November 17, 2018

RiskVal Fixed Income (RVFI) Release – 11/16/2018

In this week’s RVFI release, RiskVal enhanced Future CTD Scenario Analysis. We added a PCA Type dropdown that would allow users to choose the curve that best accounts for the variations in different currencies’ market volatility. A prime example is the Italian market, whose volatility is much higher than the previously used default German Swap Curve. Traders can now select either the CMT or Swap Curve for PCA Analysis on a given future contract.

We also improved USD Bond Roll Analysis by adding a “SOFR ASW Sprd” column using either YY or Z-Spread methods for users to analyze each bond’s performance against the SOFR curve.

Moreover, Market View → Basis Swap was enhanced. RiskVal team added CDOR vs CAD OIS basis so traders can analyze the Canada’s swap curve vs overnight rate basis. We also added JPY TONAR vs JPY 6M so traders can analyze Japan’s overnight rate and swap curve basis.

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November 11, 2018

RiskVal Fixed Income (RVFI) Release – 11/9/2018

In this week’s RVFI release, RiskVal is proud to introduce new Forward Swap Curve Analysis Floating Window. We enabled graphing function of the spot, forward, and historical curves in the same chart available for USD, EUR, and GBP. Another new addition to RVFI is expansion of EM coverage with Turkish swaps.

RiskVal also improved Market View → IRVOL to allow traders to compare the market implied vol and realized vol in one graph to analyze their historical performance. Furthermore, G7 Bond/Future Spreads & Butterflies Monitor was enhanced by adding “CIX Mid Price with Future Roll, which users can choose by right-clicking and choosing “CIX Px Sprd (mid) with Future Roll” to share and send strategies across the desk.

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November 2, 2018

RiskVal Fixed Income (RVFI) Release – 11/2/2018

In this week’s RVFI release, RiskVal is happy to introduce our SOFR Swap Curve in response to traders’ requests and its rise in popularity. This enhancement al allows traders to create SOFR Swap strategies and analyze their relative value performance in Forward Swap Matrix and New Swap Trade Sheets.

Additionally, we expanded the variety of currencies available for relative value spread analysis against RiskVal’s Constant Maturity Treasury (CMT) curve to include Netherlands, Austria, and Finland. This functionality is now available across EUR Sprd/Bfly, EUR Bond Roll Analysis & Forward Swap Matrix.

Furthermore, G7 Bond/Future Spreads & Butterflies Monitor was enhanced by adding “Dev to SMA” column, which is the deviation to # days Simple Moving Average (SMA). Traders can set alerts on this value, which represents the difference between the spot level and the average SMA(x).

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October 26, 2018

RiskVal Fixed Income (RVFI) Release – 10/26/2018

In this week’s RVFI release, RiskVal enhanced Bond/Future Spreads & Butterflies Monitor by adding option to calculate PCA scenarios using the Swap Curve or CMT Curve, and the Real Yield CMT Curve if possible (for example GBP). We also added numerous enhancements to G7 Bond/Future Spreads & Butterflies Monitor by adding support for for Italian high and low coupon CMT Curves, typed as “CMTITHI[#]” and “CMTITLO[#]”, respectively. Additionally, users can color-code different date ranges in regression chart and have an ability to add table management function to pop-out tabs. Moreover, Future Calendar Roll Monitor was enhanced by adding column for Implied Repo vs. OIS Rate with historical data included.



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October 20, 2018

RiskVal Fixed Income (RVFI) Release – 10/19/2018

In this week’s RVFI release, RiskVal made various additions to Bond/Future Spreads & Butterflies Monitor. New customizable columns now allow traders to map each individual cell to any other column. We added the Predicted FHT to the OIS YY Spread, OIS Z- spread and Invoice OIS Spread. In the GBP Bond/Future Spreads & Butterflies Monitor sheet, there is now support for SONIA futures: ONS, SOO, and MPC.  For the Gap Analysis function, we have added the DV01 and Forward DV01 columns to allow traders to calculate the expected return using carry and roll down. USD TBill Ted Sheet was also enhanced to give users ability to add two customizable “0 spread” columns in the USD TBill Ted sheet.

