ECB will start publishing compounded euro short-term rate (€STR) average rates and a compounded index based on the euro short-term rate (€STR) on April 15, 2021. The publication will take place on each TARGET2 business day and will include compounded €STR average rates for tenors of one week, one month, three months, six months, and 12 months; the publication will also include a compounded €STR index, enabling the derivation of compounded rates for any non-standard tenor.
ECB also published the rules for calculation and publication of the compounded €STR average rates and index. The rules take into account the outcome of the public consultation on the design of the rates and index. The compounded €STR average rates and index will be published via the Market Information Dissemination (MID) platform and through the Statistical Data Warehouse (SDW) of ECB. ECB also announced that guideline (ECB/2019/19) on the governance of the €STR and on the administration and oversight of the €STR determination process has been amended to cover the calculation and publication of the compounded €STR average rates and index. The €STR is based entirely on daily confidential statistical information related to money market transactions collected in compliance with the Money Market Statistical Reporting (MMSR) Regulation. Four national central banks assist ECB in the collection of the input statistical information: Bundesbank, BDE, BDF, and BDI.
Keywords: Europe, EU, Banking, Securities, €STR, Interest Rate Benchmarks, Benchmark Reforms, Derivatives, ECB
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