[EUR] Transition from EONIA to ESTR Enhancement | Weekly Release 10/22/21

Given the markets transition from EONIA to ESTR, there were a few adjustments in RiskVal to update the views and meeting dates to showcase the ESTR curve.


Forward Swap Matrix enhancement


Enhancement: “ECB#” meeting dates are now mapped to the ESTR ECB dates, the EONIA ECB dates are now using “ECBOIS#” format, also applied to the Historical Viewer


In the Forward Swap Matrix, the existing code of “ECB#” has been updated to propagate the Meeting dates using the ESTR curve, opposed to the previously showed EONIA curve. To show the meeting dates using the EONIA curve, a new ticker is introduced, “ECBOIS#”.


For those traders who want to switch over the ESTR Meeting dates, do not need to do anything. If you would like to continue to see the EONIA meeting dates, use “ECBOIS#” to re-enter the securities.


CB Rate Monitor


Enhancement: Added “Live ESTR”, “CoD ESTR”, “Step ESTR”, “Cumul Steps ESTR” columns


In the EUR tab of the CB Rate monitor, the ESTR meeting dates set of columns have been added.


Bond Roll enhancement


Enhancement: [EUR] Added the IVSPE YY/Z & IVSPE dYY/dZ columns


The default system view has been adjusted to better assist traders through the EONIA-ESTR transition. ESTR columns have been moved more to the left for better accessibility.

In addition, traders can now monitor “IVSPE YY/Z” & “IVSPE dYY/dZ” in the default view with the ability to <double click> the “IVSPE YY/Z” cells to get the historical data.


Note: “IVSPE dYY” and “IVSPE dZ” are available in the “Manage Columns”. To add or manage columns, click “Table” – “Manage Columns” and publish the new view.

Sprd/Bfly enhancement


Enhancement: [EUR] Added “ESTR Spread Z Rich<->Cheap” heatmap & “ESTR Spread Z-score” columns to complete the ESTR Z spread set of columns


In addition to changing the view in the EUR Bond, the default view for the EUR Sprd/Bfly was also updated to reflect focus on the ESTR curve. To complete the ESTR spread Z set of columns, the “ESTR Sprd Z Rich<->Cheap heatmap” & “ESTR Sprd Z ZS” columns were added.