TraditionData Enhances EUR OIS Pricer

In anticipation of greater EUR issuance in coming months, TraditionData says it has enhanced its EUR OIS (overnight index swaps) pricer with the additional of new functionality.

The firm says its broking desks can now adjust the IMM 3s6s basis with greater precision, through a single click, to shift IMM basis sets (whites, reds, greens) up or down by an increment they choose, currently set at 0.05 basis points.

Thieupgrade comes at what the firm says it “a crucial time”, with increased EUR short-end issuance expected in the second half of 2024. It adds that ensuring that 3s6s basis middles accurately reflect market levels is vital for Tradition’s broking clients, who 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,” says Steve Dalton, director of analytics at TraditionData.

The firm also says that in the coming months it 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 its adaptation to changing patterns of liquidity.