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RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/15/20

Key Features in this Release:

  • Added shared Color Management with Bond Roll such that traders have the option to automatically propagate their color codes across both sheets simultaneously

Sharing highlights across Sprd/Bfly & Bond Roll

Color coding based on strategy weight

What if I previously color-coded my Sprd/Bfly?

  • Reorganized each currency as its own tab, and added a lower split panel with historical graphs of the R/C ASW and Invoice Spread, along with hedge details

  • Allow traders to create WIs for 10s and 30s bonds and set fwd date to reopening dates

  • Basis Swaps & Cross Currency Basis Swaps can now be sent “To Trade Blotter”

  • Added support for LCH-EUREX basis, including forward and IMM Basis

  • Added support for IMM Forward for LCH-CME in USD Libor

Minor Fixes & Enhancements:

USD Sprd/Bfly: Added support for WIT20 for the system-created 20y WI

Future Calendar Roll: Re-added tabs for CAD & JPY

Market View

  • WI: S and SP sections have the Table – Manage columns

  • Curves: For USD SOFR curve, added 1M, 2M, 3M, 4M, 6M, 9M, 12M, 15M, 18M

Swap Box: Renamed the “Comments” to “Note”

EUR SSA: FR CMT RVS is renamed to CMT RVS with a new column for CMT dRVS

EUR Bond: added the DE 7 yr orig bond

USD Bond: added the Daily Change for MMY T-TB


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