USD Treasury RV Bloomberg Application User Manual

RiskVal Financial Solutions, LLC 131 West 33rd New York, NY 10001 (212) 631-0808 • www.riskval.com

USD Treasury RV Bloomberg Application User Manual

RiskVal Financial Solutions, LLC 131 West 33rd Street, 5th floor New York, NY 10001 [email protected]

RiskVal Financial Solutions, LLC 131 West 33rd New York, NY 10001 (212) 631-0808 • www.riskval.com

Table of Contents USD Treasury RV Overview ......................................................................................................... 3 What does the USD Treasury RV Monitor do? ........................................................................... 3 What other key features are available in the App? ..................... Error! Bookmark not defined. Overview of the USD Treasury RV GUI Layout............................................................................ 3 Upper Half of GUI: Bond Monitor ........................................................................................... 4 Lower Left of GUI: Intraday Graph.......................................................................................... 5 Lower Right of GUI: Historical Graph ...................................................................................... 5 Bond Monitor .............................................................................................................................. 6 Table Descriptions................................................................................................................... 6 Available Buttons .................................................................................................................... 6 Intraday Graph ............................................................................................................................ 7 Available Buttons .................................................................................................................... 7 Intraday Data .......................................................................................................................... 7 Historical Graph .......................................................................................................................... 8 Available Buttons .................................................................................................................... 8 Historical Data ......................................................................................................................... 8

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USD Treasury RV Overview USD Treasury RV is RiskVal's real-time relative value tool, allowing traders to view the Top 5 bond trades of the day for 2+ RVS, True ASW, TED Spread, OIS Spread, Yield Roll, and ASW Roll. The app provides information on each of these relative value measures and displays the richest or cheapest trades by maturity buckets (0-2Y, 2-3Y, etc). It allows traders to effortlessly pick out the most lucrative securities instantly. Traders can click on any of the cells to chart 90 days of historical data to give a focused third-party perspective on the overall performance of each trade.

What does the USD Treasury RV Monitor do? For each bucket, USD Treasury RV shows the best trades within the following relative value measures in real-time:

RVS ASW OIS Yield Roll ASW Roll

Richest/Cheapest Relative Value Spread (RVS) over a 90 day period Richest/Cheapest Asset Swap Spread (ASW) over a 90 day period Richest/Cheapest Overnight Index Swap Spread (OIS) over a 90 day period “Best” yield roll over a 1M, 2M, or 3M period “Best” asset swap roll over a 1M, 2M, or 3M period

Users can view intraday tick-by-tick and historical graphs of each measure to observe the relative value movements in detail.

USD Treasury RV also features one-click FIT Integration for instant trading on the Bloomberg Terminal. Simply right-click on a security to access these options (more details under the Bond Monitor Section).

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Overview of the GUI Layout The USD Treasury RV App composes of 3 GUI components: (1) Bond Monitor (2) Intraday Graph and (3) Historical Graph.

Upper half of GUI: Bond Monitor

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Lower Left of GUI: Intraday Graph

Lower Right of GUI: Historical Graph

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RiskVal Financial Solutions, LLC 131 West 33rd New York, NY 10001 (212) 631-0808 • www.riskval.com

Bond Monitor Half of the application space is reserved for the Bond Monitor. This design makes economic use of valuable screen real estate by allowing traders to see the entire grid of relative value measures efficiently. Enabling the Heatmap color codes each cell to draw attention to the most extreme securities.

Detailed Column Descriptions Column Name RVS

ASW

OIS Yield Roll

ASW Roll

Description

Displays the spread against the 2+ model Treasury fair value curve. A negative value means the security is richer than the fair value curve, and a positive value indicates that the security is cheaper than the fair value curve. Displays the matched maturity ASW spread against LIBOR curve. A negative value means the security is richer than the LIBOR curve, and a positive value indicates that the security is cheaper than the LIBOR curve. Displays the difference between the yield to maturity of the security and the hypothetical par swap rate derived from the OIS curve. Displays the bond which has the best yield roll. If there are multiple potential matches for the shorter maturity bond, then the system will pick the one with a similar coupon. If there are no matching bonds for the longer maturity to roll to, then the system will interpret the yield by the nearby bonds. User can view the “Best” 1M and 3M yield roll down. Displays the bond which has the ASW roll. If there are multiple potential matches for the shorter maturity bond, then the system will pick the one with a similar coupon. If there are no matching bonds for the longer maturity to roll to, then the system will interpret the ASW by the nearby bonds. User can view the “Best” 1M and 3M ASW roll down.

Available Buttons Right Click Options Buy Sell GIP MACD Buttons Print Screenshot Copy Table

Function Description Create a “Buy” ticket on the Bloomberg terminal for the security by right clicking over a security. Create a “Sell” ticket on the Bloomberg terminal for the security by right clicking over a security. Open an “Intraday Price” graph on the Bloomberg Terminal for the security by right clicking over a security. Open a “Moving Average Converge/Diverge” graph on the Bloomberg terminal for the security by right clicking over a security. Function Description Print the entire USD Treasury RV App to your default printer Take a screenshot of the App, such that the user can paste (CTRL-V) to Outlook or a Word document. Copy the values for each cell, such that the user can paste (CTRL-V) the values into an Excel spreadsheet.

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Intraday Graph

The Intraday Graph resides on the lower left of the USD Treasury RV App. It will show intraday snapshots for yield for the selected bond from the Bond Monitor. A key displays the intraday Mean, Standard Deviation, and Simple Moving Average. Available Buttons Button Functional Description Print Print the Graph to your default printer The Graph screen is captured, so you can paste (CTRL-V) to your Outlook or a Capture Details

Word document Display all available data sets for each Graph

Intraday Data Traders can click on the “Details” button in the “Intraday Graph” to view the actual Intraday YLD spread (as shown below). Furthermore, traders can click on “Copy Data” to capture the time series data, and paste (CTRL-V) to Excel or other document for analysis.

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RiskVal Financial Solutions, LLC 131 West 33rd New York, NY 10001 (212) 631-0808 • www.riskval.com

Historical Graph

The Historical Graph resides on the lower right of the USD Treasury RV App. It will show 3 months of historical “YLD Spread” of the selected strategy. A key displays the Mean, Standard Deviation, and

Simple Moving Average of the 3 month historical data. Available Buttons Button Functional Description Print Print the “Graph” to your default printer The “Graph” screen is captured, so you can paste (CTRL-V) to your Outlook or Capture Details

Word document. Display all available data sets for each graph

Historical Data Traders can click on the “Details” button in the “Historical Graph” to view the actual historical YLD spread (as shown below). Furthermore, traders can click on “Copy Data” to capture the time series data, and paste (CTRL-V) to Excel or other document for analysis.

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RiskVal Financial Solutions, LLC 131 West 33rd New York, NY 10001 (212) 631-0808 • www.riskval.com

Thank you for viewing the USD Treasury RV User Manual. Please contact us if you have any questions or comments. Real-time service is something that we take to heart. When choosing RiskVal, you not only get the solution, but our world-renowned customer service. We utilize any and all tools to ensure that our clients are taken care of as quickly and efficiently as possible. With offices in multiple time zones, we are able to offer this service throughout all trading hours. We're here to help you. Email us at [email protected] or IB: Ksenia Dominova Sincerely, RiskVal App Team

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