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


Key Features in this Release:


CCY Bond

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


Sprd/Bfly

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

  • Added CMT BD dRVS set of columns


Trade Blotter

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


CAD TBill

  • Added support for USD SOFR in XCCY analysis


Future NB Forecast

  • 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

Sprd/Bfly:

  • 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




Previous week's release - CYY Bond, Trade Blotter, Sprd/Bfly, New Global IVSP, Fut Cal Roll, and Market View - Curves enhancements