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RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/8/20

Key Features in this Release:

  • In preparation of the relaunch on July 13, 2020, RiskVal has added back the 3Y UST future contract with updated contract specs in accordance with CME. Since the 3Y future is not yet traded, traderscan get ahead of the curveand analyze the deliverable basket in RiskVal’s Future CTD Scenario & Future Net Basis Forecast sheets

  • Added the WI User Guide which is now accessible from the Help menu. This document serves as a complete tutorial on modeling up the WI, which is particularly important with the upcoming 3, 10, 20, and 30-year auctions this month

  • Updated the WI Strip column names in the default-SP view

  • [New] Aggregator Tab: the alerts will be reorganized into a hierarchy starting with the sheet – strategy – alerts for each strategy. Traders can configure alert limits to set a limit for how many alerts to display

  • Allow traders to enable/disable alerts with an added ‘mute’ function in the Aggregator & Blotter tabs

  • Added a PCS column to allow traders to see the pricing source being used for each security (also available in CCY SSA sheets)

  • [EUR] Expanded the generic tickers for Germany, which now includes 3Y, 4Y, 7Y, and 15Y CT

  • Added Base CPI value column

Minor Fixes & Enhancements:

Launcher: Improved the login and initialization popup with a progress bar and status updates when starting up RiskVal

Forward Swap Matrix:

  • Added the ability to view and plot tail gap for CMT and Swap-CPI strategies

  • Added support for IMM Sonia vs FF cross currency basis swap

  • Added IMM tabs for IDR, INR, and SGD

Market View – Basis Swap: Added PLN vs USD3M cross currency basis

CAD Prov & Covered: Updated column headers to be consistent with other CCY SSA & CCY Bond sheets


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