Short-Term European Paper (STEP)
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[Updated 21 January 2025] The migration to the new STEP statistics compilation system has been completed. The tables previously included on this webpage have been migrated to the ECB Data Portal. You can access them via the links below. For more information on the relevant changes to STEP statistics, please consult the “Background” section and this document.
The STEP statistics concern short-term debt securities issued in the context of programmes that have received the STEP label (www.stepmarket.org). STEP includes securities with a short maturity (less than one year) mostly issued by corporate banks. STEP establishes common practices and standards for the documentation of short-term paper programmes with the aim of enhancing standardisation and transparency, and ultimately market depth and liquidity.
The ECB collects data from market participants on a voluntary basis and publishes several aggregates as well as programme-by-programme information.
Available reports
Background
On 9 June 2006, Euribor ACI and Euribor FBE adopted the Short-Term European Paper (STEP) Market Convention. The Convention requires issuers to put in place any arrangements with the securities settlement systems, the issuing and paying agents, the dealers, the arrangers or any other relevant entities that are necessary to provide the eligible data provider with complete and accurate data for the production of statistics by the ECB.
Since 2 April 2007, the STEP market has been accepted as a non-regulated market for collateral purposes in Eurosystem credit operations. See the press release.
In order to be eligible for use as collateral in Eurosystem operations, notes issued under STEP-compliant programmes also have to fulfil all the eligibility criteria listed in Chapter 6 of the general documentation on the Eurosystem monetary policy instruments and procedures
Data providers
Data providers, which act on a voluntary basis, may be eligible securities settlement systems, national central banks or other institutional entities. These entities are eligible as statistical data providers if they are able to comply with the reporting instructions*. The data providers are assessed by the ECB on the basis of their capacity to comply with these reporting instructions, and new data providers may only be accepted with the approval of the STEP Market Committee.
Each eligible data provider covers all STEP issues that are settled in its system or that are deposited in a securities settlement system for which the data provider has complete data coverage. The depository location of the securities is contained in the security ISIN code.
Should multiple settlement systems be deemed eligible to report issues for a given market, each settlement system that acts as a data provider will transmit data on those issues that it has settled in its system.
As of January 2025, STEP statistics are produced using the ECB’s CSDB (Centralised Securities Database). This means these statistics benefit not only from data provided by eligible STEP data providers but also from all other high-quality data available in the CSDB. Find out more about the enhancements and impact on STEP statistics resulting from the new compilation system.
New reporting instructions to integrate STEP data compilation into the Centralised Securities Database (CSDB) processes were introduced in January 2025.
About STEP statistics
The STEP statistics concern primary market volumes of, and yields on, short-term debt securities issued in the context of programmes that have received the STEP label from the STEP Market Committee. The STEP statistics cover all issues made under STEP-labelled programmes.
Once a week, the ECB publishes aggregates referring to daily data on outstanding amounts of STEP securities, i.e. data on the face values of all STEP securities that have been issued but not redeemed at the end of the reference period. Statistics on aggregated daily new issues, yields and spreads are also published once a week.
The yield statistics encompass annualised yields on euro-denominated STEP-labelled zero-coupon issues, referring to the primary market interest rates originally agreed between an issuer and an investor. Issues refer to short-term debt securities with an original maturity of up to one year. Yield statistics are also available for euro-denominated STEP issues priced with a spread against reference interest rates. In addition to the daily data, the ECB also publishes weekly aggregates on STEP yields and spreads.
Sectors included in STEP statistics are:
- Total economy
- General government and international organisations
- Monetary financial institutions
- Non-financial corporations
- Other financial intermediaries (except insurance corporations and pension funds)
- Insurance corporations and pension funds
Issues published under the credit rating category “All ratings” refer to all STEP-labelled securities for which data are collected by the ECB.
Issues published under the credit rating category “Rating 1” refer to issues under those programmes that have the highest credit ratings. Issues under programmes allocated to the credit rating category “Rating 2” refer to those STEP securities that have lower credit ratings.
Broad rating categories are needed to provide information on credit quality while respecting the confidentiality of the individual price and yield data of the underlying securities.
The statistics are published on the ECB’s website and Data Portal at weekly intervals on the second business day of each week, except in the case of ECB holidays when publication will follow on the subsequent working day. The data refer to each day of the previous week or to weekly averages for yield statistics.
For more detailed methodological information, please refer to the Methodological Notes.
STEP data were revised back to the beginning of January 2025 following the migration of STEP statistics compilation to the CSDB on 21 January 2025.
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