We recently enhanced our EUR OIS Pricer by adding new functionality that allows the broking desk to adjust the IMM 3s6s basis with greater precision. With a single click, they can now shift IMM basis sets (whites, reds, greens) up or down by an increment they choose, currently set at 0.05 basis points.

This upgrade comes at a crucial time, with increased EUR short-end issuance expected in the second half of 2024. Ensuring that 3s6s basis middles accurately reflect market levels is vital for our broking clients. Whether buying or receiving, they need to know that the EURIBOR Annual Bond 6m and equivalent 3m levels are spot-on, so they can hedge risk effectively.

“For our data consumers, this means more accurate and immediate curve adjustments in the OTC market, leading to greater precision in both the basis and individual annual bond data sets.” Steve Dalton, Director of Analytics.

Furthermore, in the coming months will be releasing enhancements to short end EUR rates modelling to reflect recent increased use by the professional market of ESTR futures on ICE and EUREX, as part of our constant adaptation to changing patterns of liquidity.

At TraditionData, we offer extensive coverage across EUR interest rate (both EURIBOR, ESTR and Interest Rate Options) and inflation swaps. Get in touch with our global sales team to find out more.

Press Coverage

Futures & Options World (FOW), Monday 19th August 2024: TraditionData to update models as ESTR volumes rise

The Full FX, Wednesday 21st August 2024: TraditionData Enhances EUR OIS Pricer

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