In the Blotter Manager added “SOFR Hedge”, “Meeting Date Rate Hedge”, “Inflation Risk”, “Swap Spread hedge”, “Basis Risk”, and “Gamma Risk” to the Calculation dropdown
From last week’s release, traders have been able to access the risk from the Blotter Manager, however, it was limited to Key Rate Risk and the Bucket Risk. In this release the available risk have been expanded to include the Inflation Risk, SOFR Hedge, Meeting Date Rate Hedge, Inflation Risk, Swap Spread Hedge, Basis Risk, and Gamma Risk.
Added support for 1 month EUR Overnight future such as “OMM1”, “OMU1”, etc.
Traders can enter EUR overnight futures to see their impact on their strategies.
Added “Sprd01” column to the Summary section for basis swaps
Traders looking at a list of Basis trades, can see their collective Sprd01 and Sprd 01 USD in the summary section. To see this column the trader must add it from the “table” – “Manage Columns” menu.