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.
In this week’s RVFI Release, RiskVal enhanced the TIPS USD Bond ASW Sheet, by introducing a “Fwd BEI Matrix” for inflation traders to analyze the forward breakeven inflation for a given pair of TIPS bonds within the same maturity month basket. For the Basis Swap Monitor & Custom Basis Swap Monitor sheet, we added Inferred Basis: AUD 3M vs AUD OIS, EONIA vs 1M, EONIA vs EUR6M for intraday analysis. These numbers are derived from the component basis swap market quotes. In the Callable Bond Trade sheet, we allowed traders to select multiple trades and capture their portfolio’s total return in the Horizon Analysis. Toggle between “Portfolio” and “Individual” tabs for the total return at the portfolio or trade level.
In this week’s RVFI Release, RiskVal enhanced the Basis Swap Monitor & Custom Basis sheet, by adding two Inferred Basis levels: FF vs 6M and 1M vs 6M to the Basis Swap Monitor sheets for intraday analysis. These numbers are inferred from the component basis swap market quotes. For the Calendar ASW sheet, we improved the AUD Bond Future relative value analysis, by creating a proxy underlying bond which allows for spot vs forward Z-Spread analysis. It provides a framework for the analysis of AUD Futures using the same approach which is leveraged in G7 markets. In the Forward Swap Matrix sheet, we added support for FRA 1M, 3M, 6m, IMM FRA, IMM forward swap and MAC swap tickers for G7 countries.
In this week’s RVFI Release, RiskVal enhanced the Basis Swap Monitor sheet, by analyzing whether the basis has richened/cheapened based on 1W, 2W, 1M, 2M, or 3M closing level. Previously, we only displayed the 1W and 2W change. Note: traders can also utilize this feature in the “Custom Basis Swap Monitor” sheet. We also enabled traders to chart the IMM “Forward Gap” and “Tail Gap” to analyze the rolldown and curve effect. This function is accessible from the lower panel’s IMM fwd matrix. For the Rolldown and Carry Analysis sheet, we allowed traders to choose to switch between Libor and OIS curves to calculate the headline spread on Rolldown, Carry, and “Net Rolldown + Carry” based on the user’s defined time horizon. In the G7 Bond Roll Analysis sheet, we added columns “C+R 3M Z-Score” and “C+R rich/cheap heatmap”, which summarize the current Carry and Rolldown profile of each security compared to the previous 3 months performance.
In this week’s RVFI Release, RiskVal enhanced the TIPS Bond ASW sheet, by adding TIPS Spreader function to quickly create TIPS spread strategies relative value based on Real Yield, BEI, or the seasonality adjusted versions of RYld and BEI. For the Swap Box sheet, we allowed traders to analyze the OIS Carry and Rolldown at the strategy level, based on the specified repo assumption and forward date. Previously, we only showed the ASWC+R breakdown. In the Bond Trade sheet, we redesigned the PnL and Risk Summary as an independent panel. The Summary panel allows traders to customize desired columns to aggregate risk and panel for Bond, Future, Swaption, Listed Option, Cap Floor, and Swap trade types. As many Portfolio Managers are familiar with the FASB’s regulatory requirements, we introduced an “FAS Rule” pricing function to calculate a standard bond’s LIBOR and OIS discount PV for a 60-day historical period.
In this week’s RVFI Release, RiskVal enhanced the Swaption Trade sheet, by redesigning the PnL and Risk Summary as an independent panel. The Summary panel allows traders to customize desired columns to aggregate risk and panel for all trade types, and access the Risk Calculation functions such as Horizon Analysis and Bucket Risk. We also added column “Spot Swap ATM(%)” which shows the spot rate for the underlying swap. Traders may use this to compare the rate rolldown value. For the Tool –> Calculation Preferences, we added a global flag for derivative traders to flip the sign for ASW, OIS, and TED Spread to use Matched Maturity Swap – Bond Yield for spot and historical levels across: Bond Roll Analysis, Bond/Future Spreads & Butterflies, and G7 Bond Spread Table. In the Bond Roll Analysis sheet, we enhanced the “Gap Analysis” workflow where traders can perform forward-spot gap analysis, then generate spread and butterfly strategies and send directly to RiskVal’s “Swap Box” sheet to further analyze and track potential trading opportunities.
In this week’s RVFI Release, RiskVal introduced a new Custom PCA trade sheet for detailed Principal Component Analysis (PCA), providing traders with the flexibility to analyze custom PCA weighted swap strategies. Traders can tailor their fitting points using a set of spot/forward swaps to calculate PCA factors, track sprd/bfly strategy performance, and graph residual time series. For the Market View–> WI tab, there are now two analytical methods to modeling the WI30 roll. In this release, traders can study the “SP Derived WI roll”, a Forward STRIP calculation which measures the difference between the SP derived whole bond yield and the SP derived CT yield. In the Forward Swap Matrix sheet, we allowed traders to enter both USD and EUR spot and forward CPI swap strategies across any CCY-Libor tab. We also enhanced the “GBP – Libor” tab with added 40Y and 50Y tail to the lower forward swap matrix. Traders can then leverage the tail gap to compare the 40Y and 50Y tails.
In this week’s RVFI Release, RiskVal enhanced the Bond Roll Analysis sheet for USD by adding “Fwd Px” and “Fwd Px Drop” columns for traders who prefer to reference the carry component in price terms, based on the provided forward date and forward repo. For GBP, we introduced a “Bond Matrix” for traders to visualize the relative value spread performance for actively traded Gilts to pinpoint largest moves on the curve based on yield or z-score. In the Bond/Future Spreads & Butterflies floating window, we enhanced the RSI technical analysis for all strategies with added time series data for MACD and the corresponding S This data is also available withinthe Historical Viewer’s “TA” function. For the Historical Viewer sheet, we allowed traders to run historical and regression analysis using Volatility time series added: MOVE Index, Move 3M Index, Move 6M Index, and CBOE SPX Vol (VIX).
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.