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Bond Roll Enhancements | Weekly Release 9/18/20

Enhancement #1

[EUR] As the EU has announced plans to sell $267 billion Green Bonds as part of its pandemic recovery fund, RiskVal has integrated these bonds into the EUR Bond & EUR Sprd/Bfly sheets


Enhancement #2

Added daily change of FAWZ (FASW dZ) column; also added

FASW Z as an option to the Live Graph drop-down

Enhanced CCY Bond Roll Analysis by adding the column that shows the daily change of FAWZ (FASW dZ). This column can be added from Table → Manage Columns drop-down. To populate the column, enter the forward date at the top of the sheet, “Fwd Dt”. RiskVal will populate FASWZ and FASW dZ values. Traders can find FASW Z in the Live Graph drop-down, which will plot the FASW Z (left graph), and FASW dZ (right graph) values.


Enhancement #3

[EUR] Introduced new cross-country filter in the XCountry Sprd RV Analysis

To give traders better XCountry Sprd RV Analysis, we added a new cross-currency filter that allows traders to build best spreads between those two countries. After selecting two countries from the drop-down list, RiskVal generates the best Short Country1, Long Country 2 and Long Country 1, Short Country2 spread strategies.

Additionally, traders can send batch mode of strategies to the Trade Blotter, Swap Box and Sprd/Bfly. To select multiple strategies, <Hold Ctrl> and select strategies. Trader can <Right Click> and select the designated sheet where he/she wants to see strategies.


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