Interest rates are calculated and published as a decimal represented annualized yield using a simple interest calculation.
Implied Rate Publications
Orders routed to the Central Limit Order Book (CLOB) are tagged with an implied rate and calculated based on the time of entry or last modification.
Partially Filled / Filled Orders
Implied rates for partially filled and filled orders are calculated at the time of match.
Block Trades (Strategy) and EFP Trades
Implied rates are calculated using the leg prices reported to Delta1 by reporting parties. For Block Strategies market participants are required to enter both the spread price, and a benchmark for the front leg. For EFP trades, participants submit both the EFP price as well as the price of the physical leg on the transaction.
Outright Block Trades
Implied rates are not available for Block trades reported to Delta1 in outright SSFs.
Rate-Overlay vs Static Rates
Currently implied rate data on working orders available over Proprietary Real-time Market Data services only update when there is a change in the order price or quantity. This rate is referred to as a Static Rate, reflecting the implied rate based on the working order's last modification time.
On the DeltaOne Trading Front-end a rate-overlay is applied to the implied rate market data field that reflects real-time changes in the future value of leg prices as well as the component weighted present value of future components. Updates to the implied rates at each price level are disseminated in real-time and viewable on the trading front-end.