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IVSP Enhancement | Weekly Release 6/12/20

Added columns to show the OIS rate to the future delivery date, Implied Repo Rate vs OIS rate, along with Future Invoice Spread Carry + Rolldown for both ASW and OIS calculated from the settle date to the bond future’s delivery date

As a reminder, the invoice spread sign can be flipped by going to: Preferences -> Global Preferences and search “ASW” to check/uncheck “Flip ASW”. Click “Apply” to recalculate all metrics in RiskVal.


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