In this week’s RVFI release, RiskVal enhanced the Bond/Future Spreads & Butterflies floating window by allowing traders to analyze generic and issue-specific trading strategies with Constant Maturity Treasury (CMT) RVS for relative value performance with CMT RVS current level, daily change, Rich/Cheap Heatmap, and Z-Score columns. In the USD Sprd/Bfly, we added a “Clearing House” option for traders to compare the Invoice Spread using either LCH or CME. In the Bond Trade sheet, we added CMS Option and CMS Spread Option in the Trade Type dropdown, so users can do Horizon Analysis on their complete portfolio. For Listed Option strategies, we allowed users to configure option exchange premium based on: Last/Mid/Bid/Ask, or base it on the position long/short. For swaps, we added setting for traders to keep or switch the settle rule after changing the CCY of an existing trade. For the Market View –> Libor Curve Builder –> USD Libor enhancement, we added “Swaption Vol Model” to calculate the Eurodollar convexity using the volatility from the IRVOL grid as an alternative method to using the Cap/Floor Vol method if the Eurodollar convexity is too wide.
In this week’s RVFI release, RiskVal enhanced the Forward Swap Matrix Sheet by adding “IMM Fwd Swap Matrix” sub-tabs such that traders can generate the IMM Fwd and Tail Gaps to analyze rolldown opportunity. Traders can customize the IMM matrix to display either monthly or quarterly IMM dates. In both “Libor” and “OISwap” tabs, we added a “FRA-OIS” tab for short-end traders to quickly reference FRA, OIS, FRA/OIS spreads as well as IMM FRA, IMM OIS and IMM FRA/OIS spreads. In the TIPS USD Bond ASW sheet, we added “IOTA” column, which calculates the spread between the CPI curve and BEI on each TIPS issue. For the Bond Roll Analysis sheet, we created a dedicated HUF sheet, dedicated to Hungarian bond RV analysis and includes historical data. Additionally, traders can send HUF strategies to the Swap Box. We added CMT RVS in the G7 Bond Roll in the lower panel graph, which will update the right graph based on “Diff” option.
In this week’s RVFI release, RiskVal enhanced the USD Bond/Future Spreads & Butterflies floating window by enhancing inflation coverage for short-end traders to enter issue-specific T-Bills, as well as added “TBill MMYld-OIS” column to analyze the T-Bill Money Market Yield vs. OIS Swap Rate. We also allowed traders to track their strategies alongside broad market indices such as S&P 500, DOW, and NASDAQ. In addition, we supported EUR CMT forwards (Germany, France, Italy, and Spain) with added historical. Traders can enter CMT and the first two letters of the CCY code. For ex, “CMTDE5x5” is the German CMT 5y forward, 5y tail. In the Market View –> IRVOL tab, we extended Swaption Rolldown matrix to include a 1-week Rolldown option to study the Normal Vol surface shape. We also added “ActualSkew” tab, which calculates the difference between quoted Skew Vol and the ATM level, so traders can see the basis point spread and double click to access historical data. For the Basis Swap Monitor and Custom Basis Monitor sheet, we added non-quarterly points (J8, K8, etc) to the IMM matrix for USD/EUR/GBP basis.
In this week’s RVFI release, RiskVal enhanced the Fed Fund Simulation Sheet by adding historical data for “Expected # of rate hikes this year”. We also allowed users to overwrite and save FF rate, upper bound, lower bound, and hike interval, to customize the FOMC Probability Table. In the XCCY Basis Swap Monitor, we enabled traders to configure the CCY pairs, enabled traders to double click on the FWD basis matrix for historical data, allowed traders to configure the tenor of the XCCY basis matrix, which is 5Y by default, and enabled automatic activation of the settings to imply short-term XCCY basis swaps from the FX curves and to use live BBG data upon initialization of the sheet. For the Bond Roll Analysis Sheet, we added an option to switch between OTR Spline rolldown and CMT rolldown methods for G7 countries, and added the double-curve Z-sprd method for GBP CMT curve and set as default method for GBP CMT RVS calculations.
In this week’s RVFI release, RiskVal enhanced the XCCY Basis Swap Monitor by introducing a new window for real-time monitoring of XCCY basis swaps with respect to a chosen base currency (USD by default). In the new CAD STRIPS S&SP Sheet, we added CAD Coupon Strips and consolidated the Coupon Principals in a new sheet, which allows traders to analyze the strip curves, analyze ASW trends, and study the forward relationships. For the Swap Box sheet, we added key features to help traders navigate their Swap Box strategies more easily: Folder Hierarchy to organize strategies, Tab Management to control the number of active tabs shown, and Swap Box Smart Loading to optimize CPU usage.
