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CCY Bond Enhancements | Weekly Release 07/14/2023

Enhancement #1: [USD/EUR/GBP] Added 7 Exchange for Physical columns


The new set of EFP columns found in USD/EUR/GBP bond roll sheets allows traders to quickly price any bond off its relationship to the CTD and the futures’ basis. These columns can be added by going to “Table” – “Manage Columns”.

Steps to use:

1) Traders can set the desired CTD bond by entering any alias in the “EFP Alias” column, along with the associated future contract in the “EFP BM” column on the same row.

2) In the “EFP BM” column, traders can then set each bond to be benchmarked to a created alias.

3) Once the EFP BMs are set to the desired EFP Alias, the “EFP Box” level will show the yield spread between each bond and the CTD bond defined by EFP Alias/BM. EFP Lock Px” and “EFP Lock Yld” will then display the calculated price and yield of each bond, assuming the EFP Box yield spread relationship to the defined CTD.

4) Traders can override the Future Px and Gross Basis in the Future and CTD rows to back into the CTD price, and then calculate the implied EFP Lock Px/Yld of each bond benchmarked to this CTD by adding the EFP Box level to the calculated CTD yield

Note: Overrides in the EFP set of columns are self-contained, so they will not impact the rest of RVFI.


5) Traders can also override the EFP Lock Px/Yld to back into the EFP Box, or override the EFP Box to back into the EFP Lock Px/Yld.


Enhancement #2: [CAD] Added Comp Trsy set of columns

Comp Treasury set of columns have been added to the CAD Bond Sheet. Traders can add these columns to their view from “Table” – “Manage Columns”.

Traders can double click in the “Comp Trsy” column to manually set the bond. After choosing USD/CAD from the Currency dropdown, select the treasury & press “Ok” to apply.

Enhancement #3: [RV Analysis] Added Modified Duration as a weight setting

RiskVal added Modified Duration as a weighting option under the RV Analysis. From the “Weight” dropdown, traders can select “Modified Duration” and then hit “Generate Strategies” to populate top spread & bfly strategies. Based on filters applied in the upper part of the popup – “Bond Settings” & “Strategy Settings”, RiskVal will populate top performing flattening/steepening spread & long/short butterfly strategies.

How to calculate Modified Duration Weight?

For strategies containing bonds only.


Bond1/Bond2:

Weight1 = -1 * bond2 modified duration / bond1 modified duration

Weight2 = 1


Bond1/Bond2/Bond3:

Weight1 = -1 * (bond3 MD – bond2 MD) / (bond3 MD – bond1 MD)

Weight2 = 1

Weight3 = -1 * (bond2 MD – bond1 MD) / (bond3 MD – bond1 MD)

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