Euro money market

Money market statistical reporting

The money market statistical reporting (MMSR) dataset, collected on the basis of transaction-by-transaction data from a sample of euro area reporting agents, provides information on the secured, unsecured, foreign exchange swap and overnight index swap euro money market segments. The euro short-term rate (€STR) is based on MMSR data.

Guidance for reporting

The reporting of the money market data is based on the Regulation (EU) No 1333/2014 (MMSR Regulation) as amended, which entered into force on 1 January 2015.

The Regulation is complemented by a set of reporting instructions and a list of questions and answers . These both clarify the methodological concepts and reporting requirements.

Technical requirements

Data

The latest data are available via Statistical Data Warehouse (SDW):

List of reporting agents
  • ABN AMRO Bank N.V.
  • Allied Irish Banks plc
  • Banca IMI S.p.A.
  • Banca Monte dei Paschi di Siena S.p.A.
  • Banco Bilbao Vizcaya Argentaria, S.A.
  • Banco de Sabadell, S.A.
  • Banco BPM Societa’ per Azioni
  • Banco Santander, S.A.
  • Bankia, S.A.
  • Banque fédérative du crédit mutuel
  • Bayerische Landesbank
  • Belfius Banque SA
  • BNG Bank N.V.
  • BNP Paribas
  • BNP Paribas Fortis SA
  • BPCE
  • Caisse des dép?ts et consignations - section générale
  • Caisse Fédérale de Crédit Mutuel
  • CaixaBank, S.A
  • Cassa Depositi e Prestiti Societa' per Azioni
  • Commerzbank Aktiengesellschaft
  • Co?peratieve Rabobank U.A.
  • Crédit Agricole Corporate and Investment Bank
  • Crédit Agricole S.A.
  • Crédit Lyonnais
  • DekaBank Deutsche Girozentrale
  • Deutsche Bank Aktiengesellschaft
  • DB Privat- und Firmenkundenbank AG
  • Dexia crédit local
  • DZ Bank AG Deutsche Zentral-Genossenschaftsbank
  • Hamburg Commercial Bank AG
  • HSBC France
  • ING Bank N.V.
  • ING Belgique SA
  • ING-DiBa AG
  • Intesa Sanpaolo S.p.A.
  • KBC Bank NV
  • Kreditanstalt für Wiederaufbau
  • La Banque Postale
  • Landesbank Baden-Württemberg
  • Landesbank Hessen-Thüringen Girozentrale
  • Natixis
  • Norddeutsche Landesbank -Girozentrale-
  • Nordea Bank Abp
  • NRW.BANK
  • Piraeus Bank, S.A.
  • Société Générale
  • UniCredit Bank AG
  • UniCredit Bank Austria AG
  • UniCredit, Societa' per Azioni
Methodological notes

Version 1.3 of the methodological notes (updated on 2 April 2019).

1. Legal framework

Daily statistical information relating to money market transactions is collected on the basis of Regulation (EU) No 1333/2014 (MMSR Regulation), which entered into force on 1 January 2015. The regular data collection started on 1 July 2016.

Reporting agents report to the European Central Bank (ECB) or the relevant national central bank (NCB) statistical money market data covering four money market segments:

(a) secured segment –this consists of daily repurchase agreement transactions (borrowing and lending) denominated in euro with a maturity of up to and including one year (defined as transactions with a maturity date of not more than 397 days after the settlement date) that are conducted by the reporting agent with financial corporations (except central banks where the transaction is not for investment purposes), general government as well as with non-financial corporations classified as “wholesale” under the Basel III LCR framework;

(b) unsecured segment – this consists of daily unsecured transactions covering:

  1. all borrowing denominated in euro with a maturity of up to and including one year (defined as transactions with a maturity date of not more than 397 days after the settlement date) from financial corporations (except central banks where the transaction is not for investment purposes), general government as well as from non-financial corporations classified as “wholesale” under the Basel III LCR framework, using the instruments defined in the MMSR Regulation, in particular unsecured deposits and call accounts, and the issuance of fixed-rate or variable-rate short-term debt securities (defined as transactions with a maturity date of not more than 397 days after the settlement date);
  2. all lending denominated in euro to other credit institutions with a maturity of up to and including one year (defined as transactions with a maturity date of not more than 397 days after the settlement date) via unsecured deposits or call accounts, or via the purchase from the issuing credit institutions of fixed-rate or variable-rate short-term debt securities with an initial maturity of up to and including one year (defined as transactions with a maturity date of not more than 397 days after the settlement date);

