Trade Blotter Enhancements | Weekly Release 7/30/21


Enhancement #1


[MTGE] Added support for Key Rate risk and Bucket risk

Entering “ISIN/FIGI”, RiskVal will populate the securities, but to calculate risk, check “X” column(s), and then click on "Pricing" - "Calc PV & Risk".


To calculate Key Rate risk, select the entered Mortgage bonds, then click “Calculation” – “Key Risk” – “Key Risk”. The Key Rate risk will load in a popup window.

Similarly, to calculate Bucket risk, traders can click “Calculation” – “Bucket Risk” – “Bucket Risk”. The Bucket risk will load in a popup window as well.

Note: Traders can select “MTGE” from the “Type” dropdown or create new tab by clicking on the “New” button and then selecting “MTGE”.

Enhancement #2


Added the option to change the Float Index to OIS (Fed Fund) for Swaption trades


Under the Swaption section of the Trade Blotter, traders can now set the “Float Index” to “FEDFUND” by using the dropdown.