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RV Analysis Enhancement | Weekly Release 1/21/22

Added SOFR/ESTR asset swap measures

In the RV Analysis, RiskVal added SSprd YY/T/Z & ESprd YY/T/Z under the “Measure” dropdown.

Once traders apply their filters and hit “Generate Strategies”, RiskVal will populate top-performing spread and butterfly strategies.

When selecting the SOFR Spread YY/T/Z, RiskVal will populate SSprd/ESprd expected return and SSprd/ESprd mean reversion return columns with historical data.

For example, in the graph below, the Measure selected is the SSprd YY, which populates the “SSprd Exp Ret” and “SSPrd YY MR Ret

Note: Available in USD & EUR Bond sheets


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