In this week’s RVFI Release, RiskVal enhanced the Bond Roll Analysis sheet by adding a “Custom Spline” curve in the GBP Bond Roll sheet, which allows traders to customize the fitting points of the Spline model. The custom curve can be used to analyze the curve roll-down characteristics of gilt issues. We also added an additional filter based on “FedHold%”, which allows traders to filter out bonds with the least SOMA holdings. In the Conditional Curve Monitor sheet, we added support for AUD so traders can monitor and create Conditional Curve strategies hedged based on ATM strike. For the Forward Swap Matrix & Spread/Butterfly window, we enhanced the RSI technical analysis graphs to include historical time series data for RSI and spread levels on cash/derivative strategies.
In this week’s RVFI Release, RiskVal enhanced the Market View -> Basis Swap by adding JPY LCH/JSCC basis, so traders can track the LCH levels for their JPY strategies in Forward Swap Matrix and New Swap Trade sheets. In the Bond Trade sheet, we showed the PCA Parallel Factor (F1) risk for each position, which is the 1 standard deviation risk according to previous 3M yield curve PCA. Available for Bond, Future, Swap, and Swaption positions. For the Bond Roll Analysis sheet, we expanded the multiple graph functionality horizontally, such that traders can compare relative value across different measures and securities for dynamic analysis. Traders can run regression analysis and create multi-graphs on any measure with historical data. Also, in the GBP Bond Roll, we enhanced the “Calc” –> “Optimizer” with redefined maturity buckets to identify the top 5 cheapest/richest performing securities on Z-Spread, RVS, TED, OIS. In the USD Bond Roll, traders are allowed to graph the Fwd RVS values against the spot RVS levels for each point in the lower panel graph based on the forward date entered.
In this week’s RVFI Release, RiskVal enhanced the XCCY Basis Swap Trade sheet by refining the “Cashflow” tool by aggregating the portfolio’s exchange of cashflows by currency, providing a detailed analysis of each CCY’s notional, pay/rec CF, net CF, and PV for each payment date. In the Bond/Future Spreads & Butterflies floating window, we implemented “First Hitting Time” (FHT) framework to “Z-Spread” and “RVS” measures in addition to “Yield”. FHT is a popular game theory method, which we apply to fixed income strategy analysis by using a 20-day moving average to analyze Mean Reversion (MR) patterns and model the speed of coverage to predict the # of days needed for the residual=0 based on various confidence levels. For the USD Strip S & SP sheet, we enabled traders to graph Strip Coupon and Principal curves on Yield, ASW (True, YY, Z-Spread, Z-Spread Z-Score), and OIS spread.
In this week’s RVFI Release, RiskVal enhanced the new USD Strip S & SP sheet by adding a sheet to combine Strip Coupon and Principal bonds in a single view, making it simpler for STRIP traders to manage their analysis. In the G7 Bond Roll Analysis sheet, we expanded “XCCY TASW” to calculate True ASW levels adjusted by the XCCY Basis Swap Curve to analyze local bonds against AUD. We also in the USD Bond Roll added “Fwd 2+ RVS”, “Fwd 2+ Repo” and “Fwd RVS drop” columns to estimate spot vs forward performance of RVS. For the Listed Option Strategy sheet enhancement, we added realized vol for the entered future contract, based on 25-day future price movement. We also analyzed the historical performance by double clicking in the “Rlzdbpvol” column for historical graph.
In this week’s RVFI Release, RiskVal enhanced the G7 Bond Roll Analysis sheets by adding the popular “Key Rate (Cashflow) risk” calculation from Bond Trade Sheet, which allows traders to analyze the risk breakdown on liquid points for any selected bond and specified Notional. We also enhanced the “Gap Analysis” function to cover the entire G7 market, so traders can easily summarize the Carry and Rolldown for each issue. In the Forward Swap Matrix sheet, we added ticker “BSEOFF-#” so traders can create EONIA vs Fed Fund basis swap strategies, and analyze their relative value performance. For the USD Bond/Future Spreads & Butterflies floating window, we allowed traders to monitor yield curve forward rates based on the CMT curve, and create strategies based on the same for roll-down analysis.
