Future NetBasis Enhancement | Weekly Release 9/17/21


Allow traders to use “Step Repo” curve to calculate the repo


To help traders have a better idea of what the CTD would be for later contract (more than 10 years) there is an option added to use a Step Repo curve to calculate repo. Opposed to the current default using a linear curve for the Repo. To enable the Step Repo, check on the “Step Repo” on the top of the sheet.