Calendar ASW Enhancement | Weekly Release 5/27/22

Enhancement


Added “IRR OIS” & “IRR SOFR” rows to future table


Traders can now view the IRR OIS & IRR SOFR for the front & back future contracts in the middle future table to show the difference between the Implied Repo Rate and the OIS/SOFR/ESTR rates for the front and back delivery dates respectively. These values are also available in the Future Calendar Roll sheet.