(c) foreign exchange swaps (FX swaps) – this consists of daily foreign exchange swaps transactions with a maturity of up to and including one year (defined as transactions with a maturity date of not more than 397 days after the settlement date), in which euro are bought/sold on a near-term value date against a foreign currency with an agreement to resell the purchased currency on a forward, pre-agreed maturity date, conducted by the reporting agent with financial corporations (except central banks where the transaction is not for investment purposes), general government as well as with non-financial corporations classified as “wholesale” under the Basel III LCR framework;

(d) overnight index swaps (OIS) – this consists of daily euro overnight index swap transactions denominated in euro of any maturity that are conducted with financial corporations (except central banks where the transaction is not for investment purposes), general government as well as with non-financial corporations classified as “wholesale” under the Basel III LCR framework. It is the maturity of the underlying asset that qualifies the OIS as a money market instrument, regardless of the final maturity of the OIS.

The reporting population currently consists of the 50 largest euro area MFIs, based on the size of their total main balance sheet assets relative to the total main balance sheet assets for all euro area MFIs. The 50 reporting agents report on a consolidated basis, including for all their Union and EFTA-located branches daily statistical information relating to money market instruments denominated in euro, as specified in the MMSR Regulation.

2. The concepts behind euro money market statistics

The current publication of money market statistics covers the transactions reported in the unsecured and secured segments. It is produced at a reserve maintenance period (MP) frequency, with statistics being published 15 TARGET business days after the end of an MP. The time series start in 2017 and 2018 for the unsecured and secured segments respectively, with the first reference period being the first MP of the year.

Aggregated total nominal amounts, daily average nominal amounts and weighted average rates are reported for each MP. Transactions are broken down by transaction type, counterparty sector and tenor.

3. The unsecured market segment

The daily statistical information reported for the unsecured money market segment includes all unsecured transactions, in particular unsecured deposits, call accounts and fixed-rate or variable-rate short-term debt securities with an initial maturity of up to and including one year (defined as transactions with a maturity date of not more than 397 days after the settlement date).

Unsecured deposits refers to unsecured interest-bearing deposits that are either redeemable at notice or have a maturity of not more than one year, and that are either taken (borrowing) or placed (lending) by the reporting agent.

Call accounts refers to (1) cash accounts with daily changes in the applicable interest rate, giving rise to interest payments or calculations at regular intervals, and a notice period to withdraw money, or (2) saving accounts with a notice period to withdraw money.

Fixed-rate and variable-rate short-term debt refers to borrowing via the issuance of short-term securities listed in Table 1, which are denominated in euro, from the reporting agent to counterparties, or refers to lending via the purchase on the primary market of short-term securities listed in Table 1, which are denominated in euro, issued by other credit institutions.

Table 1: Short-term securities covered in the daily statistical information reported under the MMSR Regulation
Short-term security identifier Description
Certificate of deposit A fixed rate debt instrument, in either a negotiable or non-negotiable form, that is issued by an MFI entitling the holder to a specific fixed rate of interest over a defined fixed term after the settlement date and is either interest-bearing or discounted.
Commercial paper An unsecured debt instrument that is issued by an MFI and is either interest-bearing or discounted.
Asset-backed commercial paper A debt instrument that is issued by an MFI, is either interest-bearing or discounted and is backed by some form of collateral.
Floating rate note (FRN) A debt instrument in which the periodic interest payments are calculated on the basis of the value, i.e. through fixing of an underlying reference rate, such as EURIBOR, on predefined dates known as fixing dates.
Other short-term debt securities Unsubordinated securities other than equity, which are instruments that are usually negotiable and traded on secondary markets or which can be offset on the market and which do not grant the holder any ownership rights over the issuing institution. This item includes:
(a) securities that give the holder the unconditional right to a fixed or contractually determined income in the form of coupon payments and/or a stated fixed sum on a specific date (or dates) or starting from a date defined at the time of issue;
(b) non-negotiable instruments that subsequently become negotiable and are reclassified as “debt securities”.

