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Calendar ASW Enhancement | Weekly Release 5/27/22


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.


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