Trade Blotter Enhancement | Weekly Release 8/14/20

Enhanced Basis Swap trade types such that traders can enter custom levels for the Sprd01 value to solve for the notional amount

Previously, the relationship between the two values was unidirectional and traders could only change the notional value. Now, traders who anchor on the Sprd01 level can use it to back out the rest of their strategies.

To utilize the now editable Sprd01 column, first enable Basis Swap trades in the Trade Blotter by clicking the “Type” drop-down and selecting “Basis Swap”. The default view (Table – System Views – Default) has this column enabled but traders using a custom view can add it by clicking Table – Manage Columns and searching for “Sprd01”.

Once a trader has entered their currency, dates, and index information then enter a placeholder notional value to price the strategy. Once the B/E Spread and all other information has populated, traders can then enter custom values for the Sprd01 to drive the notional amount. The backed out notional amount is calculated as: (user input Sprd01)/(Sprd01 per 1MM) * 1MM.

Of note: if a trader changes the sign (negative/positive) of either the Sprd01 or the notional value then the pay/receive legs will be switched.

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