


  • Sprd/Bfly

    • Added ability to enter Future CTD in ticker format



  • Trade Blotter

    • [MTGE] Added “Schedule MTGE Data Refresh” function

    • Extended “To Realize P&L” functionality to support bonds and swaps


  • Listed Option Strategy

    • Added support for Greek historical graphs with different timelines (“0D”, “1W”, “2W”, “1M”, “2M”, & “3M”)



  • Forward Swap Matrix

    • Added “Custom Beta” column, also available in Sprd/Bfly

    • Added support for the “Refresh Weight” function, also available in Sprd/Bfly


  • EUR Sprd/Bfly Analysis

    • Added the ability to set a country as the benchmark for spreads, also available in Global Rates Monitor



Bug Fixes & Minor Enhancements:

  • Forward Swap Matrix:

    • Extended the CIX to support a combination of future vs cash strategies

  • Market View:

    • [BasisSwap] Added FX Curve fitting points for ESTR vs. SOFR, JPYOIS vs SOFR, AUD3s vs SOFR, AUDOIS vs SOFR, CADOIS vs SOFR, & SONIA OIS vs SOFR

    • [Basis Swap – JPY] Added 15M, 18M, & 21M fitting points for JPYOIS vs SOFR

    • [Curves] Renamed “Libor” tabs to “IBOR”

  • Sprd/Bfly:

    • Added support for 5y FRTR linker for OATi & OATe

    • [USD] Extended the CIX to support SFCT tickers

  • USD TBill: “Autoload Reissued Bills” will be checked by default

  • Fed Fund Simulation: Enhanced the Inferred Future’s tab to populate the manually entered strategies in both Price and Rate tables

  • USD SSA + Covered: Reorganized the “Tickers” to make it consistent with EUR SSA + Covered

  • USD Bond 2+ RVS Graph: Added “Schedule Graph Export” functionality


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