Euro Short-Term Rate (€STR)

Background

How is €STR calculated? #

€STR reflects what banks in the euro area pay when they borrow money overnight on an unsecured basis. It is based on actual transactions that around 50 large banks report to the ECB every day.

From these transactions the ECB calculates a volume-weighted average. To stop individual outliers from distorting the result, the top and bottom 25 per cent of the volume are excluded.

When is €STR published? #

The rate is calculated for every T2 business day and published at 08:00 Frankfurt time on the following business day. Weekends, New Year’s Day, Good Friday, Easter Monday, 1 May and 25 and 26 December are not business days.

What does €STR have to do with the key interest rate? #

Banks can park surplus money with the ECB at any time at the deposit facility rate. That’s why €STR usually sits just below this key rate and moves almost in lockstep with it. When the ECB changes its rates, you see it in €STR from the day the new rates take effect – usually the Wednesday of the week after the Governing Council meeting – and therefore in A41BTT’s return too.

How long has €STR existed? #

The ECB has published €STR since 2 October 2019. It replaced the former benchmark rate EONIA, which was discontinued at the start of 2022.