Created a STIR view with new columns available for analyzing front & back future performance across Implied Repo vs SOFR, Implied Repo vs OIS, and Implied Repo vs Actual Repo, with added history for actual repo.
Leverage the new columns from the “Table” – “System View” – “Default-STIR” view.
D1 SOFR is the SOFR rate to the front contract’s delivery date
D2 SOFR is the SOFR rate to the back contract’s delivery date
FT IRR SOFR is the front contract’s implied repo rate – SOFR rate
BK IRR SOFR is the back contract’s implied repo rate – SOFR rate
BK IRR D1 SOFR is the back contract’s implied repo rate – front contract’s SOFR rate
FT IRR FT Repo is the front contract’s implied repo rate – actual repo rate
BK IRR BK Repo is the back contract’s implied repo rate – actual repo rate
Diff OIS Z is the back contract’s CTD OIS Z – front contract’s CTD OIS Z