Compounded €STR average rates and index based on the euro short-term rate (€STR)

14 April 2021

From 15 April 2021 the “Compounded_EURO-SHORT-TERM-RATE_Indicators” will be published at 09:15 CET on each TARGET2 business day.The provisional go-live date is Thursday, 3 November 2022 (any deviation from this date will be communicated closer to the time).

The Compounded_EURO-SHORT-TERM-RATE_Indicators message consists of the following fields: “RATE”, “PUB_DATE”, “REF_DATE”, “AVERAGE_1W”, “AVERAGE_1M”, “AVERAGE_3M”, “AVERAGE_6M”, “AVERAGE_12M”, “INDEX_VALUE”, and “SIGNATURE_VALUE”. Conceptual descriptions for these fields are provided in the XSD schema below.The structure of allotment and announcement messages has been updated.

On the API specifications and template files you can find:

• Compounded_EURO-SHORT-TERM-RATE_Indicators_MSG.xml (sample publication file)
• COMPOUNDED_EURO_SHORT_TERM_RATE_MID_MESSAGE_BODY.xsd, XSD schema file that defines the publication format for the compounded €STR average rates and index

For further assistance, please contact the Market Information Dissemination support team at mid@ecb.europa.eu.