Euro short-term rate (€STR)

In the process of the interest rate benchmark reforms, the Eurosystem has developed a euro short-term rate - €STR and on its basis a compounded €STR for standard tenors. As an interest rate benchmark, the €STR plays an important role in the financial and banking system and in the economy as a whole. The design and implementation of the €STR is consistent with international best practice set out in the International Organization of Securities Commissions (IOSCO) Principles for financial benchmarks.

What is the euro short-term interest rate (€STR)?

The €STR is euro overnight short term-interest rate, calculated on the basis of unsecured euro deposits which reporting banks receive from other banks and non-banks (e.g. insurances, investment and pension funds, etc.). It is calculated from 2 October 2019 onwards.

The €STR is based on statistical reporting, which includes around 50 largest banks in the euro area in terms of balance sheet size. Participating banks report unsecured money market transactions in accordance with the Regulation on Money Market Statistics (Regulation ECB/2014/48).

On 3 January 2022, the €STR will finally replace the EONIA interest rate, which has been based on the €STR since October 2019 and amounts to the €STR plus a fixed spread of 8.5 basis points. The EONIA will no longer be published after 3 January 2022.

How is the €STR calculated?

The €STR rate is published for each TARGET2 business day using transactions of overnight unsecured fixed rate deposits conducted and settled on the previous TARGET2 business day. It is calculated as an average interest rate weighted by the volume of transactions, rounded to three decimal places. The calculation is done as follows: (i) transactions above 1 EUR million are ordered from the lowest to the highest rate, (ii) transactions occurring at each rate level are aggregated, (iii) top and bottom 25% in volume terms are removed, (iv) the mean of the remaining 50% of the volume-weighted distribution of rates is calculated. 

The contingency procedure is triggered if the number of reporting banks is less than 20, or if five banks account for 75% or more of the total volume of transactions. In this case, the €STR is calculated by combining the rate from the previous TARGET2 business day with the rate that would result from applying the standard methodology to the available trades on the day in question, then a volume-weighted average is calculated using the resulting rate of both dates.

In order to support the transparency, together with the €STR, the following related information is published: total nominal value of transactions before trimming in EUR millions, number of banks reporting transactions before trimming, number of transactions before trimming, percentage of total nominal amount reported by the five largest contributing banks that day (as a whole number),   calculation method (normal or contingency), rates at the 25th and 75th percentiles (with two decimal places).

Where is the €STR published?

The ECB publishes the €STR at 08:00 CET on each TARGET2 business day. If the ECB does not publish the €STR by 09:00 CET, the rate of the previous TARGET2 business day applies.

The €STR is published on the ECB’s website, via the ECB’s Market Information Dissemination (MID) platform and in the ECB’s Statistical Data Warehouse (SDW). Exceptionally, the ECB may revise and re-publish the €STR once on the same day at 09:00 CET.

What is the compounded €STR?

The ECB started publishing compounded €STR average rates and a compounded index based on the €STR on 15 April 2021. Compounded €STR average rates include tenors of 1 week, 1 month, 3 months, 6 months and 12 months. Additionally, on a daily basis the index enabling the derivation of compounded rates for any non-standard tenor is available. The rules for the calculation and publication of the compounded €STR average rates and index were published on the ECB’s website.

The ECB publication takes place on each TARGET2 business day at 09:15 CET. The data are published via the Market Information Dissemination (MID) platform and through the ECB’s Statistical Data Warehouse (SDW).