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CMS SS1OS Terminal Rate
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EFTA01365708.pdf
1 mentionEFTA01365708
piry 1 year CMS SslOs Strike ATMF (54.5bps) CMS SslOs Spot 71bps upfront premium offer (mid): 15bps (13.5bps) Terminal Payout: Notional*max (CMS SS1OS Terminal Rate-strike, 0) Settlement: Cash Trade Rationale and Implementation: Potential catalysts for steepening in the short term frame include: Economic rec
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