Euro short-term rate (€STR)

The ECB’s Governing Council has decided to develop a euro short-term rate (€STR) based on data collected by the Eurosystem for money market statistical purposes. The €STR will reflect the wholesale euro unsecured overnight borrowing costs of euro area banks and will complement existing benchmark rates produced by the private sector, serving as a backstop reference rate.

The working group on euro risk-free rates recommends that market participants gradually replace EONIA with the €STR for all products and contracts, making the €STR their standard reference rate.

The International Securities Identification Number (ISIN) assigned to €STR is EU000A2X2A25. The Financial Instrument Short Name (FISN) is ECB/EUR EURO SHORT-TERM RATE IR.

When will it be published?

The ECB will first publish the €STR on 2 October 2019, reflecting the trading activity of 1 October 2019.

The rate will be published at 08:00 CET on each TARGET2 business day, based on actual individual transactions from the previous day. It will be published on the ECB’s website, via the ECB’s Market Information Dissemination (MID) platform and the ECB’s Statistical Data Warehouse.

How will it be calculated?

The methodology for calculating the euro short-term rate was determined taking into account feedback received in two public consultations. It will be reviewed periodically.

The €STR will be calculated based entirely on actual individual transactions in euro that are reported by banks in accordance with the ECB’s money market statistical reporting (MMSR).

The euro short-term rate (€STR) methodology and policies

EONIA-€STR spread

Following a recommendation provided by the working group on euro risk-free rates on 14 March 2019, as of 2 October for the trade date 1 October 2019 the European Money Market Institute (EMMI) will change the way it calculates EONIA. The EONIA methodology will be redefined as €STR plus a spread, calculated as the difference between the underlying interests of EONIA and the pre-€STR. The ECB has calculated this spread as 0.085% (8.5 basis points).

The spread was calculated using daily data from 17 April 2018 to 16 April 2019, based on the methodology adopted by the EMMI.

The change in the EONIA methodology was recommended by the working group on euro risk-free rates (following a public consultation), which also asked the ECB to calculate the spread.

What is the pre-€STR?

Until the €STR is available, the ECB will publish figures referred to as the pre-€STR, which market participants can use to assess the suitability of the new rate.

The pre-€STR is calculated using the same methods as defined for the €STR and is based on data including all revisions in terms of cancellations, corrections and amendments submitted by reporting agents at the time of calculating the rate. The regular releases (see release calendar) may also include revisions to previously published data. In addition to the data, the releases include charts illustrating key features of the pre-€STR rate. Pre-€STR will be released for data up to 30 September 2019.

Latest data available
Data Charts

Pre-€STR

Disclaimer
The pre-€STR is only a set of indicators for the €STR. Its publication is for information purposes only and the data are not intended for use as a benchmark or reference rate in any market transaction, whether directly or indirectly.

What is the difference between the pre-€STR and the €STR?

The pre-€STR is calculated using the same methods as defined for the €STR. The pre-€STR differs in that it is based on final data and includes all revisions in terms of cancellations, corrections and amendments submitted by reporting agents at the time of calculating the rate, while the €STR will be published every morning and take into account only the data received by the submission deadline of 07:00 CET that morning.

Public consultations

First public consultation - 28 Nov 2017 to 12 Jan 2018

A first public consultation was held to gather feedback from market participants and all other interested parties on the high-level features of the new rate. It ended on 12 January 2018.

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Second public consultation - 15 Mar to 20 Apr 2018

A second public consultation was launched on 15 March 2018 to gather feedback from market participants and all other interested parties on the defined methodology of the new rate, as well as on key operational and technical parameters. It ended on 20 April 2018.

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