Bond Roll Enhancements | Weekly Release 11/8/19

Enhancement #1

RV Analysis: Expanded the options in the Butterfly Generator section to include “tolerance”. Also, made RV Analysis available across G7 + AUD


To create more strategies, a “tolerance” option has been added to the “Strategy Generator” in the RV Analysis. When trying to match up bonds given a set length of time between the maturities, the Spreads or Butterflies may not generate the optimal strategy. Tolerance will allow the length of time between the maturities of the bonds to be more flexible.


In the sample below, you can see the best strategy is just shy of 15 months length, setting the length of one year with three-month tolerance. Opposed to a one-year length and no tolerance, this strategy would not have made it to the analysis.

Enhancement #2

Added a Gap Breakeven Analysis tool, especially useful for short-end traders to estimate funding for money market securities for a full investment period on a breakeven basis


Traders can use this tool, available across G7 + AUD, to compare the Term, Head, and Tail, given CD Rate or Discount Rate assumptions.


Click Analysis – Gap Breakeven Analysis.


Enhancement #3

[AUD] Added indicators for the CTD and Invoice Spread, where applicable in the live graph


Using the live graph in the Roll Analysis, traders can see where all the bonds lie relative to each other. The graph helps traders to quickly see which bonds stand out and are worth analyzing further. To give the trader a more visual cue on the AUD Futures and their CTDs, we have added highlights for both the CTD bond and the Bond Future. This way the trader can see how these behave in comparison to the surrounding bonds.

Enhancement #4

Live Graph: WI bonds will show the Alias in the tool tip


Before a new bond is auctioned, there are “When Issued” (WI) bonds used as a placeholder until the bonds are auctioned. Traders can model up these bonds and see them in the Live Graph of the USD Bond sheet.


Traders can create two WIs, with the same maturity and the same coupon, but different Roll Method. To differentiate them, give them different “alias names” in the WI tab.

In the live graph, the Tool Tip shows the Alias to differentiate which bond the trader is looking at.

Enhancement #5

Enhanced the “Analysis” menu and added Gap Analysis and Curve Analysis across CAD, JPY, and AUD sheets


The Gap and Curve Analysis floating windows are now available in the CAD, JPY, and AUD Bond Roll Analysis sheets increase uniformity of functionality across G7 + AUD Bond Roll sheets. Traders can open these floating windows by clicking “Analysis” in the menu bar, then selecting either “Gap Analysis” or “Curve Analysis”.


Gap Analysis allows traders to analyze the carry and rolldown performance of all bonds (or a user-specified range) and generate strategies based on said performance. The example below shows the gap spread for all CAD bonds in the 2019-2024 maturity sector.

Curve Analysis is a helpful tool for traders to more easily visualize the various curve shapes (including yield, Z-spread, RVS, and more) and see the distance between bonds across said measures. The example below shows the JPY Z-spread performance of all bonds in the 2019-2029 maturity sector.

Enhancement #6

[EUR] Expanded the “XCCY TASW” tool to calculate True Asset Swap adjusted by the CAD 3M vs EUR 3M Cross Currency Basis


With the CAD curve enabled on auto-build, select “Calculate” to click “Calc XCCY Basis”. Then, select CAD + Libor 3M.

First, RiskVal has the EUR 3M vs EUR 6M basis and CAD vs EUR xccy basis using the market quoted basis swap spread.


To calculate XCCY TASW for each EGB, RiskVal creates the xccy basis swap CAD 3M vs EUR 6M with same maturity as the bond, then sets the True ASW spread of each bond as the spread on the EUR leg, solve the B/E spread on the CAD leg, and returns the B/E spread is XCCY TASW.

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