RiskVal Fixed Income (RVFI) Weekly Enhancements - 7/31/20



Key Features in this Release:


Trade Blotter

  • In further preparation of the SOFR transition, traders can price SOFR swaps using LCH clearinghouse which will default to use OIS discounting, or CME clearinghouse which will default to use SOFR discounting

  • Enhanced Future and Listed Option trade types to support the 3-year future contract used for the “Future Equivalent” field

SOFR

  • Added the SOFR YY and change on day columns in both the USD Sprd/Bfly and the USD Bond sheets

  • Added IVSP SOFR YY for the front and back contract, as well as the difference between the two in the Future Calendar Roll window

Sprd/Bfly

  • Added the “IRR OIS” column with the ability to set alerts which can help traders track the spread between the Implied Repo Rate and OIS rate

SSA

  • Added a column to show the Modified Duration (“M Dur”) column

  • [EUR] Enhanced the Comp Trsy field with the option to apply the country selection across the whole tab



Minor Fixes & Enhancements:

USD Agency: Added support for TAP agency bonds, and readjusted the issue size from 2 billion to 1 billion

EUR Bond & EUR Sprd/Bfly: Added CMT RVS against the Greece CMT for GR government bonds

Forward Swap Matrix:

  • Support the OIS IMM in the new format as IMMOIS[HMUZ]#x#

  • Added historical graph to the Residual column

TIPS: Added ASW YY to the Graph dropdown & Curve Analysis

G7 Sprd Table: Added historical data for the ASW P for 10Y TIPS bond



Previous week's release - ESTR Curve, SOFR Curve, [New] G7 Spread, Sprd/Bfly and Trade Blotter enhancements
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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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