The Collaborative Market Data Network -
serving the Public interest of Transparency in Debt Capital Markets
The Collaborative Market Data Network
Serving Transparency in Capital Markets
The Collaborative
Market Data Network

ESTR - Euro Short-Term Rate

€STR (Euro Short-Term Rate) is an interest rate benchmark that reflects the wholesale euro unsecured overnight borrowing costs of euro area banks. It is administered by the European Central Bank (ECB) and serves as the near risk-free rate for euro-denominated derivatives and loans.Key points about €STR:

  • It is calculated based on overnight unsecured fixed-rate deposit transactions over €1 million conducted between banks located in the euro area.
  • The rate is published daily at 8 am CET by the ECB for each TARGET2 business day, based on transactions conducted and settled on the previous business day with a maturity of the next business day.
  • €STR is calculated as a volume-weighted trimmed mean of the collected transaction data, where the top and bottom 25% of the distribution are removed.
  • It is designed to be a near risk-free rate, excluding material term and bank credit risk components present in interbank offered rates like EURIBOR.
  • €STR replaced the EONIA (Euro Overnight Index Average) benchmark from January 2022 onwards, as EONIA was discontinued.
  • The ECB also publishes compounded €STR rates for standard tenors like 1 week, 1 month, 3 months etc. to facilitate its adoption across different financial products.

In summary, €STR is the new risk-free overnight rate benchmark for euro markets, developed by the ECB as part of the global reform to transition away from IBORs like EURIBOR

Sources:
Overview of the euro short-term rate (€STR) (takes you to the ECB's website)
Euro Short Term Rate - (€STR)