Euro money market

Money market statistical reporting

The overall money market statistical reporting (MMSR) dataset is based on transaction-by-transaction data from a sample of EU reporting agents covering the secured, unsecured, foreign exchange swap and euro overnight index swap money market segments.

Objectives

  1. achieve a better understanding of how money markets work and evolve, their changing patterns and, in particular, banks’ funding in different segments;
  2. provide more relevant and timely information on the monetary policy transmission mechanism, as well as better information on market expectations about the future trajectory of policy rates;
  3. provide more information to market participants on the functioning of the money markets.
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 Popular Español, S.A.
  • Banco Santander, S.A.
  • N.V. Bank Nederlandse Gemeenten
  • Bankia, S.A.
  • Banque fédérative du crédit mutuel
  • Bayerische Landesbank
  • Belfius Banque SA
  • 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
  • Deutsche Bank Privat- und Geschäftskunden Aktiengesellschaft
  • Deutsche Postbank AG
  • Dexia crédit local
  • DZ Bank AG Deutsche Zentral-Genossenschaftsbank
  • HSBC France
  • HSH Nordbank AG
  • 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 AB
  • NRW.BANK
  • Piraeus Bank, S.A.
  • Société Générale
  • UniCredit Bank AG
  • UniCredit Bank Austria AG
  • UniCredit, Societa' per Azioni
Methodological notes

Version 1.0 of the methodological notes (updated on 21 November 2017).

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 other monetary financial institutions (MFIs), other financial intermediaries (OFIs), insurance corporations, pension funds, general government or central banks (excluding transactions related to Eurosystem tender operations and marginal lending facilities), 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 other MFIs, OFIs, insurance corporations, pension funds, general government or central banks, 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 other MFIs, OFIs, insurance corporations, pension funds, general government or central banks (excluding transactions related to Eurosystem tender operations), 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 other MFIs, OFIs, insurance corporations, pension funds, general government or central banks, 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 52 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 52 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 segment. It has a reserve maintenance period (MP) frequency and statistics are published 15 TARGET business days after the end of the MP. The time series starts in 2017, with the first reference period being the first MP of 2017.

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. Transaction type breakdown

Transactions are broken down into borrowing and lending transactions.

Borrowing transactions comprises all borrowing of the reporting agent, denominated in euro with a maturity of up to and including one year, 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 with a maturity of up to and including one year.

Lending transactions comprises all lending of the reporting agent to other monetary financial institutions with the exception of central banks and money market funds (euro area or non-euro area), denominated in euro with a maturity of up to and including one year 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.

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

5. 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), 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. Counterparties for which the sector is not known are excluded.

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

6. 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.

7. 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.

Surveys and studies

Market experts from the European System of Central Banks (ESCB) produce an annual survey of developments in the euro area money market – the Euro money market survey – consisting of a large number of charts.

Every two years, the ESCB also produces a Euro money market study, which contains an in-depth analysis of euro area money market developments.

The survey and study are part of the ESCB’s regular monitoring activities. They cover the second quarter (Q2) of each year.

Euro money market survey

The most recent survey was published in September 2015.

Each of the 149 banks participating in 2015 reported their quarterly turnover during the second quarter of 2015 in each of the money market segments.

Euro money market study

The most recent study was published in April 2015.

The full dataset is available in the ECB’s Statistical Data Warehouse. The CSV files contain a summarised version of the aggregate data, as well as indices used to produce charts.