Trade Blotter Enhancement | Weekly Release 5/14/21


Enhancement#1


[Emerging Markets] Expanded the Bucket Risk to include the FX Spot and forwards for currency pairs such as USDMXN and USDBRL, as well as added the Emerging Markets Swap Risk


Added Bucket Risk calculation to include FX Forward and FX Option. For example, USDMXN 3M forward, will have exposure to USD bucket risk, as well as MXN bucket risk. There will be additional USD risk coming from the PV of the intrinsic value of the trade. This risk will be shown in "Bucket Risk" calculation and "EM Swap Risk" calculation.


"EM Swap Risk", is a combination of Bucket Risk, Basis Risk (including xccy basis), and spot fx risk. currently we support swap/basis swap/xccy basis swap/fx fwd/fx options.

Enhancement#2


Added the Benchmark CT and the CT spread columns to allow traders to set the benchmarks and the spread to the benchmark for Agency bonds


Agency traders looking at their agency bond positions in the “Trade Blotter”, can set the treasury benchmark directly in the “Bond” section. This way traders do not need to flip back to the “USD Agency” sheet to change the benchmark or set the yield spread to the benchmark to drive the price.

Note: (1) The USD Agency sheet must be active for the “BM CT” and “CT Sprd” columns to calculate. (2) To add the “BM CT” and “CT Sprd” columns, click on “Table” - “Manage Columns