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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

MMSR press releases

List of reporting agents

  • ABN AMRO Bank N.V.
  • Allied Irish Banks plc
  • 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.
  • Banque fédérative du crédit mutuel
  • Bayerische Landesbank
  • Belfius Banque SA
  • BNG Bank N.V.
  • BNP Paribas
  • BNP Paribas Fortis SA
  • BPCE
  • Caisse des dépôts et consignations - section générale
  • Caisse Fédérale de Crédit Mutuel
  • CaixaBank, S.A
  • Cassa Depositi e Prestiti Societa' per Azioni
  • Commerzbank Aktiengesellschaft
  • Coöperatieve Rabobank U.A.
  • Crédit Agricole Corporate and Investment Bank
  • Crédit Agricole S.A.
  • Crédit Lyonnais
  • DekaBank Deutsche Girozentrale
  • Deutsche Bank Aktiengesellschaft
  • 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 1.5 of the methodological notes (updated on 22 November 2022).

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 and other secured (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 liquidity coverage ratio (LCR) framework. Each such transaction may be a repurchase transaction or a buy and sell back transaction;

(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 47 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 47 reporting agents report on a consolidated basis, including for all their Union, EFTA and UK-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, secured and OIS segments. For the unsecured and secured segments all statistics are calculated in reference to each reserve maintenance period (MP), i.e. reflecting transactions with a trade date within the relevant MP. 

For the OIS segment the series on spot transactions are calculated with reference to each MP, while the statistics on forward-dated transactions are calculated with reference to each quarter. All MP aggregates are published 15 TARGET business days after the end of each MP. Quarterly statistics are published together with the next publication at MP frequency. The time series start in 2017 for the unsecured and OIS segments and in 2018 for the secured segment, with the first reference period being the first MP or quarter of the year.

Depending on the series, aggregated total nominal amounts, daily average nominal amounts and weighted average rates are published for each MP or quarter. The published breakdowns differ across market segments and include series by transaction type, counterparty sector and maturity.

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, securities lending transactions against cash, 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. Each such transaction may be a repurchase transaction or a buy and sell back transaction.

The transactions reported in the secured market segment are classified according to collateral type. This could be: “single” collateral, if the security pledged as collateral is identified by a single International Securities Identification Number (ISIN); “multiple” collateral, if several securities have been pledged as collateral and are identified by their individual ISINs; “pool” (or basket) collateral, if the pledged collateral is part of a pool or basket of securities identified by an ISIN; or “other” collateral, if the asset class pledged as collateral cannot be identified by an ISIN and the Classification of Financial Instruments (CFI) code is reported instead.

The series published on the secured market segment by collateral issuer location are based on single collateral transactions. Single collateral transactions account for more than 90% of the total volume reported in the secured segment. For single collateral transactions the country of the collateral issuer can be unambiguously identified, while this is not the case for transactions which use multiple, pool or other collateral. Breakdowns by collateral issuer country are provided for the main six individual countries in terms of volume: Belgium, Germany, Spain, France, Italy and the Netherlands. All other series published for the secured market segment that do not provide breakdowns by collateral issuer location are based on all collateral types together.

5. The OIS market segment

The daily statistical information reported for the OIS money market segment includes all OIS transactions, i.e. all OIS transactions denominated in euro of any maturity and conducted with financial corporations (except central banks where the transaction is not for investment purposes), general government or non-financial corporations classified as “wholesale” according to the Basel III LCR framework.

The series published on the OIS market segment reflect interest rate swap transactions where a fixed rate is exchanged for the euro short-term rate (€STR). Two sets of series are published covering spot transactions and forward transactions. Spot transactions are defined as transactions with a start date within three business days from the trade date, while forward transactions are defined as those transactions with a later start date. Novations are not included in the published series to avoid double-counting the respective market volumes. Novations usually occur when a transaction is cleared with a central counterparty (CCP) and replaced by two separate transactions between the CCP and the two original transactors.

In the transition period between the start of the publication of the €STR in October 2019 and the cessation of the euro overnight index average (EONIA) in January 2022, OIS transactions could reference either of the two overnight rates. As the data collected under MMSR do not specify the reference rate agreed, transactions are identified as being EONIA-referenced by applying a filter and subsequently adjusted to reference the €STR, given the fixed spread between EONIA and €STR from October 2019 to December 2021. Based on daily average rates of EONIA contracts published by data vendors, a daily, maturity-specific identification threshold is used for the filter. The threshold is calculated as the respective vendor average EONIA rate minus 4.25 basis points (i.e. half of the spread between the €STR and the EONIA of 8.5 basis points). Transactions with a fixed interest rate larger than the threshold are identified as EONIA-referenced and have their fixed rate adjusted by subtracting 8.5 basis points. All other transactions are presumed to be €STR-referenced and are therefore not adjusted. The adjustment is applied from the start date of the €STR on 2 October 2019 until end-2021, when EONIA was last published. For the period before the start of the €STR, all transactions are presumed to be referenced to EONIA, so that 8.5 basis points are subtracted from their fixed rate in all cases. This adjustment is applied to all interest rate series published under the OIS market segment except for those transactions starting and ending on two subsequent International Monetary Market dates (IMM-dated transactions), for which the entire market is found to have very rapidly shifted from EONIA to €STR in mid-October 2021. The IMM-dated interest rate series are therefore adjusted 8.5 basis points downwards if reported before 15 October 2021, with no adjustment applied after that date. As from January 2022 all OIS transactions are presumed to refer to the €STR.

