Central Bank Rate Enhancement | Weekly Release 11/26/21

Added columns to show the Implied CB rate and the Market CB Rate for each of the curves, with the “Manage Columns” menu


There are two ways to price the CB Meeting date’s rate, either “Implied” from the curve or taken directly from the “Market”. In this release, the two measures are available side by side to help the trader determine which valuation is best and adjust the “Live” rate accordingly.


In the screenshot below, the preference is set to use the Market data as the Live Rate, which makes the Live SOFR = Market SOFR. The Live SOFR is used in the Sprd/Bfly.