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RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/21/21

Key Features in this Release:

  • Brazil On/Offshore: In this week’s release, we have added the BRL On/Offshore basis curve to allow traders to price the off shore by setting a spread to the onshore curve. Traders can then use these spreads to price swaps in the Trade Blotter.

  • [Seasonality Analysis] Under the “Eco Event” anchor, added a second "+/-" drop-down to set the end of each time series

  • Added daily and weekly change to the historical graphs with multiple time series

  • Added the RV Analysis

  • Added the OISprd Z heatmap and Z-score

  • Enhanced color management for imported “Positions”, so traders can plot them in the lower panel graph, also available for the Bond Roll, TBill, and TIPs sheets

  • Added option to plot forward and tail terms with 1-year increment in between

Minor Fixes & Enhancements:

Bond Roll:

  • Added “Mid Px Yld” column to show the Mid-Price (Yld) between the Bid and Ask Price

  • [JPY] Added support for AUD, GBP, and CAD under the “XCCY ASW”

TIPS: Added preference to calculate the BEI Carry as TIPS Carry - Treasury Carry, independently from checking/unchecking "BEI = NYld - R Yld *100" box

Market View

  • WI: change the WI P bond ticker for WIT20 from UWI SP to UWI SPX, if the underlying benchmark is SPX. Traders can find it also under the USD S+SP sheet

  • WI SSA: Added “WI FASW YY” column to allow traders to back out the “Yld”; also added “Spread Method” column

Forward Swap Matrix: Added "3M C+R", "3M C", "3M R" historical data for swap spread strategies (SS#); also added “3M C+R ZS” and “3M C+R “Rich/Cheap” columns


  • Added “Multi Graph” option to “GB1”, “GB2”, “GB3” and “GB4” columns

  • Added support for the USD Urban CPI level “CPURNSA”

Swap Monitor: Added option to plot multi cross-currency graphs across the same row

Basis Swap:

  • Added support for “IMM Basis” under the RV Analysis; also available in the Custom Basis sheet, and under the Market View

  • Added the SOFR vs BSBY3M curve


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