RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/6/22


Key Features in this Release:


Market View – Basis Swap

  • [KRW] Added support for “KRW3S vs SOFR”

  • [HKD] Added support for “HKD3s vs SOFR”


Sprd/Bfly

  • [USD] Added support for “CIX” function for CPI spot swaps


CCY Bond

  • [JPY] Added ability to choose Clearing House

  • [USD] Added the SER Ted and SFR Ted set of columns


JPY TIPS

  • Added support for "3M C", "3M R", "3M C+R", "BEI C", and "Jun BEI C", "JUL BEI C", "AUG BEI C" columns


USD TBill

  • Added a column to show the carry and roll PnL to maturity along with repo



Minor Fixes & Enhancements:


Sprd/Bfly:

  • Added longer historical data for “IG” and “HY”

  • [Butterfly Generator] Reverted back to sort strategies by short distance

Market View – IRVOL

  • Made Black Vol; Normal Vol; OTM Strike; Swaption Roll (Straddle); Future Option Vol all as separate subtabs under IRVol

  • [RV Analysis] Renamed strategy type “Fwd” as “Expiry”

  • Kept the headers of the Actual Skew and Skew Live tables fixed when scrolling down

[EUR] Market View - OIS Curve: Removed the 35 yr point

TBA Analysis: Applied the roll date setting under “TBA Analysis – Preferences – Use FN30 roll flags” to all TBAs across RiskVal

Swap CoD: Added the option to choose either Libor, SOFR/ESTR, or OIS

IT FRN: Adjusted the “ASW Z Diff” column to show the difference between BTPS ASW Z and DM with Curve

Forward Swap Matrix: Added support for SOFR Packs, Bundles, and ability to specify starting month (already in the sprd/bfly)

Historical Viewer: Added support for Credit Indices [EUR] ITRX, XOVER, SNRFIN, SUBFIN



Previous week's release - Future CTD, Forward Swap Matrix, Sprd/Bfly, Historical Viewer, and Global Preferences enhancements