In this week’s RVFI Release, RiskVal enhanced the new GUI by implementing a Docking Window feature, which has been a popular request from our traders to help manage their RiskVal floating windows. This global design improves floating window management, which we encourage traders to take advantage of to tailor their floating window layout. In the Bond Roll Analysis sheet, we quantified the “0 Sprd” and “Ann 0 Sprd” based on ASW (YY, True, Z-Spread) or OIS (YY and Z). Previously, both columns only measured the yield curve spread between bonds vs. benchmark bond. We also added historical graph for “0 RVS” to visualize “0 RVS” history. For the Forward Swap Matrix sheet, we added multiple enhancements for short-end traders.
In this week’s RVFI Release, RiskVal enhanced the Bond Roll Analysis sheet by enhancing the “0 Sprd” function to show the historical graph by double clicking on any bond, and adding “Ann 0 Sprd” as annualized 0-spread, which enables normalizing the 0-spread between all bonds. We also enhanced “Graph” functions to include “SP B/E MM Sprd”, which was added in last weekly release. In the SwapBox sheet, we enabled traders to enter “repo” rate at “Strategy Analysis” rather than individual tab. Traders need to click on “Save All” to preserve the data for the next day. We also enabled trader to calculate the “weight” based on given notional of strategy. For the Forward Swap Matrix sheet, we added Poland(PLN) 3M and 6M forward matrix analysis.
In this week’s RVFI Release, RiskVal enhanced the Bond Roll Analysis sheet by enhancing the STRIP analysis function by adding Strip B/E matched maturity spread, extending EUR Swap curve to include 50Y fitting point, and adding “>30Y” option in “Sector” selection for EUR bond roll analysis sheet. We also enhanced the TIPS Bond ASW Trade sheet by enabling traders to run multiple graphs and regression analysis on TIPS real yield vs. matched maturity whole bond yield. For the Custom Bond ASW sheet, we enabled traders to view historical Treasury matched maturity yield spread for all off-the-run SSA, Agency, and Corporate bonds.
In this week’s RVFI Release, RiskVal enhanced the EUR TBill TED sheet by expanding EUR T-Bill coverage for short-end traders by adding Dutch Treasury Bills. With greater exposure, traders can visualize EUR T-Bill relative value across German, Netherlands, France, and Italy in the Curve Analysis tool to find opportunities. We also enhanced the Bond Roll Analysis sheet by allowing traders to generate butterfly strategies directly from their custom Watchlists and quickly send generated butterfly list to the corresponding Bond/Future Spreads & Butterflies window to monitor. This feature is available across all G7 Bond Roll sheets. Additionally, we added Gap Analysis to the EUR Bond Roll Analysis Sheet for traders to analyze trading opportunities across a forward-spot gap. Traders can analyze potential gap strategies based on the specified country. Finally, we added a new column in USD Bond Roll “Yld/M.Dur” which is defined as current yield/modified duration. For the Historical Viewer sheet, we added historical data for French and Italian CMT curves, so traders can perform historical trend analysis on CMT spot and forward yield, Price, ASW (True, YY and Z-Spread).
In this week’s RVFI Release, RiskVal enhanced the USD Bond Roll Analysis by expanding the graphing capability in the lower panel to include “SPMIDYLD-CT”, “SP ASW”, and “SP YLD” for matched maturity Strip bonds. We also enhanced the USD & EUR Supra Sovereign Bond ASW sheet by allowing traders the flexibility to directly pull in bonds that are not already in the security list. Once traders add the new bond, the security will be available for all traders after the reload their bond list. For the Market View -> Bond Future tab, we improved the Historical CTD analysis such that traders can quickly study changes in the historical CTD for specific Bond Futures starting from the First Trade Date.
In this week’s RVFI Release, RiskVal enhanced the Bond/Future Spreads & Butterflies floating window by allowing traders to quickly send trades to the Historical Viewer for multi-strategy historical trend and regression analysis, and adding generic Strip Coupon security, so traders can construct strategies to study coupon bond performance over longer time periods. We also enhanced the Listed Option Trade sheet by adding Gamma to the Horizon Analysis function, which allows traders to visualize the Gamma impact over customized scenarios on Time, Yield Curve shock, and Implied Vol shock. For the USD Bond Roll Analysis, we added Strip Principal bond “SP Yld” and “SP ASW” data to the Curve Analysis function, which allows traders to visualize relative value on the SP curve.
In this week’s RVFI Release, RiskVal enhanced the XCCY Basis Swap Sheet by expanding RiskVal’s cross-currency basis analysis with 17 currencies spanning Americas, Europe, Africa, and Asia. Traders can analyze historical XCCY Basis on spot and forward, and create basis strategies for valuation and risk. We also enhanced the USD Bond Roll Analysis sheet by enhancing the STRIP (SP) relative value analysis in the Bond Roll Analysis to allow traders to derive the STRIP price and STRIP yield from the corresponding whole bond’s currently yield level by leveraging the “SP MMSprd” column. This newly added column is the matched maturity yield spread between the STRIP mid yield and the whole bond yield. For the Forward Swap Matrix sheet, we allowed traders to create customized spread and butterfly strategies containing ED$. For ED$ strategies, we backfilled the historical data such that traders can conduct historical trend analysis.
In this week’s RVFI Release, RiskVal enhanced the TIPS USD Bond sheet by allowing traders to customize the BEI (nominal yield / real yield) ratio to adjust their BEI analytics by the volatility difference between nominal and inflation securities. We also enhanced the Calendar ASW sheet by adding an editable cell to allow traders to enter the repo rate used to calculate net basis on the front and back future contract CTD bonds. For the new EUR T-Bill sheet, we created a single sheet for German, French, and Italian Treasury Bill coverage to consolidate analytics for EUR short-end trading. We also added a “Curve Analysis” framework for this sheet, so traders can visualize the relative value spread between the country curves.
In this week’s RVFI Release, RiskVal enhanced the Forward Swap Matrix sheet by allowing traders to enter ED$ Futures for both generic and issue specific contracts to construct strategies against derivative instruments. We also enhanced the new ITL TBill TED sheet by adding a specific sheet for traders focused on Italian Treasury Bill (BOTS) relative value analysis for available securities. For the Bond Trade Sheet, we allowed traders to calculate their risk exposure for portfolios containing Italian Floating Rate Notes (CCTS) and Italian Treasury Bills (BOTS).
In this week’s RVFI Release, RiskVal enhanced the Forward Swap Matrix sheet by adding IMM forward swap matrix on USD Libor and OIS, allowing traders the capability to double click on any point for historical data. We also enhanced the USD Libor Curve’s OTRSpline Curve model to now include the 1M T-Bill for thorough relative value analysis on the short-end. For the Bond Trade Sheet, we allowed traders to maintain their cash positions on the Yield level, by adding editable columns “Live Yield” and “Trade Yield”, and adding read-only “Close Yield” column.