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RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/11/21

Key Features in this Release:

  • Added SPX options for macro traders interested in equity/vol exposure. Traders can monitor and analyze opportunities in the newly added Option Monitor sheet

  • Added support for USD SSA FRN bonds

  • Added support for comparison between MM Bond’s SOFR ASW Z and the Agency FRN’s SOFR ASW Z by adding the "MM Bullet SOSprd Z", "SOSprd Z Diff", "dSOSprd Z Diff", "SOSprd Z Diff Rich-Chp", "SOSprd Z Diff ZS" columns

  • Added the ability to filter the sheet by Index, such as SOFR

  • Added the Discount Margin change on day and heatmap, also available in the USD FRN and the IT FRN CCTS

  • In the RV Analysis, added the ability to save, load, & reset filters

  • Added support for “DDMMMYY” format in all date columns, such as “20Mar22”

  • Added the <double click> historical data popup function to “Corr” column under the Swaption tab also <right click> to see the historical data used for the Correlation

  • In the Swap tab, added the ability to upload customized cashflows from both fixed and floating legs, including the sample CSV file

Minor Fixes & Enhancements:

Bond Roll –TIPS – T-Bill

  • For New Position Import, added ability to upload UST, TIPS, & T-BILLS all at once

SSA + Covered: Added Issue Date filter


  • Added “3M OISprd dZ” and “3M ASW dZ” columns which show the change between the live and three months prior to the live date

  • Added support for “EDX1”

Forward Swap Matrix: Added support for FedFund futures, such as “FF1” and “FFN1”

Forward Forward: Added support up to five legs in a strategy; such as “(2/5/10)/((2x1)/(4x1))

Callable Grid:

  • Added “X” column to the Customized Callable Bond table to allow traders to select which bond to price, and also added “Pricing Status” column

  • Added 1BD and 2BD to the “Issue Date” dropdown

USD Agency – CCY SSA: Under the “Comp Sprd”, added the flag to enable generic time series for Treasuries

Market View

  • [WITII] Added the ability to model CAD WI TIPS bond

  • [Basis Swap] In BRL Offshore tab, live pricing will be turned on by default. When “useBBGLive” is turned off, close prices will be shown in the “Sprd” column

  • [Basis Swap] Added the “FWD” sub-tabs to the IMM tabs

Table Management: Added ability to add bolder border to differentiate columns


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