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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.





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


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


= 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. 


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