What does preceding a string literal with “r” mean?

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I first saw it used in building regular expressions across multiple lines as a method argument to re.compile(), so I assumed that r stands for RegEx.

For example:

regex = re.compile(
    r"^[A-Z]"
    r"[A-Z0-9-]"
    r"[A-Z]$", re.IGNORECASE
)

So what does r mean in this case? Why do we need it?

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