RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/7/21



Key Features in this Release:


[New] SWAP Monitor

  • Added new SWAP Monitor to show different indices of all active countries


G7 Bond

  • Added OIS Sprd Z Spline curve and set of “OISprd Z RVS” columns

SSA + Covered

[NZD] Added New Zealand supra-sovereign bond sheet and support for ASIA, IADB, IBRD and IFC tickers


Sprd/Bfly

  • Added Simple Moving Average flag to the historical popup graph

  • Added the Net Basis Real Time chart


CB Rate Monitor

  • Added Curve Analysis and an option to plot plot live and cumulative steps for each Central Bank meeting date


Forward Curve Analysis:

  • Added the SOFR/ESTR for USD/EUR respectively, as well as the OTR Spline Curve plotting options

  • Under the “Tail Term” dropdown, added 3M and 6M options


Trade Blotter

  • Adjusted pricing BRL swaps by including the USDBRL FX Forward curve



Minor Fixes & Enhancements:


New Global IVSP: Under “Preference” – “Save Repo”, traders can load overwritten “Repo” on restart

Forward Swap Matrix: In the lower part, under the “Custom Swap”, we added two subtabs to show “Z-Score” and “C+R”

TBILL: Added history for “MMY TB-T” and added “MMY OIS heatmap” and “MMY OIS Z-Score” columns

Future NB Forecast: Auto save entered number of contracts in the “# of contracts” field

Bond: Once traders exclude bonds from the sheet, RiskVal saves changes so bonds do not appear after restart

Historical Viewer: Added "IVSP SOFR YY", "CTD SOFR YY" (for USD) and "IVSP ESTR YY", "CTD ESTR YY" (for EUR) under the "Fut-Bond" & "Fut-Bond-Generic" timeseries

Sprd/Bfly: Added flag to include/exclude live level from the historical graph and table

Market View: [Basis Swap] When traders enter BRL swap in the Trade Blotter sheet, RiskVal will automatically turn on “UseBBGLive” under the BRL OffShore tab

FX Fwd: Extended the USD BRL curve to include the 7-year and 10-year points

SSA + Covered: Added plotting option for the "Com Sprd ZS" and "3M C+R" to the "Graph" drop-down menu




Previous week's release - WI 30 and WI SP30, Trade Blotter, Forward Swap Mtrix, S+SP, Treasury Auction Viewer and CMT Monitor enhancements