RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/18/21


Key Features in this Release:


Sprd/Bfly

  • Added the option to enable recalculating the “Modified Duration” upon restart

  • Added “Refresh” option to allow traders to recalculate all selected weights

  • Added “Key Rate Risk” weighting option for S+SP bonds

Forward Swap Matrix

  • Added support for “FDTR”, “GCFRTSY”, “IRRBIOER”, “IRRBIORR”, “FDTR”, “FDTRFTRL”, “DISCPRIM”, “TOMOTCSO”, “DCPB090Y” indexes and “BSSONIAFF-TN”


TIPS

  • Added “BM CT” and “CT Sprd” columns to set the spread of the treasury benchmark to the TIPS bond

  • Added “Multi Graph” option to “BEI”, “IOTA”, “SA IOTA” columns in the same row

  • Added an option to add/remove OTR highlight

USD Agency FRN

  • Added “Sort Ticker - Maturity Asc” and “Sort Ticker - Maturity Desc” under the “Sort” menu, also available in the USD SSA FRN

Fed Fund Simulation

  • Added support for CAD


CCY Bond

  • Under the RV Analysis – “Must Include Bond” filter, added “All OTRs” button to select all On-The-Run bonds



Minor Fixes & Enhancements:


Market View

  • [Basis Swap] Added “PCS” column under the PLN tab

Market View

  • Enhanced curve exporting tool, to allow traders to periodically export a flat CSV file with daily discounting factors


Previous week's release - New Option Monitor, USD SSA FRN, USD Agency FRN, Bond, and Trade Blotter enhancements