Trade Blotter Enhancements | Weekly Release 1/7/22


Enhancement #1


Under Preferences, added “Futures Carry use CTD Repo” option


By default, futures pick up the IRR as the default 3M Repo. Traders can click on tab menu “Preferences” and select “Futures Carry use CTD Repo”. All the 3M repo values in the future table will update to using the GC repo.


Note: To add “3M Repo” column or customize column order, click on “Table” - “Manage Columns” in the future section



Enhancement #2


[Swap & Swaptions] Updated default floating index to RFR, configurable under Preferences – Swap Settings


In accordance with the LIBOR cessation, the default floating index has been updated to RFR. For USD/EUR, the floating indexes are defaulted to SOFR/ESTR, respectively. For other currencies, the floating indexes are now defaulted to OIS.


Additionally, traders can configure the floating index, which will apply to all empty rows and new tabs. To do so, click on “Preferences”- “Swap Floating Index” – “Currency” – “Floating Index”.

To change the floating index in one specific section, click on the “Preferences”- “Swap Floating Index” – “Currency” – “Floating Index”.

Note: This function is supported in Swaption section, named as “Swaption Floating Index” in the tab menu.


Enhancement #3


[Swap] Added Gamma P&L & Delta P&L

Gamma P&L” & “Delta P&L” columns have been added to the swap section of the Trade Blotter. Traders can configure the columns by clicking on “Table” in the swap table menu and open “Manage Columns”.


Enhancement #4


Added 3M Repo column for bonds & futures


Traders can customize the “3M Repo” used to calculate the “3M Carry” in the bond section of the Trade Blotter. Add the column from “Table” – “Manage Columns”. Then override it to automatically recalculate the “3M Carry

Note: In addition, the “Repo” column has been updated to show the “1D Repo



Enhancement #5


[Bond] Added the ability to choose the spot or forward DV01 under the Global Preferences


Traders have the option to choose whether to pick up the forward or spot DV01 in the “Summary” section of the Trade Blotter. The setting was added to the “Global Preferences”, under the “Global Calculation Preferences” – “Bond DV01” – “Forward/Spot