In this week’s RVFI release, RiskVal enhanced the Future Option Analysis sheet, by allowing traders to send Future Option strategies to Bond Trade Sheet for detailed valuation, risk, $Greek, and scenario analysis on Puts/Payer and Call/Receiver strategies. In the new TIPS SEK Bond ASW sheet, we extended RiskVal’s TIPS coverage and introduced a new sheet for inflation traders to perform relative value analysis on Sweden Inflation Linked Bonds. For the Alert Monitor floating window, we allowed traders to filter alerts that have been triggered throughout the day at the sheet and/or strategy level across Bond/Future Spreads & Butterflies, Swap Box and Forward Swap Matrix. In addition, traders will now find alerts persist throughout the day so restarting intraday will not reset alert logs.
In this week’s RVFI release, RiskVal enhanced the Bond Roll Analysis sheet, by adding CMT RVS historical data for off-the-run bonds, such that traders can view its historical graph. We also added 3M CMT Rich<->Cheap and CMT Z-score to enable traders to view the CMT performance for all bonds. In the USD TBill Ted sheet, we added option to display ED Futures, FF Futures, or FOMC Rates table in the TBill TED sheet for short-end traders. For the Market View –> WI tab enhancement, we added Table Management tool such that traders can customize their own view(s). We also enabled traders to mark the WI bond forward YY ASW to derive the WI bond yield. Traders can use WI F.ZSprd, BM F.ZSprd, and Old CT F.Zspd the to come up with your estimate WW. F.ASW(YY) level.
In this week’s RVFI release, RiskVal enhanced the Bond Roll Analysis sheets (G7), by adding graph for “Yield + CMT Model Yield” to expand functionality for the new CMT model implemented for key markets. Traders can use this graph to visually study the market level vs the CMT curve. In the Bond/Future Spreads & Butterflies floating window, we added tickers for Bloomberg inflation break-even rates. For example, traders can enter “USGGBE05” for the 5yr BEI rate, along with 10yr and 30yr. We also added historical data, which generates the 3M rich/cheap heat-map and allows for strategy performance analysis. Furthermore, we enhanced the historical data of break-even inflation, such that it is based on the specific matched maturity treasury bond for long term generic analysis. For the Invoice Spread Monitor floating window, we added “Currency” chooser, such that traders can select the desired currency from the list. This option enables traders to select the desired currency list for the invoice spread summary and analysis. We also added Invoice Spread vs 3M curve for AUD front and back futures with historical data.
In this week’s RVFI release, RiskVal enhanced the Bond/Future Spreads & Butterflies floating window, by introducing trend signals for experimental purpose. Observe strategy behavior and potential signals across strategies with newly added columns: (1) “Trend Slope” uses a linear model to make an approximation of the last 3M spread time series; (2) “dSprdSpeed” which is based on Exponential Moving Average (EMA) value to estimate how fast the spread has changed; (3) “Trend Change” to signal whether the trend has changed. In the Forward Swap Matrix sheet, we allowed traders to enter G7 on-the-run treasury benchmarks across G7-Libor curves to analyze cash vs. supported derivative instruments. With this enhancement, enter the 2-character country code and “B#” to refer to any on-the-run bond, such as “GBB30” for the sterling 30Y Bond. For the Market View -> WI TIPS, we enabled inflation traders to analyze the WI TIPS bond “Coupon Effect” as a measure of the high/low coupon effect between the WI TII and benchmark TIPS bond as a component of the “Total Roll (bp)”.
In this week’s RVFI release, RiskVal enhanced the Callable Bond Trade sheet, by adding columns to show traders the relevant Treasury Benchmark and Benchmark Spread for each Callable bond, to view the YTM spread. We also added YTW (Yield to Worst), which is the lowest yield of “Yield to Maturity” and “Yield to Call” for all call dates. In the Invoice Spread Monitor window, we redesigned this sheet with added flexibility for traders to configure their CCY’s and made the spot CTD information optional. We also added UXY for the Ultra 10-year bond future so traders can calculate the spot or forward hedge for UXY invoice spread strategies against Libor or OIS. For the Listed Option Strategy sheet, we added “Premium Selection” menu for the ‘live premium’ to use Last, Bid, or Ask Price based on trader’s long/short position.
