Euro money market

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.

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.

The euro short-term rate (€STR) reflects the wholesale euro unsecured overnight borrowing costs of banks located in the euro area. The ECB publishes on its website the €STR at 08:00 CET on each TARGET2 business date. The €STR time series is updated on the ECB Data Portal (EDP) shortly after the €STR publication.

The daily €STR is based on the transactions with overnight maturity that were traded and settled on the previous TARGET2 date. In EDP, the €STR series are indexed by time, where the time index reflects the trade date of the underlying transactions. For example, the observations on the rate, volume traded, etc. with time index 1 October 2019 reflect trading activity on that day, and correspond to the €STR published on 2 October 2019. 

For further information refer to the Overview of €STR. 

Pre-€STR

The ECB identified a need for preliminary figures, called pre-€STR, to be published prior to the full release of the €STR in October 2019. The pre-€STR was for information purposes only and not intended as a benchmark or reference rate.

Pre-€STR series in the EDP

The compounded €STR average rates and the compounded €STR index are updated in EDP shortly after their publication at 09:15 a.m. every TARGET2 business date. In EDP, all compounded €STR series are presented with a time index that reflects their reference date, which by convention coincides with end date of the related interest rate period underlying their calculation.

For further information please refer to the Compounded €STR section of the overview of €STR webpage. 

Together with the €STR, the following related information is published: total nominal value of transactions before trimming in EUR millions, number of banks reporting transactions before trimming, number of transactions before trimming, percentage of total nominal amount reported by the five largest contributing banks that day, rates at 25th and 75th percentiles of volume, calculation method (normal or contingency) and publication type (standard or republication).
 
Together with the compounded €STR average rates, the start and end dates of the interest rate period underlying the calculation of the rates are available in EDP.  

Euro money market survey

A voluntary survey conducted among European banks, including the major players on the money market. The survey was conducted from 2001 until 2015.

MMS statistics contain:

• Inter-bank transactions executed in the euro money market, e.g. total quarterly turnover for a variety of maturity ranges and market segments (unsecured, repo, derivatives and short-term securities market);

• Qualitative data concerning developments in the euro money market, e.g. regarding integration and efficiency.