What is €STR?
Euro Short-Term Rate, or €STR, is the primary overnight money-market benchmark rate in the Euro area. Designed by the European Central Bank, €STR reflects the wholesale Euro unsecured, overnight, borrowing costs of banks located in the Euro Area. It looks at the “fixed rate” deposit transactions over one million Euros that are reported to the ECB in accordance with the Money Market Statistical Reporting (MMSR) reporting regulation.
On January 3, 2022, €STR replaced EONIA. EONIA was calculated from a weighted average of overnight rates offered by a sample of large European banks. The €STR rate calculation:
- Aggregates arms' length transactions settled on the previous day and orders them from the lowest rate to the highest
- Takes these transactions and aggregates them into different rate levels
- Removes the top and bottom 25% of transactions in volume terms
- The volume-weighted mean of the remaining 50% of transactions is then published as the €STR rate
The €STR rate is published each business day no later than 9:00 a.m. Central European time. If you’d like more information, the European Central Bank also publishes accompanying statistical measures such as the number of transactions in the dataset and the notional values of those transactions.