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Trade Blotter Enhancements| Weekly Release 2/9/2024

#1 : [Custom Bond Cashflow] Added config to use spread adjusted curve to price PV & calc risk

When entering Custom Bond Cashflows to manage risk, traders have option to config the spread level to the CMT curve.

They can do this from Preferences” – “CMT Spread (bp)”. RiskVal defaults to -100 bps.

Note: From “Help” - “Sample Security Import” traders can access template to import cashflows

#2 : [3M SOFR Hedge] Added option to replace 1st 3M SOFR contract with 1M SOFR contracts


From “Preferences” traders have option to check “Hedge Replace 1st SFR with SER” and once they run SOFR risk, RiskVal will use 1M SOFR contracts.

On default, RiskVal uses 3M SOFR futures.


To run SOFR Hedge, traders can click on “Calculation” – “RFR Future Hedge” and check “3M SOFR Hedge”.

Note: To include strategies in the calculation, traders have to check “X” column



#3 : [Listed Option] Added support for Monday weekly options on US contracts


Traders can enter Monday weekly options for US contract in the “Opt Symbol” column under the Listed Option section. For example: VBLG24P2 119, VBLG24P2 125, etc.


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