In this week’s RVFI Release, RiskVal enhanced the Listed Option Trade sheet by enhancing the Horizon Analysis calculation by bumping the interest rate change instead of the underlying price change, which is now consistent with the Bond Trade Sheet to handle multi-asset portfolios. Furthermore, traders can modify the curve shock’s # of decimals for incremental P/L and risk breakdown. In the USD Bond ASW Strip S+SP sheet, we allowed traders to reconstruct Strip Coupon (S) and Principal (SP) prices in cases where the Bid/Ask Px spread is too wide for reasonable STRIP/RECON analysis. In this release, traders have the flexibility to use the Mid Px and imply a custom Bid/Ask Px Spread based on a linear interpolation between 2Y, 5Y, 10Y, 30Y points. For the USD Bond/Future Spreads & Butterflies floating window, we added the whole-fitted CMT curve for EUR such that traders can construct EUR CMT spread and butterfly strategies to perform regression and historical analysis against USD whole-fitted CMT curve.
In this week’s RVFI Release, RiskVal enhanced the Market View –> WI Bond Modeling by refining the WI fair value analysis with an added “Include RV” checkbox. Traders can apply an RV adjustment to the WI roll by checking this box, which smooths out the forward Z-spread roll gap. The “Liquidity” premium is now separate from the “WI RV F.Zsprd” column so the traders can fully customize it based on their own estimates. In the Fed Fund Rate Monitor [New Floating Window], we added a new window which summaries G7 Monetary Policy forward rates, so traders can easily see market projected fed actions, and compare to the curve-implied forward rates for arbitrage analysis. For the Bond Roll Analysis sheet, we added “OISSprd Carry”, “OISSprd Roll” and “OISSprd C+R” columns as many traders have expressed interest in studying the 3M OIS Carry and Rolldown profile across the curve.
In this week’s RVFI Release, RiskVal enhanced the TIPS [USD and EUR] Bond ASW sheets by creating a new matrix which displays the Forward BEI between maturity-adjacent issues. This function centralizes the information released recently on both Forward BEI and Forward Real Yield for US and euro-zone inflation traders. In the Bond Trade Sheet and Swaption Trade Sheet, we allowed traders to analyze the PnL and risk of their swaption trades based on the Forward Premium. Check the “Fwd Settle” flag if you are paying the premium at the expiry date, and all of the PnL and Risk columns will update. We also allowed traders to customize the Vol bump for each customized Rate bump scenario, now including the benchmark (0 rate bump) case.
In this week’s RVFI Release, RiskVal enhanced the Listed Option Strategy sheet by allowing traders to solve multi-leg listed option strategy with “Zero Premium + Delta Neutral Hedge”. Traders can use this function to solve for any type of strategy up to three legs, with or without risk on the underlying futures. Similar to the G7 Bond Spread Table, we created the G7 TBill sheetfor short-end traders to analyze 1M, 3M, 6M and 12M bills for any G7 CCY pair. Traders can visualize relative value performance with the 3M rich/cheap heat map for any of the supported data types (MMYld, MMYld-OIS, and YY OIS). In the G7 Bond Roll Analysis sheet, we added “CMT Model Yield”, “CMT RVS” and “CMT dRVS” columns for traders to leverage our whole-fitted constant maturity treasury (CMT) curve. RiskVal’s proprietary NSS model implementation fits the yield curve more closely than the original NSS model and produces CMT rates closer to market levels across all parts of the curve.
In this week’s RVFI Release, RiskVal enhanced the Bond Roll Analysis sheet by adding two sets of “Custom Fly” columns, which show the current level, daily change, and 3-Month Z-Score of the butterfly strategy around each bond in your view. Traders can customize the Fly Period as well as the RV Type, including Yield, ASW, Z-Sprd, and RVS. For the Bond/Future Spreads & Butterflies floating window, we applied the “Sprd Roll Adjustment without Decay” to outright, curve, and fly strategies for back-testing strategy performance and accurate PnL. The Sprd/Bfly gives traders the flexibility to study generic roll adjustment with and without decay on historical performance. In the Swap Box sheet, we enabled traders to toggle the Carry calculation for their future strategies. Future trades have no carry, but traders may choose to use the CTD carry as proxy using the future’s Implied Repo Rate.
