CME Term €STR (Beta) Reference Rates
Introducing forward-looking reference rates from CME Group for managing interest rate risk in euro-denominated financial instruments.
Robust
Based on bona fide transactions, combining a deep pool of €STR OIS transactions with CME Group's liquid €STR futures contracts.
Reliable
Designed to provide reliable rates across all market conditions, including illiquid and negative rates markets - delivering the dependability needed from an interest rate reference rate.
Transparent
Built on a transparent calculation methodology that uses transaction data as primary inputs.
CME Term €STR (beta) reference rates values
CME Term €STR (beta) reference rates, available daily in 1-month, 3-month, 6-month and 12-month tenors, provide an indicative, forward-looking measurement of €STR rates based on market expectations implied from activity in the leading €STR derivatives market. The rates are designed to reflect the forward-looking wholesale euro unsecured overnight borrowing costs of banks located in the eurozone.
How CME Term €STR (beta) rates are calculated
The CME Term €STR (beta) rate calculation is based on a waterfall methodology that builds on three robust underlying data sources. The CME Term €STR (beta) methodology utilizes the research of Federal Reserve Economists Erik Heitfield and Yang-Ho Park* (which also underpins Term SOFR) to determine the market's forward expectations of €STR overnight rates.
The CME Term €STR (beta) rates will be published at 11:00 a.m. CET the day after the calculation on this website.
*Published in the Finance and Economic Discussion Series (FEDS) 2019
Three data sources for CME Term €STR (beta)
- Marker prices of €STR futures (ESR) from CME Group
- Daily aggregated €STR OIS transaction data
- €STR OIS bid/ask quotes from TradeWeb Markets dealer-to-client trading platform
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