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

Key Features in this Release:

  • USD Bond & Sprd/Bfly: Support the 20-year bond such that traders can calculate the implied lock px using CT20, leverage the OTR Summary, and enter ‘20’ for the CT20 in the Sprd/Bfly

  • USD Trsy 2+RVS: Include CT20 as one of the key benchmarks

  • Market View – WI: create the WI using the CT20 as the benchmark

  • Future CTD & Future Net Basis Forecast: Analyze the delivery probability of USM0, which now includes the new 20-year

  • Added Key Risk (cashflow) weighting as an option under the Weight column for butterfly strategies containing a combination of bond and bond future strategies

  • Added support for EONIA, SONIA, and ccy GC repo rates

  • Added the ability to create spread, butterfly, and multi-graphs in the lower panel tables

  • Added support for IMM dated CAD OIS vs USD FF XCCY basis swap

  • Added support for Brazil offshore basis (as BSOFFSHORE-#)

  • Added additional columns for asset swap and invoice spread for YY, T, and Z and removed need to set in Global Preferences

Minor Fixes & Enhancements:

USD Bond: Added OTR and SP options to the “Standard Tabs”

CCY Bond: Updated logic for spread graphs such that it will be calculated as Fwd – Spot when selecting a combination of the two time series

Future Calendar Roll:

  • Added back the Cal Roll for CAD & JPY

  • Added the ability to hide the lower panel graph from the “Preferences” dropdown


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