RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/4/21



Key Features in this Release:


Callable Grid

  • Allow Traders to configure Standard and Extended tab Terms

  • Added “Next Call Date”, “Call Prob %”, “Expected Maturity” in the Customized Callable Bond table

  • Added “Next Call Date” and “Expected Maturity” in the tooltip in the lower panel grids

Callable Bond

  • Added Key Rate Risk

USD Agency FRN

  • Added Multi- Sprd/Bfly graphing options to the “SOFR ASW YY” and “SOFR ASW Z” columns

Bond Roll - SSA + Covered

  • [EUR] Enhanced exporting “Comp Sprd” strategies to Swap Box sheet so RiskVal sends four legged strategies instead of only two

  • Added option to hide bonds that are maturing in the upcoming months

  • Added option to skip calculating the Carry and Roll for bonds maturing in the upcoming months


Minor Fixes & Enhancements:


Trade Blotter: Added support for SOFR OTC Options, Caps and Floors

Market View:

  • [IRVol] – Renamed “%AnnualRatio” to “%Ratio”

  • [IRVol] – Added “% Ratio Z-Score” tab

Preferences:

  • Worksheet Management: under “Sheet Order&Color” added option to delete all selected worksheets

  • Global Preferences: Added “Show Crosshair” dropdown under the “Graph Settings”. By default, RiskVal shows crosshair in the popup graphs

Callable Grid: Set “Standard-SOFR” and “Extended-SOFR” as first two tabs

Custom Bond: [USD] Added “SOFR Sprd YY”, “SOFR Sprd dYY”, “SOFR Sprd Z” columns

Sprd/Bfly:

  • Added support for “SDDMMMYY” format such as "S15Sep21", "S15Aug21", etc. aside from current “SMMDDYYYY” format

  • Updated USD Agency bonds to use yield rolldown; consistent with USD Agency sheet

Calendar ASW:

  • Renamed “Fwd” to “FWD D2”

  • Made “D1/D2 ASW Z” fields fixed, and added more columns to show “D1/D2 ASW (YY/T/Z)”

  • Made “D1/D2 OISprd Z” fixed and added more columns to show D1/D2 OISprd (YY/Z)


Previous week's release - [New} USD Agnecy FRN, USD Agency, Callable Trade, SOFR v BSBy3M Basis Swap, Bond Roll - CCY SSA - AUD Semi and Market View - WI SSA enhancements