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RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/2/21

Key Features in this Release:

Fed Fund Simulator

  • Added a “FOMC Rich-Cheap” Analysis for the FOMC meeting dates

Trade Blotter

  • For Bucket Risk, added an option to bump the curve, up 1bp rather than down 1bp as per default, in addition, there is the down-up average

  • [BRL] When using EM Risk, RiskVal adjusts to On/Shore FX spread risk in term of rate spread bump

Forward Swap Matrix

  • Added support for SOFR futures such as “SFR1”, “SFRU1”, “SERU1”

  • Allow traders to enter future IVSP (YY/T/Z) and IVSPO (YY/T/Z) as benchmarks when doing a regression analysis, as well as in the table

Market View [Basis Swap] – Custom Basis

  • Added support for JPYOIS vs JPY3s Basis curve

  • Added "dChg Background Color" for the "CoD" column under the “Preferences” menu

Minor Fixes & Enhancements:

Sprd/Bfly: Added support for Bitcoin “XBTUSD”

Trade Blotter: Updated the EM Risk for Brazil swap; USDBRL FX fwd and USDBRL option

USD Agency FRN : Added "MM Bullet Yld", "MM Bullet Yld Sprd”, and "MM Bullet Yld dSprd" columns to show the yield of the bullet, yield spread and change on day on the yield spread

[New] AUD ED$ Monitor: Added AUD ED$ Monitor

Historical Viewer: Added support for “Carry Adj RYld” and “Carry Adj BEI” plotting options

Market View:

  • Curves: [USD] Added a monthly fixing “CPISW”

  • BaisSwap: When traders select GBP SONIA vs USD FF, RiskVal switches to use FX curve to derive the cross-currency basis swap spread


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