Future CTD Enhancements | Weekly Release 4/24/20

Enhancement #1

Enhanced PCA scenario analysis allow users to use RiskVal’s Constant Maturity Treasury (CMT) curve instead of the Swap curve on default

In the PCA scenario analysis calculation the bond par swap rate history is now able to be calculated based on the CMT curve instead of the Swap curve. The CMT curves are oriented to better analysis of the micro-structure of bonds. The Swap curve includes ED Futures and Swap curve fitting points, which don’t lend themselves to show the true nature of the bond universe. Traders can choose to use either the CMT or Swap curve for the PCA analysis under the “PCA Type” column drop-down.

Of note: for Italian Futures the CMT IT High curve is used

Enhancement #2

Added “Dlv Scen bps” column that shows “Dlv Scen Std” in bps

Traders can now add the “Dlv Scen bps” column to their layout to compliment the “Dlv Scen Std” column. The Dlv Scen Std column shows the number of standard deviations the curve would have to move in order for a CTD switch to be possible. That same information can now be seen in terms of basis points for easier readability.