In this week’s RVFI release, RiskVal created a new Corporate Bond Trade sheet, which makes Relative Value performance available for both High Yield (HY) and Investment Grade (IG) traders with preset views customized to each bond type. For the Listed Option Strategy, we enhanced the Horizon Analysis calculation by adding “FutPx Range” (future price range) option to see market price sell off and rally. We also allowed traders to create pre-defined strategies from the drop-down list and enter strike information in the pop up. In the OTC vs. Exchange Mid Curve Vol Analysis, we added underlying Future Price history to historical trend graph.
In this week’s RVFI release, RiskVal enhanced the Cross Currency (XCCY) Basis Swap Trade Sheet sheet by adding support for EONIA vs OIS basis swaps so traders can create strategies and calculate NPV and Risk on a portfolio of basis swaps; adding support for generic date format (e.g. G1Y) (also available in Basis Swap Trade Sheet), and adding support for IMM dated XCCY Basis Swaps. For the Fed Fund Simulation, we added rate hike probability for EUR and GBP tabs. In the Future Option Analysis, we added ability to override option ‘Premium’ column, and in effect, recalculate the hedge to see how the new input affects the swaption hedge.
In this week’s RVFI release, RiskVal built a new OTC vs. Exchange Mid Curve Option VOL Analysis sheet that allows traders to analyze the Mid-Curve Exchange and OTC volatility over time to determine the relative value opportunity based on Ratio performance. In the Bond Roll Analysis sheet, we enhanced the historical graph on “Mid Yld-CT” (spread to benchmark) to have extended historical analysis. We also added panel graph to show the spot OTR Spline RVS curve vs forward OTR Spline RVS curve to compare spot and forward current levels side by side. For the Bond/Future Spread & Butterfly floating enhancement, we allowed traders to enter GC repo (GCFRTSY Index) ticker such as “GCFRTSY” to show the current level and historical data for funding rate comparison and regression analysis.
In this week’s RVFI release, RiskVal enhanced the Conditional Curve Monitor by adding the “ATM + SwapDV01” and “ATM + $Delta” hedge methods to the Calc P/L dropdown menu in addition to the existing ZP (Zero Premium) option. In the Bond Roll Analysis, we allowed short end traders to analyze the relative value performance against Annual Money Market ASW for issues maturing within two years. We also added Alerting functionality for traders to receive email alerts for “Net Basis” and “Implied Repo” columns when the user-specified high/low threshold is crossed for the deliverable issues. For the Forward Swap Matrix, we added support for first four IMM FRA/OIS spreads for AUD so traders can easily track the short-end AUD curve movement.
In this week’s RVFI release, RiskVal enhanced the Bond Roll Analysis sheet by adding “RV Analysis” function to generate spread and butterfly strategies automatically. Strategies can be generated based on Yield, ASW, OIS, and CMT relative value spreads. From any selected list of bonds, traders can quickly find the best and worst strategies that present relative value opportunity. In the Market View –> Repo Management Tool, traders now have a more streamlined and flexible way of uploading their own Repo rates to RiskVal through a CSV File. Rates you upload are for your RiskVal only, or you have the optional feature to share among your desk or firm. For the USD TIPS ASW sheet, we added Beta-Weighted BEI, which weights the nominal bond yield based on the historical relationships between each TIPS bond and matched Treasury.
In this week’s RVFI release, RiskVal enhanced the Forward Swap Matrix by adding “MACD Spread” column for traders to see the MACD without having to open the RSI graph for each strategy. We also added MAC Swap history which traders can analyze by entering the IMM start date [HMUZ] and N Tail[2,5,10,30]. In the Market View –> CMSwap Spread Vol, we added the CMS Spread Cap and Floors vol surface, so traders can see the skew being used to price out of money options. For the Listed Option Trade sheet, we added new CME short-term eurodollar midcurve options, so traders can price and value the new instruments.
In this week’s RVFI release, RiskVal enhanced the GBP TIPS Bond ASW sheet so gilt inflation traders can analyze UKTI linkers relative value performance against RiskVal’s whole-fitted constant maturity real yield curve (CMT RY) with available columns: CMTRY RVS, daily change, 3-month rich/cheap heat map, and Z-Score. The GBP CMT Real Yield curve is based on the NSS model and uses double-curve z-spread method. In the G7 Bond Roll Analysis sheet, for the three popular floating graphs available, we redesigned the Blotter Graph, Gap Analysis, and Curve Analysis, which traders can now treat as individual floating windows with a minimize function. For the Historical Viewer sheet, users can perform trend analyses on their strategies and then save them. In this release, we enhanced “End=LastDay” such that when users check this field to set End Date to use t-1, the start date will to reflect the “HistPeriod” selection.
In this week’s RVFI release, RiskVal enhanced the Callable Bond Trade sheet so that traders can now hedge both Interest Rate Risk and Vega Risk with the Pricing –> Calc Vega Hedge option. Traders have the option to hedge Callable IR Risk only, or create a package for an IR and Vega risk neutral strategy. In the Bond Roll Analysis sheet, we added column “Fwd True Ted Sprd” shows the True Yield calculation on the bond, which matches trader convention to the forward date. We also added Money Market Yield vs OIS column to Bond Roll Analysis labeled ‘MMY vs OIS’. For the TIPS GBP Bond ASW Sheet, we added Beta-Weighted BEI, which weights the nominal bond yield based on the historical relationships between each TIPS bond and matched Treasury.
In this week’s RVFI release, RiskVal enhanced the Basis Swap Monitor sheet enhancement by adding Curve graph to study the Fwd Basis Curve historical data, so traders can see how the market has been behaving over the historical term graphically. In the Bond Roll Analysis sheet, we added an Australia Constant Maturity Treasury (CMT) curve such that traders can analyze bond roll-down against the CMT curve and track relative value spread performance against CMT. Traders can also enter CMT strategies in the AUD Sprd/Bfly. We also added a Belgium Constant Maturity Treasury (CMT) curve such that traders can analyze Sprd/Bfly strategies against the Belgium fitted curve. For the TIPS Bond ASW sheet, we now enable traders to create user-defined “Alias Name” for the desired bond in GBP TIPS and use it in GBP Spread/BFly window.
In this week’s RVFI release, RiskVal enhanced the Market View –> Bond Future by adding global option for early delivery on each bond future contract, which updates key future analysis functions to use the earlier forward date to analyze Rich/Cheap on bond futures. In the Bond Roll Analysis sheet, we added CME SOFR Future hedge to the right-click menu, which shows the Eurodollar, Fed Fund, and SOFR future hedges in centralized place. For EUR Bond Roll Gap Analysis, we added option for the “matched bond” for roll-down chosen from the filtered list. For the Bond Trade sheet, for “Swaption” trades, we leveraged the “Fwd Settle” flag to switch between forward & spot premium. With “Fwd Settle” checked, upfront fee will be paid at option expiry date. For “Swap” trades, we enabled portfolio managers to price OIS Indexed Swaps using either LCH/CME clearing houses.