Sprd/Bfly Enhancements | Weekly Release 5/14/21


Enhancement #1


Enhanced “IVSP YY” column to show the spread of swap spread to the future’s ASW YY Invoice spread


Enhanced Sprd/Bfly sheet to populate “IVSP YY” and “IVSP dYY” columns for swap spread and future strategies. The swap spread differs from the ASW in that the Swap Spread is the Swap Rate – the On-the-Run bond, while the ASW is the On-the-Run bond – the matched maturity swap rate.

Under “Preferences” - “Sprd of Inv Sprd" – traders have the option to select "Repo to furthest date” or “Respective Delivery date". Once they make their selections, they would need to restart RiskVal.

Enhancement #2


Enhanced the format for entering monthly tenors to use “1M”, “2M”, “3M”, “4M” … “12M”


Traders can enter CMT and forward CMT strategies using the “CMT #M” format. Previously we supported only decimal format. Traders can specify two-letter country codes for EUR and X-Mkt CMT rates.


This enhancement is also available in the Forward Swap Matrix sheet.

Enhancement #3


[EUR] Added support for alias EURIB1, EURIB3, EURIB6, EURIB12 for LIB1M, LIB3M, LIB6M, LIB12M respectively

Traders can enter the “EURIB#” format in the EUR Sprd/Bfly sheet. We still support the old format “LIB#M”. The same enhancement is available in the Forward Swap Matrix sheet.