RiskVal Fixed Income (RVFI) Weekly Enhancements - 6/5/20



Key Features in this Release:


USD Agency

  • Allow traders to organize the sheet into tabs by ticker: FNMA, FHLB, FHLMC

  • Enable traders to send strategies directly to the USD Sprd/Bfly, which now supports Agency bonds

  • Added columns or 3M Repo, along with the complete set of RV columns (current level, daily change, rich/cheap heatmap, and z-score) for both Comparable Sprd and OISprd YY

Sprd/Bfly

  • Added Convexity Adjusted Carry + Rolldown

Bond Roll

  • Enable sending of single outright trades from Bond Roll to the Sprd/Bfly

Basis Swap

  • Enhanced the lower ‘Fwd’ and ‘IMM’ panels to allow traders to create spread, butterfly, and multiple graphs. From graph, traders can send basis &xccy basis swaps to the Fwd Swap Matrix. Additionally, updated the graphs to show the series name and title

  • Support BRL offshore in the [custom] basis swap monitors

TBA Analysis

  • With the current low rate environment, addedFN30 2.0%, FHL30 2.5%, FHL 3.0%, GN30 2.5%, GN30 3.0%, FN15 2.0%, FHL15 2.0% and FHL15 2.5%

Future Calendar Roll

  • Revamped window to include lower panel table and charts to increase readability and add more functionality

SSA + Covered

  • Merged USD SSA + Covered and EUR SSA + Covered sheets


Minor Fixes & Enhancements:

USD Trsy 2+ RVS:

  • Added field next to ‘closing date’ to indicate which date user selected from the dropdown

  • Added flag to Hide/Show CT20

S, SP, and S+SP: Enable trader to right-click in the ‘Fwd Repo’ column and set global repo for all tickers

Bond Roll & FRN: Replaced Set Alerts with the same layout and configuration settings under “Tools”. The alerting management is now consistent with Sprd/Bfly and Forward Swap Matrix

Trade Blotter: Added configuration to calculate Ted Hedge based on actual payment date with or without true ted spread. Before, we only calculated Ted Hedge based on unadjusted cash flow payment date

EUR TIPS: Enhanced the Floor Premium calculate for domestic Italian inflation bonds against ITCPIUNR, to have floor protection on all principal used to calculate the coupon payment, in addition to the final payment

Historical Viewer: Added Bond-CMT time series for all Eurozone country curves


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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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