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RiskVal Fixed Income (RVFI) Weekly Enhancements - 1/3/20

Key Features in this Release:

  • Enhanced RV Analysis which now organizes a subset of long vs. short relative value trading strategies based on the optimal Total Return, calculated as the sum of Expected Return and Carry + Rolldown

  • Redesigned the backup and restore workflow and layout

  • Enhanced the ‘Convert to Cash’ function for strategies containing Bond Futures, such that traders can choose which leg(s) of their strategy to convert to the CTD Bond

  • Added support for cross country CPI Swaps across G7 tabs

Bug Fixes & Minor Enhancements:

TBill: Added XCCY ASW column and calculation function where traders can select the corresponding Currency + Index

TIPS: Added a shortcut tool for traders to add standard tabs, by either Country in EUR TIPS, and be either 3-month and 8-month Series in GBP TIPS

Trade Blotter:

  • Preferences -> Future selection is now linked across Future and Listed Option Trade Types for consistent Future equiv in the Summary panel

  • Enhanced the autosave function such that all selected trades in the ‘x’ column will get remembered by default. Applies to all trade types, including CMS Sprd Option, CMS Sprd, etc

AUD Bond: Support Sprd and Bfly graphs from the 6M ASW (YY, T, Z) column. In addition, the ‘graph’ dropdown indicates 6M ASW to differentiate from 3M ASW relative value measures


  • Added support for FRNs in USD Sprd/Bfly, which is also supported in the Swap Box

  • Support multi-graph function on ASW Z Z-Score


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