RiskVal Fixed Income (RVFI) Weekly Enhancements - 11/1/19

Key Features in this Release:


WI Enhancement

  • Added “SP Curve Roll” roll method for traders to set the 30-year WI Bond’s WI Roll as the “SP Derived WI Roll”

S + SP Enhancement

  • Added "Strip B/E ASW Z" (Z-spread on the whole bond calculated with Strip B/E Price) and "Strip B/E SP ASW Z" (Z-spread on the SP bond with Strip B/E SP price)

Bond Roll Enhancements

  • 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

  • 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

  • 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

CCY Sprd/Bfly Enhancement

  • Added a new method for traders to conduct a regression analysis, allowing traders to choose from three options: whole level, daily change, or the whole level with beta based on the daily change

Swap Box Enhancement

  • Enhanced Bond/Bond Future trades to default the CTD Bond’s repo rate with the CTD Implied Repo Rate

Trade Blotter Enhancements


The Trade Blotter allows traders to enter several security types to view their aggregated risk and pre-trade P&L. The framework was rigid, but in this release, we have added a few enhancements to make it a bit more flexible and customizable.

  • Added the ability to have re-order the trade types

  • With the click of two buttons clear out the sub-tab

  • In each trade type section, display the number of positions selected/total number of positions in the section

CPI Swap Enhancements

  • Enhanced EUR + FRF CPI Swap curves to use 24 monthly CPI

Bug Fixes & Minor Enhancements:


Market Monitor: Reverted to original column layout

Calendar ASW: Allow traders to transform their trading strategy into an email with a new "Send as Email" feature. Traders can specify the email recipient(s) & receiver(s), to send a snapshot of their Calendar Trade details as well as the spread graph of the 3-month history.

Sprd&Bfly:

  • In USD, show the auction dates when plotting Swap Spread strategies

  • Enhanced the Seasonality function by adding “Middle of Month” as an Eco Calendar Event option

  • Default # decimal places in the “Sprd” column; single strategies will show 3 decimals places, and Sprd or Fly strategies will show 1 decimal place

Market View – Libor & OIS Curves: Automatically enable auto-build for the corresponding CCY, which gets triggered upon opening the CCY TIPS, Sprd/Bfly, and Bond Roll sheets

TIPS: For USD & GBP, enhanced the CMTRY (CMT Real Yield) curve to use free float * dv01 as the new weight method. In addition, the USD CMTRY model now uses Quadratic Model, instead of the previously used Nelson Siegel Model

Bond Roll: Added option to choose a specific tab when sending a strategy from the sheet to the Sprd/Bfly monitor using the “to sprd/bfly” function. Also in TIPS

TBill: In “Preferences”, added option to autoload WI + Reissued Bills in the sheet, which traders now have the option to exclude from the “Graph” sub-menu

Forward Swap Matrix: Allow traders to set alerts on the “dsprd/stdev”

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RiskVal Financial Solutions, LLC, is a global supplier of SaaS for trading strategies, risk management, and portfolio management. RiskVal provides software such as analytics and trading systems in fixed-income, credit derivative, equity, foreign exchange, and derivative securities.

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