In this week’s RVFI Release, RiskVal enhanced the Calendar ASW sheet by increasing Calendar Roll liquidity, such that traders can mark the CTD spot yieldspread to improve precision on their calendar roll rich/cheap analysis. RiskVal will recalculate the derived CTD Gross Basis, Net Basis, and Implied Repo. In the New Swap Trade sheet, we added a “Tab Option” menu to tailor each tab’s default Currency, Floating Index, Roll Convention, and Clearing House. We also added “Daily Carry” to analyze each swap position’s daily carry, calculated from the previous business day to today. For the Bond Trade sheet, we expanded the summary panel with “Total Sum (Daily Carry $)” to calculate your portfolio’s daily carry in USD, calculated from the previous business day to today for selected bond and swap positions.
In this week’s RVFI Release, RiskVal enhanced the G7 Bond Roll Analysis sheet by adding “ASW C+R” and “OIS C+R” columns, to show the curve implied Asset Swap and OIS Spread Rolldown and Carry estimate on each government issue. In the Swaption Trade Sheet, we added “Percentile” and “Target Rate” columns, which allows vol traders to study the forward swap rate distribution on their swaption strategies based on the SABR Vol Skew. For the XCCY Basis Swap Trade sheet, we added “EONIA vs OIS” basis, so traders can create and price positions on the EUR/USD funding curves.
In this week’s RVFI Release, RiskVal enhanced the Bond Roll Analysis sheet by enhancing the “Curve Analysis” tool with added filtering options available for traders to input any “Maturity Range” and “Coupon Range” for advanced curve comparison. Also, we added “ASW C+R” data type to discover carry and rolldown opportunities. Additionally, we added two columns to show the Gross Basis Bid and Ask levels implied from the BTEC swap box spreads on all deliverable bonds. In the Bond Trade sheet, we added “Clearing House” flag for “Swap” and “Swaption” trade types to calculate your portfolio’s NPV based on trader’s LCH or CME clearing house. Portfolio managers who use CME as their clearing house can now adjust at the “Swap” and/or “Swaption” sub-tab level, as opposed to adjusting each trade one at a time. For the Repo Trade sheet, we allowed traders to book repo and reverse repo trades, and analyze their “ED$ Strip Hedge” and “Fed Fund Hedge” for their repo portfolio.
In this week’s RVFI Release, RiskVal enhanced the new Custom Basis Swap Monitor sheet by introducing a refined version of our “Basis Swap Monitor” foundation for Basis Swap traders to customize their tab layout for centralized spot and forward basis swap analysis. In the Market View -> FX Curve Builder tab,we moved the FX Forward Curve Builder as a tab under “Market View” which traders can configure for available cross currency pairs. We also added option to imply the short-term Cross Currency Basis Swaps from the FX Curve, available under “Calculation Preferences”. For the Bond Roll Analysis sheet, we enhanced the “XCCY TASW” calculation based on the selected G7 curve and the corresponding Libor Index to analyze True ASW levels adjusted by the Cross Currency Basis Swap curve. We also enhanced the Curve Analysis tool with added “C+R” and “Vol Adjusted C+R” to analyze carry and rolldown for the entire curve.
In this week’s RVFI Release, RiskVal enhanced the Docking Window GUI by allowing traders to rename any docked window for seamless navigation. Traders with several docked tabs in a single floating window will find this essential for floating window management. In the Forward Swap Matrix sheet,we expanded the XCCY Basis Swap strategy coverage such that we calculate the Carry and Rolldown for all supported G7 basis. We also added history for the 9M forward OIS curve for the following currencies: G7, CHF, and AUD. For the USD Bond Roll Analysis sheet enhancement, we refined the Gap Analysis matched bond logic. If there is no matched bond based on “Orig” series and “Fwd Period”, we will calculate the roll down matched bond value using maturity-weighted interpolation.