In this week’s RVFI Release, RiskVal enhanced the Basis Swap Monitor & Custom Basis sheet, by adding two Inferred Basis levels: FF vs 6M and 1M vs 6M to the Basis Swap Monitor sheets for intraday analysis. These numbers are inferred from the component basis swap market quotes. For the Calendar ASW sheet, we improved the AUD Bond Future relative value analysis, by creating a proxy underlying bond which allows for spot vs forward Z-Spread analysis. It provides a framework for the analysis of AUD Futures using the same approach which is leveraged in G7 markets. In the Forward Swap Matrix sheet, we added support for FRA 1M, 3M, 6m, IMM FRA, IMM forward swap and MAC swap tickers for G7 countries.
In this week’s RVFI Release, RiskVal enhanced the Basis Swap Monitor sheet, by analyzing whether the basis has richened/cheapened based on 1W, 2W, 1M, 2M, or 3M closing level. Previously, we only displayed the 1W and 2W change. Note: traders can also utilize this feature in the “Custom Basis Swap Monitor” sheet. We also enabled traders to chart the IMM “Forward Gap” and “Tail Gap” to analyze the rolldown and curve effect. This function is accessible from the lower panel’s IMM fwd matrix. For the Rolldown and Carry Analysis sheet, we allowed traders to choose to switch between Libor and OIS curves to calculate the headline spread on Rolldown, Carry, and “Net Rolldown + Carry” based on the user’s defined time horizon. In the G7 Bond Roll Analysis sheet, we added columns “C+R 3M Z-Score” and “C+R rich/cheap heatmap”, which summarize the current Carry and Rolldown profile of each security compared to the previous 3 months performance.
In this week’s RVFI Release, RiskVal enhanced the TIPS Bond ASW sheet, by adding TIPS Spreader function to quickly create TIPS spread strategies relative value based on Real Yield, BEI, or the seasonality adjusted versions of RYld and BEI. For the Swap Box sheet, we allowed traders to analyze the OIS Carry and Rolldown at the strategy level, based on the specified repo assumption and forward date. Previously, we only showed the ASWC+R breakdown. In the Bond Trade sheet, we redesigned the PnL and Risk Summary as an independent panel. The Summary panel allows traders to customize desired columns to aggregate risk and panel for Bond, Future, Swaption, Listed Option, Cap Floor, and Swap trade types. As many Portfolio Managers are familiar with the FASB’s regulatory requirements, we introduced an “FAS Rule” pricing function to calculate a standard bond’s LIBOR and OIS discount PV for a 60-day historical period.
In this week’s RVFI Release, RiskVal enhanced the Swaption Trade sheet, by redesigning the PnL and Risk Summary as an independent panel. The Summary panel allows traders to customize desired columns to aggregate risk and panel for all trade types, and access the Risk Calculation functions such as Horizon Analysis and Bucket Risk. We also added column “Spot Swap ATM(%)” which shows the spot rate for the underlying swap. Traders may use this to compare the rate rolldown value. For the Tool –> Calculation Preferences, we added a global flag for derivative traders to flip the sign for ASW, OIS, and TED Spread to use Matched Maturity Swap – Bond Yield for spot and historical levels across: Bond Roll Analysis, Bond/Future Spreads & Butterflies, and G7 Bond Spread Table. In the Bond Roll Analysis sheet, we enhanced the “Gap Analysis” workflow where traders can perform forward-spot gap analysis, then generate spread and butterfly strategies and send directly to RiskVal’s “Swap Box” sheet to further analyze and track potential trading opportunities.
In this week’s RVFI Release, RiskVal introduced a new Custom PCA trade sheet for detailed Principal Component Analysis (PCA), providing traders with the flexibility to analyze custom PCA weighted swap strategies. Traders can tailor their fitting points using a set of spot/forward swaps to calculate PCA factors, track sprd/bfly strategy performance, and graph residual time series. For the Market View–> WI tab, there are now two analytical methods to modeling the WI30 roll. In this release, traders can study the “SP Derived WI roll”, a Forward STRIP calculation which measures the difference between the SP derived whole bond yield and the SP derived CT yield. In the Forward Swap Matrix sheet, we allowed traders to enter both USD and EUR spot and forward CPI swap strategies across any CCY-Libor tab. We also enhanced the “GBP – Libor” tab with added 40Y and 50Y tail to the lower forward swap matrix. Traders can then leverage the tail gap to compare the 40Y and 50Y tails.
