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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)? $\endgroup$
    – Student
    Feb 3 '21 at 13:05
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    $\begingroup$ Convention is to quote all interest rates on an annualized basis (not just overnight rates). $\endgroup$
    – user42108
    Feb 3 '21 at 16:20
  • $\begingroup$ So for example also 6m Euribor, I would need to divide it by 2 to get the actual 6m rate? $\endgroup$
    – Student
    Feb 3 '21 at 19:06
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    $\begingroup$ 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 $\endgroup$
    – dm63
    Feb 3 '21 at 19:34
  • $\begingroup$ 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) $\endgroup$
    – Student
    Feb 3 '21 at 21:45

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