6. Transaction type breakdown

For the series published on the unsecured and secured market segments, transactions are broken down into borrowing and lending transactions.

Borrowing refers to transactions in which the reporting bank receives euro-denominated cash 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 cash 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.

For the series on the OIS market segment, paying and receiving transactions are aggregated, i.e. no separation is made between those transactions in which the fixed rate is paid and those transactions in which the variable rate (the €STR) is paid, and no breakdown by transaction type is published.  

7. Counterparty sector breakdown

Counterparties are grouped under the wholesale sector, the interbank sector or the CCP sector. The interbank sector and the CCP sector are subsets of the wholesale sector, but are neither complementary nor exclusive.

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.

The CCP sector covers counterparties classified as central counterparties. 

8. Maturity breakdowns

The tenor of a transaction is the difference between settlement date and maturity date, and is quoted using the codes listed in Table 3. The series on the unsecured and secured market segments are aggregated by tenors.

Table 3: Tenor breakdown in money market statistical reporting for the unsecured and secured market segments

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”. Regarding the unsecured market segment, lending transactions are broken down into O/N and “All” while for the secured market segment the lending series cover the same tenors as the borrowing series. The “All” category covers the aforementioned categories, together with all other tenors and maturities covered under the MMSR scope.

The maturity bucket of a transaction is the difference between the settlement date and a range of maturity dates, and is quoted using the codes listed in Table 4. The series on the OIS spot transactions are aggregated by buckets instead of tenors.

Table 4: Maturity buckets breakdown in money market statistical reporting for the OIS market segment

CodeBucketDescription
1MOne month
Transactions for which the start date occurs up to three business days after the trade date and that mature one month (+/- 7 calendar days) after the start date

2MTwo monthsTransactions for which the start date occurs up to three business days after the trade date and that mature two months (+/- 7 calendar days) after the start date
3MThree monthsTransactions for which the start date occurs up to three business days after the trade date and that mature three months (+/- 7 calendar days) after the start date
6MSix monthsTransactions for which the start date occurs up to three business days after the trade date and that mature six months (+/- 14 calendar days) after the start date
9MNine monthsTransactions for which the start date occurs up to three business days after the trade date and that mature nine months (+/- 14 calendar days) after the start date
12MTwelve monthsTransactions for which the start date occurs up to three business days after the trade date and that mature twelve months (-14 calendar days; + 32 calendar days) after the start date
2YTwo yearsTransactions for which the start date occurs up to three business days after the trade date and that mature two years (+/- 14 calendar days) after the start date
3YThree yearsTransactions for which the start date occurs up to three business days after the trade date and that mature three years (+/- 28 calendar days) after the start date
5YFive yearsTransactions for which the start date occurs up to three business days after the trade date and that mature five years (+/- 28 calendar days) after the start date
10YTen yearsTransactions for which the start date occurs up to three business days after the trade date and that mature ten years (+/- 28 calendar days) after the start date
10Y+More than ten yearsTransactions for which the start date occurs up to three business days after the trade date and that mature more than ten years (+28 calendar days) after the start date

The statistics on the OIS forward transactions are broken down into three main categories. The first category includes transactions that start and end coinciding with the ECB’s reserve maintenance periods (MP-dated transactions). The second category encompasses transactions that start and end on two subsequent International Monetary Market dates (IMM-dated transactions). The third category covers transactions which start 12 months after the trade date and end 24 months after the trade date (a category labelled as FD 12M24M). These statistics are complemented by an “All” category which aggregates the three aforementioned categories, and those OIS forward transactions with other maturity structures.

9. 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 reference period (MP or quarter).

Daily average nominal amount refers to the total nominal amount of the respective reference period (MP or quarter) divided by the number of TARGET business days in that period.

Weighted average rate is calculated as the rates weighted by the respective nominal amount over the reference period (MP or quarter).

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 beginning of 2019 and the end of 2020.

Previous Euro money market studies

Previous Euro money market surveys

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