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RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/20/22

Key Features in this Release:

  • Added ability to create custom formula columns, also available in Sprd/Bfly & Forward Swap Matrix

  • Added “Refunding” event to Seasonality analysis, also available in Forward Swap Matrix

  • Added CMT BD dRVS set of columns

  • Forward Bucket Risk: Added support for KRW, SGD, HKD, CNY, INR, THB, TWD, & MYR swaps

  • Added support for USD SOFR in XCCY analysis

  • Added an option to save the repo

Minor Fixes & Enhancements:

Market View

  • [Basis Swap - JPY] Switched LSCC – LCH to use OIS ticker (JYJLO#)

  • [FX Curve] Cells will be highlighted blue if “Auto Build” is checked & yellow if “Auto Build” is unchecked


  • Added alerts for IVSPS YY dYY/IVSPS YY stdev_d & IVSPS YY 5BD dYY/IVSPS YY Stdev_d columns & IVSPS Z, IVSPE YY/Z, IVSPO YY/Z & IVSP YY/Z

  • Added the MTGEFNCI and MTGEFNCL

Historical Viewer: Added support for MTGEFNCI and IRR – SOFR and Finland’s Bond CMT -Esprd Z


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