RVS Consensus+ Tour

Customers can access all Consensus+ Data through the RVS Web Portal or through the RVS Web API.

The graphic representations shown vary by Asset Class and show how the RVS Consensus+ Service provides the Transaction Based Validation of both Customer Submissions and the Consensus Rate Set.

The RVS Consensus+ Dashboard for IR Swap Options displays a heat map showing quickly identifiable information by currency – such as Breach Scores and Certainty Index. These are a measure of the quality of the submissions to the Rate Set.

Historic Rate Sets are selectable by Business Date.

Detailed information and analysis data is available by selecting the desired currency on the Dashboard, which displays the Currency Heat Map.

Detailed information is quickly identifiable by Exercise and Tenor combination – such as the location of trades, certainty index and breach scores.

Switching between Trade Surface and Consensus views here will allow detailed examination of both Trade and Consensus Rate Sets.

Selecting an Exercise / Tenor combination (Smile) shows detailed information for that Smile. Here, a Volatility by Strike chart is displayed for the USD Trade 1y x 10y Smile. The density and distribution of trades around the At The Money (ATM) point is shown, as well as the location of trades.

Selecting the Table Elective provides a breakdown of all points in the Smile, as well as any evidential trades that were used to construct the surface.

Dispersion Charts are available when viewing Consensus+ Rate Sets, and provides an at-a-glance view of the dispersion of all submissions to that Consensus.

Through extensive experience analysing and preparing trade data, RVS Consensus+ can offer searchable historical data (time series) to cover Regulatory Requirements across all Asset Classes. This can be downloaded immediately in multiple formats to suit the user.

An example is shown for USD IR Swap Option trades below. Showing BCBS FRTB minimum transaction requirements as proposed in legislation. Here the number of trades is greater than or equal to 24, applied to all tenor and exercise combinations in swaption volatility surface.

RVS continues to find ways to innovate to help customers more quickly deal with significant quantities of data and ongoing resource constraints.

We have introduced 3D Charting tools to provide additional information to our Trade and Consensus Rate Sets as well as showing Back Tested Transactions across the Consensus Surface. These allow instant comparison of Trade, Consensus and Contributor’s Submissions by Tenor and Exercise.