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Trade Blotter Enhancements| Weekly Release 4/19/2024

# 1: Extended the RFR strip hedge to cover CAD


After entering CAD securities into Trade Blotter, traders can access future hedge from “Calculation”“RFR Future Hedge” – “3M RFR Future Hedge”. For CAD trades, RiskVal will now generate 3M CORRA future strip hedge.


Note: To select which trades to include in the hedge calculation, use the “X” column

# 2: Added risk separation flag for CAD securities


Starting in the CAD Prov sheet, traders can analyze how CAD provincials are performing versus CAD treasuries using the “Comp” set of columns. After selecting a pair of bonds, traders can <right click> in the “Comp Sprd” column & select “ToSprdBfly” for further analysis. Once in the Sprd/Bfly, traders can send the strategy to the Trade Blotter by <right-clicking> in the “SprdBfly” column & selecting “To Trade Blotter”.

After loading trades into Trade Blotter, traders now have the option to separate CAD treasury & provincial risk when running risk calculations. The new flag will be under “Preferences”“Separate Risks for CAD Trsy/Prov”. As a result, when running risk calcs, such as Key Risk, risk will be split into “Trsy Bond” & “Prov Bond” columns.


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