July 22, 2017

RiskVal Fixed Income (RVFI) Release – 7/21/2017

In this week’s RVFI Release, RiskVal enhanced the Listed Option Trade sheet, by adding columns for Normal Greeks to Listed Option Trade sub-tab. These columns are also available in all other Trade Sheets that support Listed options, including Swaption Trade Sheet and Bond Trade Sheet, which allow traders to see the cumulative risk. We also added the “B/E Px” column, which shows the price at which the option intrinsic value is equal to the premium. In the Forward Swap Matrix sheet, we allowed traders to calculate the Carry and Rolldown for EONIA vs. EUR3M, in addition to other G7 XCCY Basis Swap strategies. For a comprehensive C+R profile of your strategy, we also added “Carry + Roll Z-Score”. For the USD Bond ASW Strip S+SP sheet, we enhanced STRIP (SP) relative value analysis with new “SP B/E MM Sprd” column to derive the STRIP breakeven matched-maturity spread as an indicator for SP performance against the whole bond, calculated as the difference between the STRIP B/E Yield and the Whole Bond Yield.


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July 15, 2017

RiskVal Fixed Income (RVFI) Release – 7/14/2017

In this week’s RVFI Release, RiskVal enhanced the Bond/Future Spreads & Butterflies windows, by adding support for TIPS to the Butterfly Generator in EUR & GBP Sprd/Bfly, allowing traders to generate TIPS butterfly strategies. For EUR TIPS, traders can choose the “Type” based on the Country + Inflation index. Also, we added break-even inflation (TIPS nominal yield – TIPS real yield) relative value performance at the strategy level with added columns: BEI, dBEI, 3M BEI historical rich/cheap heat map, and BEI Z-Score. In USD Sprd/Bfly, enabled traders to leverage the “Orig” button to select more than one original issue series in the Butterfly Generator. Previously, traders could only select one original series at a time. In the Conditional Trade sheet, we added pricing flexibility for OTC option traders. Traders can lock in a multi-leg strategy Delta weighting, and then solve for notional or strike spread based on a custom-weighted conditional strategy.

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July 8, 2017

RiskVal Fixed Income (RVFI) Release – 7/7/2017

In this week’s RVFI Release, RiskVal enhanced the New Swap Trade sheet by adding the AUD CPI Swap curve to Libor Curve Builder. Traders can now price AUD Zero Coupon Inflation swaps and track PnL and Risk. In the Forward Swap Matrix sheet, we added Central Bank meeting date tickers for FOMC, ECB, MPC, and BOC rates, which traders can enter in the corresponding “CCY-Libor” tab, allowing traders to track FOMC switch strategies and perform relative value analysis. We also enhanced RSI technical analysis graphs, such that traders can customize the date range to visualize the historical movement for longer periods. The RSI graphing feature is also available in the all Bond/Future Spread & Butterflies windows. For the G7 Bond RVS graph, we allowed traders to track the benchmark security multi-day performance on yield and 2+ RVS. This allows traders to quickly visualize curve rich/cheap performance over multiple time periods available in the “Closing Date” dropdown.

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July 1, 2017

RiskVal Fixed Income (RVFI) Release – 6/30/2017

In this week’s RVFI Release, RiskVal enhanced the Bond Trade Sheet by allowing traders to bulk edit the forward dates in the Bond section. In the Bond/Future Spreads & Butterflies floating window, we enhanced the “Butterfly Generator” such that traders can use the “Bond Chooser” to use an issue-specific security for either L. Wing, Body, or R. Wing fields. We also allowed traders to set the “Curve” and “Corr BM” for each watch list. This is vital for EUR traders, such that they can independently compare different countries against any specified benchmark for further correlation and regression analysis. For the XCCY Basis Swap Trade sheet, we allowed traders to calculate the change of NPV due to a one basis point (1bp) increase in the XCCY basis swap spread with new columns: “Sprd01 Rec”, “Sprd01 Pay”, and “Sprd01 USD”. The value is calculated in terms of the Rec/Pay leg CCY or USD currency.

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June 24, 2017

RiskVal Fixed Income (RVFI) Release – 6/23/2017

In this week’s RVFI Release, RiskVal enhanced the Bond Roll Analysis sheet by adding a “Custom Spline” curve in the GBP Bond Roll sheet, which allows traders to customize the fitting points of the Spline model. The custom curve can be used to analyze the curve roll-down characteristics of gilt issues. We also added an additional filter based on “FedHold%”, which allows traders to filter out bonds with the least SOMA holdings. In the Conditional Curve Monitor sheet, we added support for AUD so traders can monitor and create Conditional Curve strategies hedged based on ATM strike. For the Forward Swap Matrix & Spread/Butterfly window, we enhanced the RSI technical analysis graphs to include historical time series data for RSI and spread levels on cash/derivative strategies.

