Key Features in this Release:
Given LIBOR rates will cease to be published after June 30th, 2023, RiskVal has implemented a "LIBOR Cessation” curve construction feature, which will allow traders to more accurately price and analyze securities dependent on LIBOR. For more details, please see the document attached.
Added support for TBA
Added support for SOFR Invoice spread YY/Z for USD bond futures & ESTR Invoice spread YY/Z for EUR bond futures
Added support for XCCY SOFR basis such as SOFR vs JPY OIS, SOFR vs ESTR and SOFR vs AUD OIS
[AUD] Added “6s Roll”, “6s Carry +Roll” tabs in the lower panel
Added EUSSACMTtickers
Enhanced Global Rates Monitor to allow traders customize the window further to meet their trading needs
Added option to monitor Callable bonds
Enhanced the RV Analysis
Minor Fixes & Enhancements:
Sprd/Bfly: Added historical data series for “C+R/Stdev_d" column
Bond Roll:[NZD] Added “XCCY ASW” set of columns
Market View:
[Curves – CPI Swap]: RiskVal fits 6 monthly CPI fixings and also added 1Y Zero Coupon CPI Swap by default
[Curves - SGD] Added support for SGD OIS SORA curve
USD C+R: Added “SOFR” to the Curve Switch dropdown
CCY SSA/USD Agency:RiskVal honors “Global Preferences” – “Flip ASW” and “Flip ASW C+R” flags
Forward Swap Matrix: Added historical data for BRL swaps with Futures as dates