European Central Bank annual €STR methodology review finds no case for changes to the benchmark methodology

The European Central Bank published its annual review of the euro short-term rate (€STR) methodology, concluding that the benchmark continues to accurately reflect wholesale euro unsecured overnight borrowing costs of euro area banks and remains sufficiently supported by market activity. The review finds €STR to be representative and unbiased, with the integration of additional reporting agents from 1 July 2025 further strengthening robustness, and determines that no methodology changes are warranted. Over the review period from 1 October 2024 to 30 September 2025, €STR showed full and immediate pass-through of six ECB policy rate cuts that lowered the deposit facility rate from 3.5% to 2%, with €STR moving from 3.416% (1 October 2024) to 1.924% (11 June 2025) and its spread to the deposit facility rate tightening from 9 basis points to 7 basis points. Average eligible transaction volumes increased to EUR 60 billion (from EUR 55 billion previously), with a daily high of EUR 81 billion and a low of EUR 32 billion, while average daily active reporting banks rose to 38 (from 34), and concentration indicators remained well within contingency safeguards (top five banks at 52% versus a 75% trigger, and a Herfindahl-Hirschman index falling below 0.06 for the first time). Parameter testing supported keeping the symmetric 25% trimming level and leaving contingency thresholds unchanged, and the scope assessment continued to justify excluding non-financial counterparties and instruments other than deposits. The ECB will continue to monitor market activity outside the current €STR scope, including trends in non-financial corporate activity and call accounts, while maintaining existing methodology, scope and safeguards.