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June 17, 2017

RiskVal Fixed Income (RVFI) Release – 6/16/2017

In this week’s RVFI Release, RiskVal enhanced the Market View -> Basis Swap by adding JPY LCH/JSCC basis, so traders can track the LCH levels for their JPY strategies in Forward Swap Matrix and New Swap Trade sheets. In the Bond Trade sheet, we showed the PCA Parallel Factor (F1) risk for each position, which is the 1 standard deviation risk according to previous 3M yield curve PCA. Available for Bond, Future, Swap, and Swaption positions. For the Bond Roll Analysis sheet, we expanded the multiple graph functionality horizontally, such that traders can compare relative value across different measures and securities for dynamic analysis. Traders can run regression analysis and create multi-graphs on any measure with historical data. Also, in the GBP Bond Roll, we enhanced the “Calc” –> “Optimizer” with redefined maturity buckets to identify the top 5 cheapest/richest performing securities on Z-Spread, RVS, TED, OIS. In the USD Bond Roll, traders are allowed to graph the Fwd RVS values against the spot RVS levels for each point in the lower panel graph based on the forward date entered.

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June 10, 2017

RiskVal Fixed Income (RVFI) Release – 6/9/2017

In this week’s RVFI Release, RiskVal enhanced the XCCY Basis Swap Trade sheet by refining the “Cashflow” tool by aggregating the portfolio’s exchange of cashflows by currency, providing a detailed analysis of each CCY’s notional, pay/rec CF, net CF, and PV for each payment date. In the Bond/Future Spreads & Butterflies floating window, we implemented “First Hitting Time” (FHT) framework to “Z-Spread” and “RVS” measures in addition to “Yield”. FHT is a popular game theory method, which we apply to fixed income strategy analysis by using a 20-day moving average to analyze Mean Reversion (MR) patterns and model the speed of coverage to predict the # of days needed for the residual=0 based on various confidence levels. For the USD Strip S & SP sheet, we enabled traders to graph Strip Coupon and Principal curves on Yield, ASW (True, YY, Z-Spread, Z-Spread Z-Score), and OIS spread.

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June 3, 2017

RiskVal Fixed Income (RVFI) Release – 6/2/2017

In this week’s RVFI Release, RiskVal enhanced the new USD Strip S & SP sheet by adding a sheet to combine Strip Coupon and Principal bonds in a single view, making it simpler for STRIP traders to manage their analysis. In the G7 Bond Roll Analysis sheet, we expanded “XCCY TASW” to calculate True ASW levels adjusted by the XCCY Basis Swap Curve to analyze local bonds against AUD. We also in the USD Bond Roll added “Fwd 2+ RVS”, “Fwd 2+ Repo” and “Fwd RVS drop” columns to estimate spot vs forward performance of RVS. For the Listed Option Strategy sheet enhancement, we added realized vol for the entered future contract, based on 25-day future price movement. We also analyzed the historical performance by double clicking in the “Rlzdbpvol” column for historical graph.

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May 27, 2017

RiskVal Fixed Income (RVFI) Release – 5/26/2017

In this week’s RVFI Release, RiskVal enhanced the G7 Bond Roll Analysis sheets by adding the popular “Key Rate (Cashflow) risk” calculation from Bond Trade Sheet, which allows traders to analyze the risk breakdown on liquid points for any selected bond and specified Notional. We also enhanced the “Gap Analysis” function to cover the entire G7 market, so traders can easily summarize the Carry and Rolldown for each issue. In the Forward Swap Matrix sheet, we added ticker “BSEOFF-#” so traders can create EONIA vs Fed Fund basis swap strategies, and analyze their relative value performance. For the USD Bond/Future Spreads & Butterflies floating window, we allowed traders to monitor yield curve forward rates based on the CMT curve, and create strategies based on the same for roll-down analysis.

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May 20, 2017

RiskVal Fixed Income (RVFI) Release – 5/19/2017

In this week’s RVFI Release, RiskVal enhanced the Calendar ASW sheet by increasing Calendar Roll liquidity, such that traders can mark the CTD spot yieldspread to improve precision on their calendar roll rich/cheap analysis. RiskVal will recalculate the derived CTD Gross Basis, Net Basis, and Implied Repo. In the New Swap Trade sheet, we added a “Tab Option” menu to tailor each tab’s default Currency, Floating Index, Roll Convention, and Clearing House. We also added “Daily Carry” to analyze each swap position’s daily carry, calculated from the previous business day to today. For the Bond Trade sheet, we expanded the summary panel with “Total Sum (Daily Carry $)” to calculate your portfolio’s daily carry in USD, calculated from the previous business day to today for selected bond and swap positions.

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