top of page

Trade Blotter Enhancements| Weekly Release 5/17/2024

# 1: [MTGE] Added the Convexity and $Convexity

 

To create a new tab with mortgage securities, click “New”, give the tab a name, & select “MTGE”. To open mortgage in a current tab use the “Type” dropdown & select “MTGE”.

 

“Cnvx” & “$Cnvx” columns have been added to the MTGE section.

 

Column

Definiton

Cnvx

2nd order derivative of rate risk; how much the DV01 moves for a rate move of 1%.

 

= 1/price + d^2Price/dYld^2

$Cnvx

= Cnvx dirty price / 100 notional / 1000,000 * mortgage factor

 

Note: These columns can be added from “Table” – “Manage columns



---


# 2: [Swap] Allow users to enter the meeting dates as Start/Maturity dates

 

Traders can now use central bank meeting format to populate “Fixed Start” & “Fixed Mty” for swaps. For example, traders can use “FOMC1” in “Fixed Start” & “FOMC2” in “Fixed Mty” & RiskVal will automatically populate corresponding swap start & end dates (in this case 13-Jun-2024 & 01-Aug-2024). The same can be done for other meeting dates as well, for example “ECB#” & “MPC#”.

 

Note: Make sure to switch the “CCY” column to corresponding currency for the meeting date format to work. 

Comments


bottom of page