RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/24/20



Key Features in this Release:


ESTR Curve

  • As the EUR IRS market is moving from OIS to ESTR discounting, RiskVal added an ESTR curve such that traders can now toggle between OIS or ESTR discounting with this week’s release

SOFR Curve

  • Added ability for traders to toggle between OIS or SOFR as the discounting curve

[New] G7 Spread

  • Consolidated the G7 bond, swap, and TIPS windows into one floating window, organized into tabs, which traders can use to monitor country spreads for key benchmarks and tenors

Sprd/Bfly

  • Updated the “Px Ratio Sign” preferences to have the options: Sprd, Bfly, and Rest (also in Swap Box)

  • Added new weighting method “Modified Duration Sync Fwd”

  • [EUR] Added the high & low coupon color preference option as an extension to the EUR Bond color management

  • [EUR] Added the generic 20yr French bond (also in CT window)

Trade Blotter

  • Added support for BRL rate Futures


Minor Fixes & Enhancements:

CCY Bond:

  • [EUR]: Replaced ECB Hold columns with Bln retained for market intervention

  • Added “Load Future Rows” option under “Preferences”

EUR-CPI Swap [Market View]: Added latest months print

Sprd/Bfly: Added ability to set alerts for “dSprd” column

Swap Box: Added “Fwd OIS YY” and “Fwd OIS Z” for condor strategies


Previous week's release - 3-Year Treasury Note Future, Trade Blotter, EUR Bond and Sprd/Bfly enhancements
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