Euro short-term rate (€STR)

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Euro short-term rate

On 21 September 2017, the ECB Governing Council communicated its decision to develop a new euro rate, based on data available to the Eurosystem, to complement the benchmarks produced by the private sector and to serve as their fallback.

The rate, called the euro short-term rate (€STR), measures the wholesale unsecured overnight borrowing costs of a sample of euro-area banks.

The calculation of the rate is based on the data collected as part of the Money Market Statistical Reporting (MMSR), a statistical collection introduced in 2016 for all transactions on the money market made by the main euro-area banks.

The Working Group on Risk-Free Rates (WGRFR) recommended the euro short-term rate (€STR) as the risk-free rate for the euro area.

Where is it published?

The €STR has been published since 2 October 2019, at 8.00 CET on each Target2 business day. It is available on the ECB website, on the Market Information Dissemination platform and in the ECB's Statistical Data Warehouse.

Calculation methodology

The €STR is calculated as an average of the rates of unsecured overnight deposit transactions carried out by banks with banking and non-banking financial counterparties, as reported in the framework of the MMSR. The methodology for calculating the euro short-term rate was defined on the basis of feedback from two public consultations and is in line with the principles set out by the International Organization of Securities Commissions (IOSCO).

The transition from EONIA to €STR

As part of its mandate, the WGRFR recommended the EONIA to €STR transition path for existing contracts. The recommendation was implemented by the EMMI which, following a public consultation, published the details of EONIA's new calculation methodology. Starting on 2 October 2019, EONIA is calculated as the €STR plus a spread, provided by the ECB on 31 May 2019 as 8.5 basis points. EONIA will be published until 3 January 2022. The transition to the €STR could be managed before that date by referring to WGRFR recommendations from a practical, legal, accounting and risk management perspective. Recommendations are available on the ECB's website.

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