Bond Roll Enhancements | Weekly Release 11/1/19

Enhancement #1

Built for Relative Value traders, RiskVal’s *RV Analysis* generates the best/worst strategies based on Z-Score or Expected Return to quickly identify potential trading strategies across any part(s) of the treasury curve


Strategies can be generated based on any filters to focus on any specific part(s) of the treasury curve, and the selected Relative Value Measure, in the example below, see the analysis based on “ASW Z”.

Traders can flip between the Z-Score or Expected Return tabs to generate the best and worst spread and butterfly strategies based on either measure.


Traders can launch RV Analysis under the Bond Roll’s “Analysis” menu. Then, use the filters at the top of the window to examine a specific part of the treasury curve.

Enhancement #2

Enhanced shared column layout such that RiskVal will prompt traders with a popup window to select and apply their desired view across all tabs of the current sheet. This feature is also available in the Sprd/Bfly

After checking on “All Tabs Share Same View” in the “Preferences” menu, RiskVal will provide traders with the option to select and apply their new view. By clicking “OK”, this will apply the new chosen view across ALL tabs in the current sheet.

Enhancement #3

In EUR, give traders more flexibility to define the pricing source for each country, which will update all real-time EGB prices across of RiskVal


Traders can click “Preferences” and “Edit PCS” to define the 1st, 2nd, and 3rd pricing sources for each country. Alternatively, traders can set the “Default” PCS option which will apply to all countries.


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