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RV Analysis | Weekly Release 11/26/21

1) [CCY Bond] Added Mean Reversion Frequency and 1Std Mean Reversion Frequency filters

In CCY Bond sheets, traders can access “RV Analysis” from the “Analysis” dropdown.

Enhanced RV Analysis to allow traders to select strategies that meet their Mean Reversion Frequency (“MR Freq”) and one standard deviation mean reversion frequency (“1Std MR Freq”) criteria.

2) [CCY Bond] Under “Must Include Bond” filter, added “All OTRs”

The RV Analysis has been enhanced to allow traders to select all the On-the-Run bonds to be included in the “Must Include Bonds” list of the RV Analysis.

3) [USD Bond] Added Cross Country RV Analysis

To access Cross Country RV Analysis, in USD Bond sheet click “Analysis” – “XCountry Sprd RV Analysis”.

Traders looking to explore cross-country spreads between USD bonds, EUR countries, and UK can do so leveraging the Cross-Country RV Analysis.

Traders can choose the countries in the country selector. Similarly, to the RV Analysis, after setting filters click on “Generate Strategies” to run the analysis. The top strategies will be generated.


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