€STR


Euro short-term rate is a reference rate for the currency euro. The €STR is calculated by the European Central Bank and is based on the money market statistical reporting of the Eurosystem. The working group on euro risk-free rates has recommended €STR as a replacement for the EMMI Euro Overnight Index Average as the Euro risk-free rate for all products and contracts.

History

20 September 2017: ECB's Governing Council has decided to develop a euro short-term rate based on data collected by the Eurosystem for money market statistical purposes.
13 September 2018: The working group on euro risk-free rates recommends to replace the EONIA with the euro short-term rate.
12 March 2019: The ECB decided to use the acronym „€STR“.
2 October 2019: Start publishing the rate.

Characteristics

Characteristics of the €STR:
The ISIN is EU000A2X2A25.

Methodology

Overnight rate

The €STR is calculated using overnight unsecured fixed rate deposit transactions over €1 million.
For each TARGET2 business day the €STR is calculated as a volume-weighted trimmed mean.
Steps of the calculation:
The €STR is published on every TARGET2 business day at 8:00 CET. If errors are detected, the €STR is revised and republished on the same day at 9:00 CET.

Forward-looking term structure

An OIS quotes-based methodology as the €STR-based forward-looking term structure methodology is recommended as a fallback to Euribor-linked contracts. The working group will analyse further approaches.