Euro short-term rate

The Euro Short-Term Rate (abbreviation € STR ) is a reference interest rate for the euro currency . The € STR is determined by the European Central Bank (ECB) and is based on the Eurosystem's money market statistics.

history

On September 20, 2017, the Governing Council decided to develop an unsecured overnight rate called the Euro Short-Term Rate .

On September 13, 2018, the new reference interest rate was recommended as an alternative, risk-free euro interest rate and replacement for the EONIA .

On March 12, 2019, the ECB decided to replace the original acronym "ESTER" with "€ STR".

The € STR has been available since October 2, 2019.

properties

Features of the € STR:

The € STR is provided by the ECB.
It is based on transactions in the unsecured money market. The ECB decided against a secured reference interest rate, as this can lead to distortions due to the underlying security.
The calculation is based on the individual transactions of the banks involved, which are subject to reporting under the Money Market Statistics Ordinance. The 50 banks with the highest total assets are considered.
In contrast to the EONIA, not only interbank transactions are taken into account, but all transactions with financial counterparties, as banks also conduct significant money market transactions with money market funds, insurance companies and other financial corporations.

The ISIN of the € STR is EU000A2X2A25, the Financial Instrument Short Name (FISN) is ECB / EUR EURO SHORT-TERM RATE IR .

detection

Overnight rate

From the money market statistics, the euro short-term rate is calculated exclusively with unsecured, fixed-interest deposits over 1 million euros that have an overnight maturity and are made with financial counterparties.

The Euro Short-Term Rate is calculated for each TARGET2 trading day as a volume-weighted, trimmed mean.

Determination steps:

Order of transactions from lowest to highest interest rate
Determination of the total volume per reported interest rate
Removing the top and bottom 25% in terms of volume (trimming)
Determination of the Euro Short-Term Rate, in which the volume-weighted interest rate is calculated from the remaining 50% and rounded to the third decimal place.

It is published on every TARGET2 trading day by 9 a.m. (based on the trades on the previous trading day). In the event of data errors, they can be published again on the same day by 11 a.m. at the latest.

Forward rates

A forward-looking forward yield curve can be calculated on the basis of € STR derivative markets. Contracts linked to the EURIBOR could be used as a fallback solution. The methodology is still being worked out.

Web links

Euro short-term rate (€ STR). ECB, accessed on July 7, 2019 .
Presentation of ESTER (Euro Short-Term Rate). (PDF) ECB, November 9, 2018, accessed on July 7, 2019 .
Euro short-term rate. Deutsche Bundesbank, accessed on July 7, 2019 .
Reporting banks. (PDF) Deutsche Bundesbank, accessed on July 7, 2019 .

Individual evidence

↑ ^a ^b ^c ^d ^e Methodology of the Euro Short-Term Rate. (PDF) Deutsche Bundesbank, March 13, 2019, accessed on July 7, 2019 .
↑ The private sector working group on risk-free rates for the euro area recommends ESTER as the euro risk-free rate. (PDF) ECB, September 13, 2018, accessed on July 7, 2019 .
↑ ECB changes acronym for Euro Short-Term Rate. (PDF) ECB, March 12, 2019, accessed on July 7, 2019 .
↑ ECB announces start date for Euro Short-Term Rate (€ STR). (PDF) ECB, March 14, 2019, accessed on July 7, 2019 .
↑ Questions and answers on the Euro Short-Term Rate. (PDF) Deutsche Bundesbank, March 13, 2019, accessed on July 7, 2019 .
↑ Euro short-term rate (€ STR). ECB, accessed on July 7, 2019 .
↑ Working group on risk-free interest rates for the euro area makes recommendations on the switch from EONIA to € STR and on the methodology for a € STR-based forward-looking forward yield curve. (PDF) ECB, March 14, 2019, accessed on July 7, 2019 .

[buba_2019-03-13_methodik-1] Methodology of the Euro Short-Term Rate. (PDF) Deutsche Bundesbank, March 13, 2019, accessed on July 7, 2019 .

[ezb_2018-09-13_ESTER-2] The private sector working group on risk-free rates for the euro area recommends ESTER as the euro risk-free rate. (PDF) ECB, September 13, 2018, accessed on July 7, 2019 .

[ezb_2019-03-12_€STR-3] ECB changes acronym for Euro Short-Term Rate. (PDF) ECB, March 12, 2019, accessed on July 7, 2019 .

[ezb_2019-03-14_start-4] ECB announces start date for Euro Short-Term Rate (€ STR). (PDF) ECB, March 14, 2019, accessed on July 7, 2019 .

[buba_2019-03-13_faqs-5] Questions and answers on the Euro Short-Term Rate. (PDF) Deutsche Bundesbank, March 13, 2019, accessed on July 7, 2019 .

[ezb_isin-6] Euro short-term rate (€ STR). ECB, accessed on July 7, 2019 .

[ezb_2019-03-14_terminzinssaetze-7] Working group on risk-free interest rates for the euro area makes recommendations on the switch from EONIA to € STR and on the methodology for a € STR-based forward-looking forward yield curve. (PDF) ECB, March 14, 2019, accessed on July 7, 2019 .