Based on the latest data published by ECB,€STR = -0.56%. Is this the rate a bank would pay to borrow overnight or it's an annualised overnight rate so the actual overnight rate can be approximated with (1 - 0.56%)^(1/365) - 1?
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It is an annual rate, with a Actual/360 day count so the interest paid on an overnight loan is -0.56%/360.
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$\begingroup$ thanks, are also the other overnight rates expressed in annual terms (eg SOFR,SONIA, SARON)? $\endgroup$– StudentFeb 3, 2021 at 13:05
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1$\begingroup$ Convention is to quote all interest rates on an annualized basis (not just overnight rates). $\endgroup$ Feb 3, 2021 at 16:20
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$\begingroup$ So for example also 6m Euribor, I would need to divide it by 2 to get the actual 6m rate? $\endgroup$– StudentFeb 3, 2021 at 19:06
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1$\begingroup$ The ‘rate’ is always annual. The amount of interest on a 6 month rate quoted at 0.25% would be 0.25%* number of days /360 $\endgroup$– dm63Feb 3, 2021 at 19:34
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$\begingroup$ thanks understood. I was looking at the current Euribor rates ( global-rates.com/en/interest-rates/euribor/euribor.aspx) and it seems that longer tenors are more negative than shorter tenors (if I covert them from quote/annualised to actual). Why is this? Usually with bonds is the other way around where shorter tenors are more negative and long tenors (e.g. bunds curve) $\endgroup$– StudentFeb 3, 2021 at 21:45