4. The secured market segment

The daily statistical information reported for the secured money market segment includes all secured transactions, i.e. all fixed-term and open-basis repurchase agreements and transactions entered into thereunder, including tri-party repo transactions, denominated in euro and with a maturity of up to one year between the reporting agent and financial corporations (except central banks where the transaction is not for investment purposes), general governments as well as non-financial corporations classified as wholesale according to the Basel III LCR framework.

5. Transaction type breakdown

Transactions are broken down into borrowing and lending transactions.

Borrowing refers to transactions in which the reporting bank receives euro-denominated funds with a maturity of up to and including one year, irrespective of whether the transaction was initiated by the reporting bank or its counterparty. With regard to the unsecured segment, the instruments defined in the MMSR Regulation include, in particular, unsecured deposits and call accounts, as well as fixed-rate or variable-rate short-term debt securities issued with a maturity of up to and including one year.

Lending refers to transactions in which the reporting bank provides euro-denominated funds with a maturity of up to and including one year, irrespective of whether the transaction was initiated by the reporting bank or its counterparty. With regard to the unsecured segment, this comprises all lending by the reporting agent to other monetary financial institutions (euro area or non-euro area), with the exception of central banks and money market funds, via unsecured deposits or call accounts or through the purchase, from the issuing credit institutions, of fixed-rate or variable-rate short-term debt securities with an initial maturity of up to and including one year.

A transaction or a debt security with a maturity of up to and including one year is defined as a transaction or a debt security with a maturity date of not more than 397 days after the settlement date.

6. Counterparty sector breakdown

Counterparties are grouped under the wholesale sector or the interbank sector.

The wholesale sector covers all counterparties specified in the MMSR Regulation, namely monetary financial institutions including central banks and money market funds, other financial intermediaries (OFIs), financial auxiliaries, captive financial institutions and money lenders, non-money market fund investment funds, insurance corporations, pension funds, general government for investment purposes, and non-financial corporations classified as “wholesale” according to the Basel III liquidity coverage ratio (LCR) framework.

The interbank sector covers counterparties classified as monetary financial institutions, with the exception of central banks and money market funds.

7. Tenor breakdown

The tenor of a transaction is the difference between settlement date and maturity date, and is quoted using the codes listed in Table 3.

Table 3: Tenor breakdown in money markets statistical reporting
Code Tenor Description
O/N Overnight Transactions for which the settlement date is the trade date and that mature the following business day
T/N Tomorrow/Next Transactions for which the settlement date is the business day after the trade date (T+1) and that mature the following business day
S/N Spot/Next Transactions for which the settlement date is two business days after the trade date (T+2) and that mature the following business day
1W One week Transactions for which the settlement date is two business days after the trade date and that mature exactly one week after the settlement date
1M One month Transactions for which the settlement date is two business days after the trade date and that mature exactly one month after the settlement date
3M Three months Transactions for which the settlement date is two business days after the trade date and that mature exactly three months after the settlement date
6M Six months Transactions for which the settlement date is two business days after the trade date and that mature exactly six months after the settlement date
9M Nine months Transactions for which the settlement date is two business days after the trade date and that mature exactly nine months after the settlement date
12M Twelve months Transactions for which the settlement date is two business days after the trade date and that mature exactly twelve months after the settlement date.

Borrowing transactions are broken down into overnight (O/N), tomorrow/next (T/N), spot/next (S/N), one week (1W), one month (1M), three months (3M), six months (6M), nine months (9M), twelve months (12M) and “All”. Lending transactions are broken down into O/N and All. The “All” category covers the aforementioned categories, together with all other tenors and maturities covered under the MMSR scope.

8. Aggregate volumes and rates

Total nominal amount refers to the sum of the nominal amount of all transactions conducted in the unsecured segment during the MP.

Daily average nominal amount refers to the total nominal amount of the respective MP divided by the number of TARGET business days in the MP.

Weighted average rate is calculated as the rates weighted by the respective nominal amount over the MP.

Euro money market study

Every two years, the ESCB produces a Euro money market study, which contains an in-depth analysis of euro area money market developments. The study is part of the ESCB’s regular monitoring activities.

The most recent study focuses on developments occurring between the middle of 2016 (the start of the MMSR data collection) and the end of 2018.

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