In this week’s RVFI release, RiskVal enhanced the Fed Fund Simulation sheet by adding “Expected # of rate hikes for this year” as implied from the Fed Fund Futures, so traders can see a quantitative estimate of market-implied hikes through year-end. We simplified user experience by 1) highlighting the market implied rate hikes in the Fed Meeting Hike Prob(%) table, and 2) set them as Fed Path1 in the Simulation Path table as an example for Fed Path analysis. We also added a table and plotting function for the analysis of inferred FOMC rate paths. In the Basis Monitor and Custom Basis Monitor, we enabled traders to graph historical spot and forward “FF vs USD1M (Inferred)” basis. For the G7 Bond Roll Analysis sheet, we allowed traders to select multiple bonds from the “CMT RVS” column to create a multi-graph, and to leverage the “Spread Graph” and “Butterfly Graph” historical graphing features to send their strategies to Swap Box and Sprd/Bfly sheets.
In this week’s RVFI release, RiskVal enhanced the Swap Box sheet by enhancing the Eurodollar Strip Hedge calculation to handle EUR/GBP strategies maturing in 6 years as we added Euribor futures and Sterling Libor Futures out to the purple pack. In the Alert Monitor floating window, we added an option to consolidate alert messages into a batch email, which allows traders to manage a large number of incoming alerts during volatile markets. For the Tool –> GUI Preferences, we allowed Vol traders to configure the default NVol Ratio calculated throughout RiskVal so the Swaption vs. Exchange Listed Ratio (%) is consistent across both “Future Option Analysis” and “OTC vs. Exchange Vol Analysis” sheets.
In this week’s RVFI release, RiskVal enhanced the Future CTD Scenario Analysis sheet by allowing traders to analyze bond future Early Delivery scenarios, which may be the case as the yield curve flattens, and repo funding rates are high relative to CTD bond coupon. In the Bond Roll Analysis sheet, for the USD Bond Roll, the “Fed Hold” column contains key liquidity information for traders, which is now consistent and up-to-date with Treasury Direct SOMA (Fed Holding). In GBP Bond Roll, traders can enter their user-defined “Alias Name” as the benchmark bond in the “BM CT” column. For the Basis Swap Monitor & Custom Basis Swap Monitor, we added the 40Y and 50Y points for EUR3M vs USD3M, GBP3M vs USD3M, and JPY3M vs. USD3M XCCY basis swaps. We also extended the forward basis matrix to cover 20Y, 25Y, 30Y and 40Y forwards for EUR3M vs USD3M, GBP3M vs USD3M, and JPY3M vs. USD3M XCCY basis swaps.
In this week’s RVFI release, RiskVal enhanced the Future Option Analysis sheet, by allowing traders to send Future Option strategies to Bond Trade Sheet for detailed valuation, risk, $Greek, and scenario analysis on Puts/Payer and Call/Receiver strategies. In the new TIPS SEK Bond ASW sheet, we extended RiskVal’s TIPS coverage and introduced a new sheet for inflation traders to perform relative value analysis on Sweden Inflation Linked Bonds. For the Alert Monitor floating window, we allowed traders to filter alerts that have been triggered throughout the day at the sheet and/or strategy level across Bond/Future Spreads & Butterflies, Swap Box and Forward Swap Matrix. In addition, traders will now find alerts persist throughout the day so restarting intraday will not reset alert logs.
In this week’s RVFI release, RiskVal enhanced the Bond Roll Analysis sheet, by adding CMT RVS historical data for off-the-run bonds, such that traders can view its historical graph. We also added 3M CMT Rich<->Cheap and CMT Z-score to enable traders to view the CMT performance for all bonds. In the USD TBill Ted sheet, we added option to display ED Futures, FF Futures, or FOMC Rates table in the TBill TED sheet for short-end traders. For the Market View –> WI tab enhancement, we added Table Management tool such that traders can customize their own view(s). We also enabled traders to mark the WI bond forward YY ASW to derive the WI bond yield. Traders can use WI F.ZSprd, BM F.ZSprd, and Old CT F.Zspd the to come up with your estimate WW. F.ASW(YY) level.