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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.


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