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Market View – Curves Enhancement | Weekly Release 11/12/21

[USD] Added SOFR Spread Z Spline curve to the back end; “SSprd Z RVS” column already available in the Bond sheet

In this week’s release, RiskVal added “SSprd Z Spline” under “Curves” – “USD” tab.

Traders have option to load and look at the SOFR Spread Z Spline curve vs the Model SSprd Z curve in the back end.

In the USD Bond Sheet, traders can find “SSprd Z RVS” set of columns which shows the spread to the SOFR Z RVS, change on day, 3-month heatmap, and 3-month Z-score.


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