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Trade Blotter Enhancements | Weekly Release 4/30/21

Enhancement #1

Added the Emerging Markets Swap Risk, similar to the Bucket Risk

EM Swap risk panel is specifically for emerging market swaps, it shows three risk types:

1. Bucket Risk

2. Basis Risk (including xccy basis risk), this is applicable to swaps with the OFFSHORE curve

3. Spot FX Risk, is applicable to the swaps with the NDIRS column is checked

Looking at these two BRL swaps with maturity date of 5 year and 10 year have the bucket risk and basis risk at the 5 year and 10 year points. Notice BRL with the “OFFShore” curve on will show the FX Risk as well



Added a Preference to select the default, whether it is on/off shore curve for emerging markets or if NDIRS is applicable

Traders can set the default curve type (ON/OFF Shore) and choose whether the NDIRS is applied to the EM Swaps.

1- Click on “Preferences” – “EM Swap Settings…

2- In the pop-up, each currency will have the option to select either “OnShore” or “OffShore

3- In the following column, select whether to apply the NDIRS as the default

4- Finally, hit “Save” to apply the settings

Note: The settings in this pop up will be applied to all the newly entered Emerging Markets swaps as saved by the user


Enhancement #3

Added the Gross Notional and Net Notional totals for bonds

Traders can add “Gross Notional” and “Net Notional” columns to the Summary tab by clicking on “Table” – “Manage Columns”.

After traders entered notionals in the “MM Notional” column and checked desired bonds (under the “X” column), “Gross Notional” and “Net Notional” columns will recalculate.

  • “Gross Notional” is an absolute sum of “MM Notional” for the selected bonds

  • “Net Notional” is the sum of the “MM Notional” for the selected bonds


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