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RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/26/20

Key Features in this Release:

  • For cross currency spread and butterfly strategies, added the FX adjusted Px Ratio and CIX string

  • Enhanced the CIX string to support a combination of Fed Futures vs Eurodollar strategies

  • Added the ability to map specific Fed Fund futures to their generic counterparts

  • Added IVSP SOFR YY, IVSP SOFR dYY, CTD SOFR YY, CTD SOFR dYY, and FSOFR columns for invoice spread and CTD SOFR

  • [AUD] Enhanced BM CT column to support Futures as the spread benchmark

  • [GBP] Added the ability to enter an alias name directly into the BM CT column and added BM CT alias column to indicate the benchmark bond

  • Enhanced process of sending strategies from Sprd/Bfly and Forward Swap Matrix over by filling legend automatically

  • Added labels to y-axis for graphs plotted with one series and updated legend to reflect this

  • Added “Delete Selected Tabs” function to allow users to delete multiple tabs in one batch

Minor Fixes & Enhancements:

USD Sprd/Bfly: Added support for PCA weighting for CT20


  • Enhanced the SA IOTA and OTR IOTA calculations to use SA BEI instead of BEI

  • Added ability to exclude bonds in the TIPS sheet (like in USD Bond)

Forward Swap Matrix: Enable traders to flip fwd/tail axes without restart

CT Sprd/Bfly: Renamed column headers to make consistent with other parts of RVFI

Trade Blotter: Enhanced the XCCY Basis Risk to support FX Forward and FX Option trade types


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