EUR SSA Enhancement | Weekly Release 7/30/21


Added a new CMT curve for the “EU” ticker with the “EU CMT RVS” & “EU CMT dRVS” columns


RiskVal has built a new CMT curve using the EUR SSA EU ticker. To view the curve, traders can go to “Market View” – “Curves” – “EUR” – “CMT” – “EU SSA”.

This curve is constructed similar to the EUR DECMT curve in RiskVal, whereas the NSS model parameters are the same (short term threshold 8, long term threshold 20).


Additionally, “EU CMT RVS” & “EU CMT dRVS” columns have also been added to the EUR SSA sheet.


EU CMT RVS: The relative value spread (RVS) to RiskVal’sEU Constant Maturity Treasury (CMT) curve (bps)

EU CMT dRVS: EU CMT RVS change on day (bps)

Note: To add these measures to the EUR SSA sheet, click “Table” – “Manage Columns”.