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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May 13, 2017

RiskVal Fixed Income (RVFI) Release – 5/12/2017

In this week’s RVFI Release, RiskVal enhanced the G7 Bond Roll Analysis sheet by adding “ASW C+R” and “OIS C+R” columns, to show the curve implied Asset Swap and OIS Spread Rolldown and Carry estimate on each government issue. In the Swaption Trade Sheet, we added “Percentile” and “Target Rate” columns, which allows vol traders to study the forward swap rate distribution on their swaption strategies based on the SABR Vol Skew. For the XCCY Basis Swap Trade sheet, we added “EONIA vs OIS” basis, so traders can create and price positions on the EUR/USD funding curves.

 

 

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May 6, 2017

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

In this week’s RVFI Release, RiskVal enhanced the Bond Roll Analysis sheet by enhancing the “Curve Analysis” tool with added filtering options available for traders to input any “Maturity Range” and “Coupon Range” for advanced curve comparison. Also, we added “ASW C+R” data type to discover carry and rolldown opportunities. Additionally, we added two columns to show the Gross Basis Bid and Ask levels implied from the BTEC swap box spreads on all deliverable bonds. In the Bond Trade sheet, we added “Clearing House” flag for “Swap” and “Swaption” trade types to calculate your portfolio’s NPV based on trader’s LCH or CME clearing house. Portfolio managers who use CME as their clearing house can now adjust at the “Swap” and/or “Swaption” sub-tab level, as opposed to adjusting each trade one at a time. For the Repo Trade sheet, we allowed traders to book repo and reverse repo trades, and analyze their “ED$ Strip Hedge” and “Fed Fund Hedge” for their repo portfolio.

 

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April 30, 2017

RiskVal Fixed Income (RVFI) Release – 4/28/2017

In this week’s RVFI Release, RiskVal enhanced the new Custom Basis Swap Monitor sheet by introducing a refined version of our “Basis Swap Monitor” foundation for Basis Swap traders to customize their tab layout for centralized spot and forward basis swap analysis. In the Market View -> FX Curve Builder tab,we moved the FX Forward Curve Builder as a tab under “Market View” which traders can configure for available cross currency pairs. We also added option to imply the short-term Cross Currency Basis Swaps from the FX Curve, available under “Calculation Preferences”. For the Bond Roll Analysis sheet, we enhanced the “XCCY TASW” calculation based on the selected G7 curve and the corresponding Libor Index to analyze True ASW levels adjusted by the Cross Currency Basis Swap curve. We also enhanced the Curve Analysis tool with added “C+R” and “Vol Adjusted C+R” to analyze carry and rolldown for the entire curve.

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April 23, 2017

RiskVal Fixed Income (RVFI) Release – 4/21/2017

In this week’s RVFI Release, RiskVal enhanced the Docking Window GUI by allowing traders to rename any docked window for seamless navigation. Traders with several docked tabs in a single floating window will find this essential for floating window management. In the Forward Swap Matrix sheet,we expanded the XCCY Basis Swap strategy coverage such that we calculate the Carry and Rolldown for all supported G7 basis. We also added history for the 9M forward OIS curve for the following currencies: G7, CHF, and AUD. For the USD Bond Roll Analysis sheet enhancement, we refined the Gap Analysis matched bond logic. If there is no matched bond based on “Orig” series and “Fwd Period”, we will calculate the roll down matched bond value using maturity-weighted interpolation.

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April 15, 2017

RiskVal Fixed Income (RVFI) Release – 4/14/2017

In this week’s RVFI Release, RiskVal enhanced the Forward Swap Matrix sheet by allowing traders to create XCCY Basis swap strategies for all G7 against USD, all in the same tab. Now, one page can summarize a complete XCCY Basis trader’s strategy monitoring requirement. In the Bond Trade Sheet, the Horizon Analysis function has been added, and now support Bonds and Futures for carry analysis. Traders can conduct forward-looking scenario test for a portfolio containing Bonds, Futures, Swaps, Swaptions, and Listed Options. For the Market View –> BasisSwap, we now provide unprecedented control of live Pricing Source for all basis swap securities. Traders can enter up to three pricing sources, so their pricing precision is guaranteed despite occasional price source issues.

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April 9, 2017

RiskVal Fixed Income (RVFI) Release – 4/7/2017

In this week’s RVFI Release, RiskVal enhanced the Bond Roll Analysis by adding Forward analysis for Strip Principal Break-even yield, so traders can analyze the B/E SP relative value in the forward space. We also enhanced the header mouse-over, which will now show which Generic Curve Point each current issue represents. In the Invoice Spread Monitor, we enabled traders to generate the spot or forward hedge for any given invoice strategy against Libor or OIS, and added a column to show the Future Yield based on Live Price. For the Swap Box, traders can <right click> to create a CIX string with Ted Hedge on any Bond Future strategy they are viewing in Swap Box. The generated string will use your customized weight or notional ratio.

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March 27, 2017

RiskVal Fixed Income (RVFI) Release – 3/31/2017

In this week’s RVFI Release, RiskVal enhanced the Swap Box by allowing traders to <right click> to recalculate the DV01 weight of their butterfly strategies directly in the Swap Box sheet, including Regression and PCA weight options. The Hedge and all Relative Value analysis is based on the value in the “Weight” column. In the Forward Swap Matrix, we allowed traders to enter G7 cross currency swap and forward swap strategies directly in the “USD – Libor” tab. For the Bond Trade sheet, we allowed traders to enter TIPS positions and specify the Forward Date and Repo, to track your positions on Forward Real Yield and calculate risk based on your position Forward DV01.

 

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March 25, 2017

RiskVal Fixed Income (RVFI) Release – 3/24/2017

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.

 

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March 18, 2017

RiskVal Fixed Income (RVFI) Release – 3/17/2017

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.

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