Sprd/Bfly Enhancements | Weekly Release 3/26/21

Enhancement #1


[USD] Extended CIX functionality to include SOFR hedge


Allow traders to create CIX strings for strategies that include SOFR hedge.

To access the string, traders can <right click> on the strategy from the “Sprd Bfly” column, then click on the “CIX” flag, and select “PxSprd (mid/last) with SOFR” or “PXSprd (mid/last) with SOFR with Fut Roll”.


The string will automatically be copied, and ready to be pasted.

Note: PXSprd with SOFR is only available in the USD Sprd/Bfly sheet

For Bond/Bond strategies, RiskVal calculates CIX price spread with SOFR as:

For bond futures, the CIX calculation is similar to the CIX calculation of bonds except that the dv01 of bond futures can be spot or forward dv01.

Enhancement #2


[EUR]Added support for ITRX and XOVER with historical data and the 1-day ESTR rate as “ESTRON”


Traders can enter the Markit iTraxx Europe Index by entering “ITRX” in the Sprd/Bfly sheet. The “ITRX” code is equivalent to “ITRX EUR CDSI GEN 5Y Corp” security.


RiskVal also supports the Markit iTraxx Europe Crossover Index. The “XOVER” code is equivalent to “ITRX XOVER CDSI GEN 5Y Corp” security.

Traders can also enter one-day EUR ESTR rate as “ESTRON” in the Sprd/Bfly and Forward Swap Matrix sheets.