Trade Blotter Enhancements | Weekly Release 8/21/20

Enhancement #1


XCCY Basis Swap trades support overwriting of Sprd01 USD, to allow user to back out the notional

Traders who already have in mind which Spread 01 they want to trade can enter it in the Sprd01 Column to calculate the Notional needed to achieve the entered Sprd01. This process will make help traders quickly determine how much to trade dependent on how much risk they can take.

In the first row, the Sprd 01 USD was entered opposed to the second row, where the notional of 100 was entered.

Enhancement #2


Enhanced the Summary panel such that traders can sum up the convexity of their bond and swap positions from the “$Gamma N” column

To help traders gauge where their $Gamma N stands for their strategy, the swap’s Gamma will be included to the swap section and aggregated in the summary total. Trader can select the strategies on the left column under the x to add them to the summary table.

Enhancement #3


Enhanced the Historical VaR calculation and added Theta, which shows the Carry for bond positions

Traders can now see what the carry of the strategy would have been for each date listed in the Historical VaR analysis under the “Theta Risk USD”. This way the trader could see how the strategy would have performed that day, if it were traded.


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