In this week’s RVFI Release, RiskVal enhanced the Spreads & Butterflies windows and Forward Swap Matrix. CMT rates and strategies entered in these sheets now refer to the updated CMT curve based on the NSS-model based on minimization fit, which reduces noise due to seasonality for smoother CMT analysis. For EUR and GBP traders, we improved the Butterfly Generator function to easily generate butterflies where the belly and wings are adjacent by maturity, or separated by x. For the Fed Fund Simulation sheet, we allowed traders to plot the scenario-inferred rates with the current FF Future rates, along with the spread to visualize the gap in rates between several user-defined Fed hike paths. In the Future CTD Scenario Analysis sheet, we allowed traders to analyze contracts further out than 2019 by entering the specific two digit year, such as “USZ20”.
In this week’s RVFI Release, RiskVal added a new Historical CTD Analysis sheet to assist traders in tracking historical deliverable basket relative value performance. For each future, traders can track the historical CTD, Implied Repo, and Invoice Spread performance on the Top Three most likely deliverable issues. For the Forward Swap Matrix sheet, we added support for IMM Cross Currency Basis strategies spread across G7+AUD markets. Traders can double click for historical data. In the Bond Trade sheet, we enhanced the Historical Simulation VaR calculation with added Gross Basis risk factor.
In this week’s RVFI Release, RiskVal enhanced the Swap Box sheet, due to the fact that with global markets shifting to T+2 settlement cycle, CAD government bonds are officially trading on a T+2 standard. Up until September 5th, CAD government bonds (term over 3y) traded on a T+3 basis. Traders will see that Swap Box has applied this settlement rule for all CAD bonds to use T+2 convention. For the Bond Roll Analysis sheet, we added a “0 Fwd Sprd” column to measure the forward spread based on the specified forward or future delivery date and repo assumption. Traders can set their zero spread type: Yield, RVS, ASW (YY, True, Z) or OIS (YY, Z). We also enhanced the “0 Sprd” column such that traders can double click for the historical spread, and click a button to easily send “To Sprd/Bfly” to start monitoring potential trading opportunities. In the Bond Trade sheet, we enabled traders to analyze their risk profile on TIPS positions independent from their Nominal Bonds when calculating the Key Rate, Bucket, and Forward Bucket Risks (with or without cashflow).
In this week’s RVFI Release, RiskVal enhanced the TIPS Bond ASW sheet, by enhancing the “Fwd BEI Matrix” with dropdown for traders to toggle between Forward Breakeven and Forward Real Yield. We also added historical data on both options for rich/cheap trend analysis. Furthermore, we added a panel graph to show the TIPS Z-Sprd vs Trsy Z-Sprd and the spread between the two measures. For the Future CTD Scenario Analysis sheet, we allowed traders to compare the historical invoice spread performance on Z-Spread and YY OIS for non-CTD Select one or more bonds of the deliverable basket to overlay multiple invoice spreads in a single graph. In the Bond/Future Spreads & Butterflies floating window, we allowed traders to view the Generic Bond roll adjustment without the decay function used to smooth out the roll adjustment over the period between auctions. Note that the roll adjustment with decay is crucial for relative-value trend analysis. This function will apply a linear shift for each WI roll, such that the historical yield is accurate for PnL testing based on daily changes.
In this week’s RVFI Release, RiskVal enhanced the Market View -> OIS Curve Builder tab, by fine-tuning the OIS curve by adding fitting points for EONIA (35-year, 40-year, 50-year) and SONIA (40-year and 50-year), which will provide long-end EUR and GBP traders with more accuracy for OIS and ASW spreads. For the Market View -> Repo tab, we enhanced the Repo Special table to support generic forward dates, such as Overnight or 1-month term, which will carryover to next day. We also expanded EUR GC such that traders can manage country specific GC for France, Italy, and Spain. In the Bond Roll Analysis sheet, we allowed traders to insert a separate row for front & back futures to compare the Future forwad yield performance next to the deliverable basket. We also added two columns to simplify deliverable basket forward Z-Spread analysis in USD Bond Roll.