In this week’s RVFI Release, RiskVal enhanced the Bond Roll Analysis sheet for USD by adding “Fwd Px” and “Fwd Px Drop” columns for traders who prefer to reference the carry component in price terms, based on the provided forward date and forward repo. For GBP, we introduced a “Bond Matrix” for traders to visualize the relative value spread performance for actively traded Gilts to pinpoint largest moves on the curve based on yield or z-score. In the Bond/Future Spreads & Butterflies floating window, we enhanced the RSI technical analysis for all strategies with added time series data for MACD and the corresponding S This data is also available withinthe Historical Viewer’s “TA” function. For the Historical Viewer sheet, we allowed traders to run historical and regression analysis using Volatility time series added: MOVE Index, Move 3M Index, Move 6M Index, and CBOE SPX Vol (VIX).
In this week’s RVFI Release, RiskVal enhanced the Listed Option Trade sheet, by adding columns for Normal Greeks to Listed Option Trade sub-tab. These columns are also available in all other Trade Sheets that support Listed options, including Swaption Trade Sheet and Bond Trade Sheet, which allow traders to see the cumulative risk. We also added the “B/E Px” column, which shows the price at which the option intrinsic value is equal to the premium. In the Forward Swap Matrix sheet, we allowed traders to calculate the Carry and Rolldown for EONIA vs. EUR3M, in addition to other G7 XCCY Basis Swap strategies. For a comprehensive C+R profile of your strategy, we also added “Carry + Roll Z-Score”. For the USD Bond ASW Strip S+SP sheet, we enhanced STRIP (SP) relative value analysis with new “SP B/E MM Sprd” column to derive the STRIP breakeven matched-maturity spread as an indicator for SP performance against the whole bond, calculated as the difference between the STRIP B/E Yield and the Whole Bond Yield.
In this week’s RVFI Release, RiskVal enhanced the Bond/Future Spreads & Butterflies windows, by adding support for TIPS to the Butterfly Generator in EUR & GBP Sprd/Bfly, allowing traders to generate TIPS butterfly strategies. For EUR TIPS, traders can choose the “Type” based on the Country + Inflation index. Also, we added break-even inflation (TIPS nominal yield – TIPS real yield) relative value performance at the strategy level with added columns: BEI, dBEI, 3M BEI historical rich/cheap heat map, and BEI Z-Score. In USD Sprd/Bfly, enabled traders to leverage the “Orig” button to select more than one original issue series in the Butterfly Generator. Previously, traders could only select one original series at a time. In the Conditional Trade sheet, we added pricing flexibility for OTC option traders. Traders can lock in a multi-leg strategy Delta weighting, and then solve for notional or strike spread based on a custom-weighted conditional strategy.
In this week’s RVFI Release, RiskVal enhanced the New Swap Trade sheet by adding the AUD CPI Swap curve to Libor Curve Builder. Traders can now price AUD Zero Coupon Inflation swaps and track PnL and Risk. In the Forward Swap Matrix sheet, we added Central Bank meeting date tickers for FOMC, ECB, MPC, and BOC rates, which traders can enter in the corresponding “CCY-Libor” tab, allowing traders to track FOMC switch strategies and perform relative value analysis. We also enhanced RSI technical analysis graphs, such that traders can customize the date range to visualize the historical movement for longer periods. The RSI graphing feature is also available in the all Bond/Future Spread & Butterflies windows. For the G7 Bond RVS graph, we allowed traders to track the benchmark security multi-day performance on yield and 2+ RVS. This allows traders to quickly visualize curve rich/cheap performance over multiple time periods available in the “Closing Date” dropdown.
In this week’s RVFI Release, RiskVal enhanced the Bond Trade Sheet by allowing traders to bulk edit the forward dates in the Bond section. In the Bond/Future Spreads & Butterflies floating window, we enhanced the “Butterfly Generator” such that traders can use the “Bond Chooser” to use an issue-specific security for either L. Wing, Body, or R. Wing fields. We also allowed traders to set the “Curve” and “Corr BM” for each watch list. This is vital for EUR traders, such that they can independently compare different countries against any specified benchmark for further correlation and regression analysis. For the XCCY Basis Swap Trade sheet, we allowed traders to calculate the change of NPV due to a one basis point (1bp) increase in the XCCY basis swap spread with new columns: “Sprd01 Rec”, “Sprd01 Pay”, and “Sprd01 USD”. The value is calculated in terms of the Rec/Pay leg CCY or USD currency.