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RiskVal Fixed Income (RVFI) Weekly Enhancements - 8/13/21

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


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