In this week’s RVFI release, RiskVal enhanced the Future Option Analysis sheet, by adding support for weekly 10Y bond future options, such as “1MG8” for CBOT 10Y US Trsy Note Week 1 Options. This sheet is designed for RV traders interested in Puts/Payers vs. Calls/Receivers strategy analysis, as well as Exchange vs. OTC Vol Analysis. In the Swap Box sheet, we allowed traders to customize the number of visible strategy tabs with an added “tab limit” feature. In this release, we also consolidated tab visibility settings as “Tab Control” from the “Option” menu. We also added “dFwd Z-Sprd” column in the Strategy Analysis tab as well as at the strategy tab level. This column reflects daily change of Fwd Z-Sprd to the forward date entered. For the XCCY Basis Swap Trade sheet & Basis Swap Trade sheet, we added “MajorSprd01” column for traders to calculate their basis swap risk exposure for the stronger (major) CCY of the given currency pair.
In this week’s RVFI release, RiskVal enhanced the Forward Swap Matrix sheet, by allowing traders to enter G7 spot and forward OIS spreads across G7-OISwap tabs by using the first two letters of the CCY code. With this enhancement, traders can enter “EU5” or “EU1x5” in the “USD-OISwap” tab, for example, to analyze Eonia rates against USD OIS rates. In the Bond Trade sheet, the Summary Panel has a “3M Carry + Roll” column, which now aggregates bond positions along with all other trade types, to see the portfolio-level Carry and Roll-down profile. For the Bond Roll Analysis sheet, we enhanced the “Fwd Dt” tooltip to include GC Repo, OIS rate and 3M Libor rates based on the Forward Date entered.
In this week’s RVFI release, RiskVal enhanced USD Bond ASW Strip S + SP sheet, which now allows traders to configure the SP B/E price and yield calculators to use the Whole Bond Mid prices. By default, we use the bid/ask side relevant to the Strip or Recon function, and this option gives flexibility to STRIP traders. In the Bond Trade sheet, we added Inflation Bucket Risk for traders to analyze inflation swap exposure. For EUR, we decompose the risk buckets for Germany, Italy, France and Spain. To support portfolios containing ED$ future positions, Bond Trade sheet has enhanced “Key Rate Risk” and “Key Rate Risk (cashflow)”. In addition, traders can now include Fed Fund Future trades in the “Fed Fund Hedge” calculation. For Bond Roll Analysis sheet, we enhanced the Curve Analysis to quickly pinpoint OTRs and CTDs of the front/back future for each selected series. Traders can reference the diamond shape for the CTD, and the square shape for the OTR.
In this week’s RVFI Release, RiskVal expanded RiskVal TIPS coverage and introduced two separate sheets: one for AUD TIPS bonds, and another for CAD TIPS bonds for complete relative value analysis for inflation traders. For all “TIPS CCY Bond ASW sheets”, traders can double click on “P.ASW Z-Score” for any TIPS bond to analyze historical Z-Score performance on Proceeds ASW. In the Bond Trade sheet, we extended the Key Rate Risk and Key Rate Risk (Cashflow) calculations to support AUD Bond Futures. Traders can configure the risk points to decompose their key rate sensitivities. For the Forward Swap Matrix sheet, we enhanced G7 + SEK-Libor tabs to support USD and EUR spot and forward swap rates, which also includes historical data.
In this week’s RVFI Release, RiskVal enhanced the G7 Bond Spread Table floating window. With the current yield curve flattening, traders can leverage this monitor to study relative value performance for G7 benchmarks, spreads, and butterflies. In this release, we added new graphing features for traders to analyze historical and regression performance for the selected data type across all parts of the curve. In the Historical Viewer sheet, we created a synthetic WI bond as the CTD of generic DU back contract (DU2) and updated DU2 historical data like invoice spread etc., based on the synthetic WI. This approach removes the jumps in DU2 history during the period between DU2 roll date and new DEM CT2 issue date, and results in a DU2 curve that better tracks the DU1 curve. For the Bond Roll Analysis sheet, we enhanced the Curve Analysis display for traders to quickly pinpoint the CTD of the front and back future, such that the larger diamond shape highlights the CTD.