Refinitiv beefs up term €STR with cleared LCH swaps
Use of OIS transaction prices reflects data-sufficiency worries and euro-market desire for T+1 publication
Refinitiv has updated its prototype euro short-term rate, or €STR, to incorporate executed swaps trade data, amid ongoing concern around data sufficiency and reliance on a single source.
Currently based on €STR overnight index swap (OIS) quotes streamed to Tradeweb’s dealer-to-client platform, Refinitiv’s updated methodology expands the top layer of the input waterfall to include €STR OIS trades
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