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RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/3/20

Key Features in this Release:

Bond Roll

  • Added hedge columns for SOFR YY, OIS YY, and ASW YY to calculate the swap hedge ratio using Matched Maturity Swap structure

Trade Blotter

  • Added “Blotter Manager” function to allow traders to summarize all line items across all tabs

Conditional Curve

  • Adjusted the default weight to be -1/2/-1 (consistent with Fwd swap matrix)

  • Added rolldown (K) column which is calculated by multiplying the rolldown bps * swap dv01

  • Enable traders to configure the rolldown period. Previously, we defaulted to roll to expiry/spot

Conditional Trade

  • Updated weight column which increases cross-sheet usability between the Conditional Curve Monitor and the Conditional Trade Sheet by making it easier to send strategies over


  • Enhanced weighting column and options by adding a “Notional Neutral Weighted” method

  • Added an “IVSP SOFR YY” column

Minor Fixes & Enhancements:

Market View - Repo:

  • Renamed “Display Percentage” to “Display Absolute Level”

  • Added sort function to sort by maturity and country in special repo

CCY TIPS: Added historical data for RYld and Carry Adj RYld for non-USD currencies (also available in Sprd/Bfly)

Historical Viewer: Added USD 20y bond as option under Bond - OTR

AUD Bond: Fixed the labeling for 6s ASW Z in the graph dropdown

Previous week's release - Sprd/Bfly, [USD] IVSP Monitor, Bond Roll, Historical Viewer and Trade Blotter enhancements
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