RiskVal Fixed Income (RVFI) Weekly Enhancements - 3/6/20


Key Features in this Release:


Bond Roll

  • Added a second set of CT Sprd & Implied Lock Px columns for traders to compare the swap box to a secondary CT

  • Added a Central Bank holding column (in Billions)

  • Introduced an NOK Bond sheet, where traders can monitor Norwegian bonds and leverage the full suite of relative value measures

Basis Swap

  • Added CAD OIS vs USD FF derived basis, which combines the impact of the outright FX Curve between USD and CAD

Euro Govt Bond

  • Added 2Y, 5Y, 10Y, 30Y tabs for more focused EGB spread analysis

Sprd/Bfly

  • Created short-code for system generated WIs such as WIT3 and WIT10

  • Added historical on standard deviation based on whole level & daily changes


Minor Fixes & Enhancements:


Trade Blotter: For Swaption trade types, added a new column called “$Delta Blended” to show the custom delta as 50% $SABR Delta + 50% $Normal Delta

Historical Viewer

  • For Bond Futures (including Generic), added OIS time series to show the OIS rate to the corresponding contract’s delivery date

  • Added IRR vs OIS time series for issue specific bond future contracts

Bond Roll

  • [USD] Added history on T-Bill Money Market Yld “TB MMY” column

  • Added “WTD” as an option in the Diff and Hist dropdown graph options

  • Enhanced Gap Analysis chart to show the bond description to clarify which ticker is plotted when there are multiple bonds of similar maturity

TIPS: [EUR] Added columns for season adjusted IOTA and IOTA based on one day change, five day and monthly changes


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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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