RV Analysis Enhancement | Weekly Release 1/28/22

Enhancement #1:


[CCY Bond] Added OIS/EONIA/SONIA Sprd YY measures


Added “EONIA Sprd YY”/ “SONIA Sprd YY” to the dropdowns in the EUR/GBP sheets, respectively; Added “OISprd YY” measure to the remaining currencies.


Once traders apply their filters and hit “Generate Strategies”, RiskVal will populate top-performing spread and butterfly strategies.


For example, in the graph below, when selecting the “OISprd YY” measure, RiskVal will populate OISprd YY expected return (OISprd YY Exp Ret) and OISprd YY mean reversion return (OISprd MR Ret) columns.

Similarly, in the EUR/GBP sheets, when selecting “EONIA/SONIA Sprd YY” measure, RiskVal will populate EONIA/SONIA expected return (EONIA/SONIA YY Exp Ret) and EONIA/SONIA YY mean reversion return (EONIA/SONIA MR Ret) columns.


Enhancement #2:


[Forward Swap Matrix] In RV Analysis, added SOFR/ESTR IMM & OIS IMM to Curve dropdown


Added “IMM SOFR” & “IMM ESTR” measures to the “Curve” dropdown in RV Analysis in USD/EUR Bond sheets, respectively. Also added “IMM OIS” to all CCY Bond sheets.


Once traders apply their filters and hit “Generate Strategies”, RiskVal will populate top-performing spread and butterfly strategies.


For example, in the graph below, when selecting “IMM SOFR”, RiskVal will populate top performing IMM SOFR spread & butterfly strategies.

Note: Similarly, in RV Analysis in the EUR tab, when selecting “IMM ESTR” from the Curve dropdown, RV Analysis will load top performing IMM ESTR strategies.


Enhancement #3:


[Future CTD] Added RV Analysis function to show the top spreads to the CTD


Added “RV Analysis” under the “Analysis” menu.


In RV Analysis, the CTD will be set as the only “Must Include Bond” by default. After setting filters & clicking “Generate Strategies”, RiskVal will generate the top spread & butterfly strategies between the CTD Bond & any other bond in the deliverable basket that is not a WI.


For example, in the screenshot below, the 2.625 31-Dec-2023 is the CTD so it will be included as a leg in all of the generated strategies against the other bonds in the deliverable basket of TUH2.