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October 13, 2018

RiskVal Fixed Income (RVFI) Release – 10/12/2018

In this week’s RVFI release, RiskVal improved its Forward Swap Matrix and New Swap Trade Sheet functionality by expanding EM coverage to include COP vs IBR. Users now have the ability to analyze Colombian swaps vs. IBR index (COOVIBR Index). GBP Bond/Future Spreads & Butterflies Monitor was also enhanced through integrating UK Central Bank Rates for traders to analyze spreads against UK government bond yields. Traders can enter ‘UKBRBASE’ for the Bank of England Bank Rate, or ‘SONIA’ for the Overnight Rate. Moreover, G7 Bond Roll Analysis received the following expansions:  added Future Summary matrix to Analysis menu for trader to compare Forward ASW and Invoice Spread for all future pairs in a given currency, and added option in User Preferences for traders to enable Greece, Cyprus, Ireland, Slovenia, and Slovakia.

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October 6, 2018

RiskVal Fixed Income (RVFI) Release – 10/5/2018

In this week’s RVFI release,  RiskVal enhanced Portugal Government Bond relative value spread analysis with an added Portugal Constant Maturity Treasury (CMT) curve. Traders can now leverage RiskVal’s full suite of PT CMT RVS columns with historical data, available in EUR Sprd/Bfly and EUR Bond Roll Analysis sheets. Moreover, traders can now analyze BRL forward swap’s “Vol Adjusted 3M Roll”, which RiskVal calculates using the realized vol, for Brazilian (BRL) swaps, and other currencies that do not have a swaption vol surface. For traders’ convenience, our team added the option to flip the Forward and Tail axes in the lower panel’s forward grids as preferred. Several enhancements were added to G7 Bond Roll Analysis. Specifically, traders can calculate the XCCY ASW for Eonia vs OIS basis (EUR), choose between money market yield vs OIS “MMY vs. OIS Rate” as an option in the lower panel graph (USD), and populate the Invoice Spreads for front and back future rows, without requiring forward date.

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September 29, 2018

RiskVal Fixed Income (RVFI) Release – 9/28/2018

In this week’s RVFI release, RiskVal improved G7 Bond and Future Spreads & Butterflies by enhancing the scatterplot feature, which allows traders to customize two date ranges to graph and compare the correlation and regression relationships. This feature is also available in Forward Swap Matrix. Additionally, Forward Swap Matrix now supports date-specific Central Bank meeting tickers for FOMC with history and allows users to build a Chile Swap Curve to analyze spot and forward starting CLP swaps for a wider variety of emerging markets. Bond Trade Sheet got enhanced to handle monthly SOFR Futures, such as SERU8 for 1-month SOFR Futures in the “Future” tab, so that traders can include them when running Bucket Risk for pre-trade analysis on their strategy.

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September 23, 2018

RiskVal Fixed Income (RVFI) Release – 9/21/2018

In this week’s RVFI release, RiskVal introduced new CNY Bond Roll Analysis for traders to analyze CNY bond performance on yield spread, ASW, Carry + Rolldown, and various other relative value measures. We made several enhancements to Forward Swap Matrix. RVFI now supports TIBOR/LIBOR basis to the JPY – Libor tab so users can compare LIBOR rate denominated in Japanese Yen to the rates published by the JBA for TIBOR. Additionally, we added support for LCH and JSCC basis for traders to compare swap rates based on two different clearing houses as well as support and historical data for regular and IMM forward-starting EONIA vs 1M and EONIA vs 6M basis. RiskVal also improved Bond Future in Market View by adding “Custom Delivery” field for users to enter their own delivery date, in case a date other than First or Last Delivery Date yields the lowest Net Basis. Moreover, users can now automatically create and set WI Bond as the DU future contract CTD when needed, prior to WI announcement.

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September 16, 2018

RiskVal Fixed Income (RVFI) Release – 9/14/2018

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.

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