In this week’s RVFI release, RiskVal made two enhancements to Bond/Futures Spreads and Butterflies Monitor. Specifically, we added an option for traders to calculate the Spread of Invoice Spread using each leg’s respective delivery date as an alternative to RiskVal’s default setting, which calculates the Spread of Invoice Spread based on the future leg with the farthest delivery date. Additionally, we added generic bills so traders can analyze and perform trend analyses on short-end JPY securities. Additionally, the RiskVal team enhanced WI analysis for traders who analyze Belgium and non-core CCYs, such that traders can mark the WI Forward YY ASW to recalculate the WI yield that is normally calculated based on total roll and benchmark yield. Swap Box sheet was also enhanced – we reorganized the forward panel’s Carry & Rolldown sections to optimize the readability for traders when performing spot and forward analysis, and updated the “3M Rolldown” field in the top panel to change according to the user’s chosen data type in the “Option” Menu.
In this week’s RVFI release, RiskVal enhanced the G7 Bond Roll Analysis sheet by improving the future invoice spread analysis with a streamlined workflow for traders to discover basis trades from Bond Roll and send directly to Swap Box for advanced bond vs bond future analysis. We have also enhanced the JPY Bond/Future Spreads & Butterflies floating window by improving the JPY strategy construction such that traders can enter JGBs based on series (e.g. JL40, JL117, JL145). Traders can reference the JPY Bond Roll Analysis’ “series” column, available from the “default-JPY-series” view. Additionally, we have created a new THB Bond Roll Analysis sheet for traders interested in exploring the Thai market. We created a new sheet dedicated to Thai Government Bond RV analysis. Traders can leverage the OTRSpline RVS columns based on RiskVal’s Thai OTRSpline curve.
In this week’s RVFI release, RiskVal offers traders a friendly reminder how to manage roll forward setting to the next future pair (Z8 vs H9) ahead of the end of the USD Future Roll cycle and next Tuesday, September 4th is the First Day of Delivery Month for USD Bond Futures. We have also enhanced Future CTD Scenario Analysis sheet. Traders can now track the historical behavior for any of the bonds in the delivery basket with the creation of Multiple Graphs, Spread Graphs and Butterfly Graphs for Gross Basis, Implied Repo, and Net Basis columns. Additionally, RiskVal have enhanced Swap Box sheet where multi-currency strategies now use FX adjustment to normalize summary fields by converting the strategy in terms of USD which applies to Carry and Rolldown ($) total amounts as well as P&L totals.
In this week’s RVFI release, RiskVal enhanced the Swap Box sheet by adding a “Settle/Delivery” column in the “Strategy Analysis” tab to allow traders reference any given strategy’s delivery and/or settlement dates for each leg. We have also enhanced the USD Bond Roll Analysis sheet by adding “Tick Yld (bps)” column, which is available for traders to equate how much each tick is worth per $100 of the given bond. Moreover, RiskVal enhanced the Bond Trade Sheet. We added an option for traders to highlight on-the-run treasuries, CTD bonds, as well as WI bonds in the “Bond” sub-tab. The highlight row feature is similar to Bond Roll Analysis for traders to quickly identify benchmark points for their given bond portfolio. In addition, traders can now use the color palette to manually highlight rows.
In this week’s RVFI release, RiskVal enhanced the New FX Trade Sheet by creating an FX Trade Sheet for traders to monitor FX Spot/Fwd, FX Option, and FX Exotic Option trades, and provides a summary panel for traders to aggregate their FX portfolio’s delta exposure, PnL and Greeks. For the OTC vs. Exchange VOL Analysis Sheet, we added Realized Vol time series for both Exchange and OTC options with a customizable historical rolling period for traders to analyze historical OTC Realized Vol and Exchange Realized Vol. In the Bond/Future Spreads & Butterflies floating window, we have made it available for traders to pop out any of their tabs from the main Sprd/Bfly floating window, offering more flexibility in customizing the desired window layout.
In this week’s RVFI release, RiskVal enhanced the Listed Option SABR Model sheet by adding an RV Strategy table that automatically generates the top three $Delta-neutral strategies which reflect the relative richness or cheapness of a midcurve option according to the Yield Bp Vol Skew graph. For the USD Bond/Future Spreads & Butterflies Monitor, we added support for Secured Overnight Financing Rate (“SOFR”) CME 3-Month Futures to spread SOFR futures against each other, and analyze yield spread performance. The Market View –> WI and BondFuture automatically creates the user-WI for both the UST 7-year and EGB 2-year and, if applicable, consequently sets DU and TY bond future CTDs to the user-WI.
In this week’s RVFI release, RiskVal enhanced the Calendar ASW sheet by making it so that when analyzing a calendar pair such as DUU8-DUZ8 where DUZ8 CTD is a WI bond, RiskVal will automatically repo forward DUU8 CTD to the WI issue date. By aligning both CTDs, the spread of spot ASW and spot OIS is based on the same forward WI settlement date. In this release, we added a “WI Date Repo” field for traders to provide their own repo assumption to forward DUU8 CTD to the WI issue date. We also enhanced the “Swap Hedge” dropdown such that the respective column headers will reflect the trader’s hedge selection. For the G7 Bond/Future Spreads & Butterflies Monitor enhancement, we added support for off-the-run generics TIPS (e.g. OOTII5 for the second old 5Y generic TIPS bond) to perform extended historical analysis and relative value performance. In the Cross Currency (XCCY) Basis Swap Trade Sheet, we added XCCY Basis Swap trade detail and cashflow popup window, accessible by double clicking on the “B/E Rate” cell. This feature allows traders to reference Pay/Rec trade details and cashflow breakdown after clicking the “Price” button.
In this week’s RVFI release, RiskVal enhanced the Market View –> Bond Future by adding an option to “Auto Set 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. We also allowed traders to analyze the bond future contract performance based on spot and forward dv01 for G7 countries with available columns: Spot DV01, FWD DV01. For the Calendar ASW, we added “Fwd OIS Rate” to “Swap Hedge” dropdown menu so traders can use it to analyze short-end Calendar Rolls. In the Swap Box, we allowed traders to construct cross currency strategies by adding “Country” dropdown for EUR countries, such that traders can select the desired EUR currency from the list.
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.