SOFR Enhancements | Weekly Release 7/31/20

Given the increasing importance of SOFR, SOFR YY and IVSP SOFR YY columns (along with the corresponding change on day) are available in RiskVal to help traders gauge treasury bond and bond future performance against SOFR.

Enhancement #1


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

Traders can use the system view -> default to automatically add the SOFR YY and SOFR dYY columns to their view.

<Double click> the SOFR YY columns for historical.

Traders can create strategies in the Sprd Bfly and see the spread of spread on SOFR

  • USD Sprd/Bfly: Open the Sprd Bfly from RiskVal’s top menu, click “Window” – “, hover over “Sprd/Bfly”. From there select “CCY Sprd/Bfly”.

  • USD Bond: Open the USD Bond from RiskVal’s top menu, click “Window” – “Open Sheet/View”. From the pop-up window, select “Bond-Nominal Treasury” from the left and “USD Bond Roll Analysis” from the right. Click “Open”.

Enhancement#2


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

To complete the analysis on Futures, the SOFR Invoice Spread was added. See definitions below.

Change the system view to “Default” to automatically add the above columns to your view.

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