The European Central Bank (ECB) is adding 24 banks to its euro short-term rate (€STR) calculation to boost the benchmark’s reliability.
The banks were added to the entities monitored for Money Market Statistics Reporting (MMSR) in Europe last July, with the expectation that they would be used to calculate €STR once deemed of sufficient quality.
Banks in this tranche include BNY Mellon, Société Générale Luxembourg, Raiffeisen Bank International, Goldman Sachs Bank Europe SE, Citibank Europe and CACEIS Bank. The total number of entities included in the €STR calculation is now 69, with the ECB stating that higher transaction volumes and a wider range of institutions will improve the robustness and representativeness of the rate.
During a year of testing, the €STR moved just -0.2 basis points with the new banks. The ECB therefore does not expect the additions to significantly change the rate’s level.
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