€STR

April 9, 2026 Fixed Income

€STR measures unsecured overnight wholesale euro borrowing by euro-area banks and supports derivatives, floating-rate contracts, and valuation.

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€STR, the euro short-term rate, measures the wholesale unsecured overnight borrowing costs of banks located in the euro area. The European Central Bank calculates it entirely from transaction-level money-market data reported under the Eurosystem’s statistical framework.

€STR is the principal overnight risk-free-rate benchmark for the euro. It is used in derivatives, floating-rate products, collateral and discounting processes, and analysis of euro money-market conditions.

Key Takeaways

  • €STR is an unsecured overnight wholesale borrowing rate, not a retail savings rate or a long-term bond yield.
  • The ECB calculates it as a volume-weighted trimmed mean after removing the lowest and highest 25% of eligible transaction volume.
  • It is published on the next TARGET business day for the previous business day’s transactions.
  • The ECB also publishes compounded €STR averages and an index for longer historical periods.
  • €STR replaced EONIA, but pre-transition EONIA was not simply another name for €STR.
  • €STR and EURIBOR are both euro benchmarks but differ in maturity, methodology, and economic use.
  • An €STR-linked contract still carries counterparty, liquidity, basis, operational, and legal risk.
  • The exact cash flow depends on compounding, observation dates, day count, margin, floor, and fallback terms.

What €STR Measures

Eligible data cover euro-denominated unsecured overnight borrowing by reporting banks from qualifying financial counterparties. The underlying information comes from transaction-by-transaction reporting under the Money Market Statistical Reporting framework.

The rate therefore measures the borrowing side of a broad wholesale market. It should not be described narrowly as the rate at which one bank lends overnight to another bank.

The ECB first published €STR on October 2, 2019, for transactions conducted on the previous business day.

How €STR Is Calculated

The ECB orders eligible transactions by rate, removes the lowest 25% and highest 25% of volume, and calculates a volume-weighted mean for the central 50%.

A simplified expression for the retained transactions is:

$$ \text{€STR} = \frac{\sum_i r_i V_i} {\sum_i V_i} $$

where r_i is a retained transaction’s rate and V_i is its volume. The official methodology governs transactions crossing trimming boundaries, data validation, rounding, and contingency treatment.

Trimming reduces the influence of unusually low or high transaction volume. It does not eliminate all market concentration, reporting, or operational risk.

Publication, Revision, and Contingency

The ECB publishes €STR at 08:00 Central European Time on each TARGET business day, based on transactions from the previous TARGET business day.

If a post-publication error changes the rate by more than two basis points, the ECB can revise and republish it at 09:00 the same day. Contracts and systems should specify whether and how a republication is recognized.

The ECB automatically invokes its contingency method when the transaction data fail published sufficiency or concentration tests, including when fewer than 20 banks report eligible transactions or the five largest contributors account for at least 75% of volume. The daily release identifies whether the normal or contingency method was used.

Daily €STR, Compounded Averages, and Index

One €STR fixing covers an overnight period. For longer contracts, market participants may use:

  • daily €STR compounded over the contract’s observation period
  • official compounded average rates for standardized historical tenors
  • the official compounded €STR index between permitted dates
  • another contractually specified average or term-derived benchmark

For daily observation r_i, applicable calendar days d_i, and denominator D, a simplified compounded return is:

$$ \prod_{i=1}^{n} \left(1+r_i\frac{d_i}{D}\right)-1 $$

An index ratio can simplify the same type of historical accumulation when the contract permits it:

$$ \text{Compounded Return} = \frac{\text{Index}_{end}} {\text{Index}_{start}} -1 $$

The selected dates, annualization, holiday treatment, and rounding still matter.

Worked Example: €STR-Linked Loan

Assume a EUR 20 million loan uses compounded €STR plus a 1.20% margin. For a 92-day Actual/360 period, suppose the correctly calculated annualized compounded €STR is 3.25%.

The annualized all-in rate is:

$$ 3.25\% + 1.20\% = 4.45\% $$

Illustrative interest is:

$$ \text{EUR }20{,}000{,}000 \times 4.45\% \times \frac{92}{360} = \text{EUR }227{,}444.44 $$

The example assumes the compounded benchmark is already known. A live payment depends on daily observations, weekend weights, observation convention, floor, rounding, and exact dates.

€STR Compared With EONIA, EURIBOR, and SOFR

BenchmarkStatus and maturityUnderlying marketMain distinction
€STRActive overnight euro rateUnsecured wholesale borrowing by euro-area banksCurrent euro overnight benchmark
EONIADiscontinued overnight euro rateHistorical interbank lending; later €STR plus fixed spreadLegacy and historical use only
EURIBORActive euro term benchmarkUnsecured wholesale term-funding frameworkForward-looking term settings
SOFRActive overnight U.S. dollar rateSecured Treasury repoDifferent currency and secured market

From October 2019 until EONIA ceased, EONIA was calculated as €STR plus 8.5 basis points. That historical bridge should not be added to current €STR contracts unless a governing legacy provision specifically requires it.

How to Review an €STR Contract

  1. Confirm that the contract means official ECB €STR.
  2. Identify daily, compounded, average, index, or another permitted form.
  3. Check transaction dates, publication dates, and any lookback or observation shift.
  4. Verify TARGET calendars and weekend weighting.
  5. Confirm Actual/360 or another day-count basis.
  6. Separate the benchmark, transition adjustment, and contractual margin.
  7. Determine how floors, caps, and negative rates apply.
  8. Read revision, temporary fallback, and cessation provisions.
  9. Compare the cash product with any related hedge.
  10. Preserve the published rate or index evidence used.

Risks and Limitations

  • Basis risk: €STR, EURIBOR, and term-derived rates can move differently.
  • Timing risk: Compounded-in-arrears interest is finalized near period end.
  • Concentration risk: A limited number of institutions can provide a large share of daily volume.
  • Contingency risk: A contingency determination is official but uses different evidence from a normal transaction-based calculation.
  • Operational risk: Calendar, compounding, republication, and rounding errors can alter payments.
  • Instrument risk: Referencing €STR does not remove issuer, counterparty, duration, or liquidity risk.

Common Mistakes

  • Expanding €STR as “Euro Sterling Rate.”
  • Calling it a secured benchmark like SOFR.
  • Describing it only as an interbank lending rate.
  • Calculating it as an untrimmed average.
  • Using one daily fixing for a multi-month period.
  • Treating €STR and EURIBOR as interchangeable tenors.
  • Adding EONIA’s historical 8.5-basis-point spread to a current €STR contract.
  • Ignoring republication, contingency, floor, or negative-rate provisions.

Authoritative Sources

  • EONIA: Discontinued euro overnight benchmark replaced by €STR.
  • EURIBOR: Active euro term benchmark with different methodology and timing.
  • SOFR: Secured U.S. dollar overnight benchmark.
  • Alternative Reference Rates: Framework for overnight replacement benchmarks and contract conventions.
  • Overnight Index Swap: Derivative that can reference compounded €STR.

FAQs

Who publishes €STR?

The European Central Bank administers and publishes €STR on each TARGET business day for transactions conducted on the previous TARGET business day.

Is €STR the same as EURIBOR?

No. €STR is an overnight transaction-based borrowing rate. EURIBOR is an active term benchmark with different maturities, methodology, and rate-setting timing.

Can €STR be negative?

Yes. The methodology can produce a negative rate when eligible overnight euro borrowing occurs at negative rates. Contract floors and payment terms determine the cash-flow effect.

This article provides general financial education, not personalized borrowing, investment, accounting, or legal advice. Use the governing contract and current ECB publications for operational calculations.

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