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Forward Swap Matrix Enhancement | Weekly Release 2/24/2023

Traders can access RV Analysis by clicking “Analysis” in the toolbar, then selecting “RV Analysis”.


In this week’s release, traders can now set the “Top Limit”, which sets the number of strategies generated for both steeping & flattening, long & short, to 20 strategies.

Traders can apply additional filters and click “Generate Strategies”. RiskVal will generate the top flattening/steepening spread, and long/short butterfly strategies.

Note: (1) If the full 20 strategies are not found, the rows will be empty. (2) Generating a large set of strategies may take additional time, in this case, click “continue” on the warning pop up.


RV Analysis Refresher

RiskVal’s RV Analysis provides a systematic approach to discovering top performing Relative Value spread and butterfly strategies. Traders can fine-tune any combination of parameters to sort flattening and steepening strategies based on Expected Return, Mean Reversion Return, as well as Carry and Rolldown, for example. Additional filters include “Measure” (i.e. Yield, Asset Swap Spread, OIS Spread), “Maturity Sector”, “Coupon Range”, “Weighting method, “Tolerance”, etc.

Traders can also directly send generated strategies to Trade Blotter, Swap Box, & Sprd/Bfly for further monitoring.

To send a strategy/strategies to another sheet:

1- <Right click> and select "To Trade Blotter”/ “Swap Box”/ “Sprd/Bfly”

2- Select the tab to send it to

3- Trades will show up in the Trade Blotter / Swap Box/ Sprd/Bfly under the selected tab


If you would like additional information, please contact our Analyst team and they can provide additional documentation.

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