USD Agency Enhancements | Weekly Release 12/18/20

Enhancement #1

Added support for SOFR; added “SOFR”, “SOFR YY”, “SOFR dYY”, “SOFR ASW Z”, “SOFR ASW dZ”, “SOFR ASW Z rich/cheap heatmap”, “SOFR ASW Z ZS”, “FSOFR YY” and “FSOFR ASW Z” columns.

Enhanced USD Agency sheet with SOFR columns. RiskVal supports “SOFR”, “SOFR YY”, “SOFR dYY”, “SOFR ASW Z”, “SOFR ASW dZ”, “SOFR ASW Z rich/cheap heatmap”, and “SOFR ASW Z ZS” columns under the “Default” view.

To add the forward SOFR Columns, “FSOFR YY” and “FSOFR ASW Z”, traders should select “Table” - “Manage Columns”, and search for “FSOFR”. Columns will highlight yellow, and traders can move them to the right-hand side. Then click “Save All” to create a new user view, or just “Save” to add them to the current view.

Enhancement #2

Added TVA Corp bonds

We enhanced the USD Agency sheet with TVA Corporate bond tab. To create a “TVA” tab, click on “Tabs” -> “Create Standard Tab”, in the pop-up, select “TVA”. Finally, click “apply”. This will create a new tab with “TVA” selected from the “Ticker Chooser”. Or to add TVA bonds to the current view, traders can select “Ticker Chooser”, from the popup window select “TVA” and hit “Apply”.

System support exporting strategies to the Swap Box and Sprd/Bfly.

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