Benchmarks

FTSE Term €STR

An overview of FTSE Term €STR

FTSE Term €STR is a forward-looking, risk-free reference rate available in 1-week, 1-month, 3-month, 6-month and 12-month tenors denominated in euros.

The working group on euro risk-free rates recommends market participants include a forward looking €STR term rate fallback into the following EURIBOR® referencing products:

  • Retail mortgages, consumer loans and SME loans
  • Trade finance
  • Export and emerging markets finance products (where counterparties prefer to know the interest rates and amounts in advance)

It also identifies that some participants may want to use a forward looking €STR term rate fallback in select corporate lending products.

FTSE Term €STR is a production benchmark administered by Rate Benchmark Services (UK) Limited (RBSL) for use in financial contracts.

Key Facts 

  • Geographical coverage
    Europe
  • History
    From 2022
  • Data format
    CSV
    HTML
    JSON
    Python
    User Interface
    XML
  • Delivery mechanism
    API
    Desktop
    Excel
    FTP
  • Data frequency
    Daily

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Features & Benefits

What you get with FTSE Term €STR

  • Accurate - We source €STR overnight index swap (OIS) quote data from Tradeweb and €STR OIS executed trades from LCH.
  • Persistent - We adopt a waterfall methodology, allowing the publication of the rate in challenging market conditions.
  • Anti-gaming - We conduct pre-publication quality checks, and have numerous anti-gaming methodology features.

How it works

Accessing the dataset

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