RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/17/22

Key Features in this Release:

Forward Swap Matrix

• Added seasonality matrix function to show the monthly average for every month over a year, additionally the monthly average over set amount of years

Fed Fund Simulation

• In Inferred OIS/SOFR/ESTR tabs, added ability to enter actual rates for time periods instead of rate hikes

Future CTD

• Added ability to manually enter standard deviations for PCA Slope & PCA Parallel

Future NetBasis Forecast

• Added ability to show SOFR/OIS/ASW swap z spread columns

USD Bond

• Added option to show live graphs as bar chart

• [USD] Added ability to use SOFR white pack for 2+ hedge

Market View - WI

• Added support for JPY WI Bonds

CCY Sprd/Bfly

• Added ability to automatically create new strategy line item from residual graphs

Minor Fixes & Enhancements:

CCY Bond: Added “^” to Custom Columns to be able to use exponents in the custom column formulas

Future CTD:

• Added historical data for “Yld”, “ASW Z”, “IVSPS Z”, “OISprd Z” columns

• Renamed "Dlv Prob%" -> "PCA Dlv Prob%", "Dlv Scen Std" -> "PCA Dlv Scen Std", & "Dlv Scen bp" -> "PCA Dlv Scen bp"

Previous week's release - Future CTD, Market View - CCY Config, Swap Box, Custom Basis Swap & Basis Swap, CCY Bond, and Calendar ASW enhancements