Euro money market study 2022 : money market trends as observed through MMSR data : April 2023.
Date: 2023-04-27
Institutions: European Central Bank
Subjects: Economic and Monetary Union, European Monetary System, euro area, monetary policy, monetary union, serial publication

Euro money market study 
2022 

Money market trends as observed 
through MMSR data* 

*(first quarter of 2021 to fourth quarter of 2022) 

April 2023 

 
 
 
 
 
Contents 

Overview 

1 

The secured segment 

1.1  Volumes 

1.2  Rates 

1.3  Maturities and calendar effects 

1.4  Counterparties 

2 

The unsecured cash segment 

2.1  Volumes 

2.2  Rates 

Box 1   €STR-based fallbacks for EURIBOR 

2.3  Maturities and calendar effects 

2.4  Counterparties 

3 

The short-term securities segment 

3.1  Volumes 

3.2  Rates 

3.3  Maturities and calendar effects 

3.4  Counterparties 

4 

The foreign exchange swap segment 

4.1  Volumes 

4.2  Rates 

4.3  Maturities and calendar effects 

4.4  Counterparties 

5 

Overnight index swaps 

5.1  Volumes 

5.2  Rates 

5.3  Maturities 

Euro money market study 2022 – Contents 

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9 

10 

14 

21 

26 

30 

31 

35 

41 

42 

46 

51 

51 

56 

62 

64 

67 

67 

71 

75 

79 

82 

83 

86 

90 

1 

 
 
5.4  Counterparties 

Appendix 

Money market statistical reporting (MMSR) 

92 

96 

96 

Euro money market study 2022 – Contents 

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Overview 

The 2022 Euro money market study is a comprehensive analysis of euro 
money markets using a unique, transactions-based dataset. The study covers 
five segments of the euro money markets: (i) secured transactions – repos and 
reverse repos, (ii) unsecured cash transactions, (iii) the issuance of short-term 
securities (STS), (iv) foreign exchange (FX) swaps, and (v) overnight index swaps 
(OIS). The study describes developments in these segments between January 2021 
and December 2022 based on actual daily money market transactions executed by 
the 47 largest euro area banks and reported to the European Central Bank (ECB) 
through the Eurosystem’s money market statistical reporting (MMSR) dataset. 

During 2021 and 2022 activity in the euro money market took place amid 
inflationary pressures. The inflationary outlook changed towards the end of 2021. 
Mismatches between buoyant aggregate demand and overall constrained supply 
resulted in inflationary pressures after a prolonged period of very low inflation, which 
intensified in 2022 owing to the adverse supply shock on energy and agricultural 
commodities following the Russian invasion of Ukraine. 

Along with other major global central banks, the ECB withdrew monetary 
policy accommodation to curb these inflationary pressures. This withdrawal 
was brought about via: (i) four policy rate hikes with an accumulated value of 
250 basis points on the key ECB interest rates over the second half of 2022 and the 
consequent suspension of the two-tier system that was applicable during negative 
rates, (ii) the discontinuation of net asset purchases under the pandemic emergency 
purchase programme (PEPP) and the asset purchase programme (APP) as of 1 
April 2022 and 1 July 2022 respectively, and (iii) the recalibration of the interest rate 
on all remaining targeted longer-term refinancing operations (TLTRO III) as of 23 
November 2022. 

The withdrawal of ECB monetary policy accommodation was accompanied by 
measures aimed at supporting monetary policy transmission and the orderly 
functioning of markets. The measures supporting monetary transmission and 
market functioning included (i) the temporary suspension in September 2022 of the 
zero interest rate ceiling for remunerating government and foreign central bank 
deposits until April 2023; (ii) the increase in the aggregate limit for securities lending 
against cash to €150 billion in November 2021, and to €250 billion in November 
2022; and (iii) the extension of the Eurosystem repo facility (EUREP) for non-euro 
area central banks and of temporary swap and repo lines until January 2024. 
Furthermore, the Governing Council decided to adjust the remuneration of minimum 
reserves to the deposit facility rate (DFR) as of 21 December 2022, in order to align 
remuneration with the marginal cost and return of liquidity in the current abundant 
liquidity environment. 

Given the primary role the euro money market plays in the transmission of 
monetary policy, the most salient result of the study is that policy rates hikes 
were transmitted to money market rates. The Governing Council raised the DFR 

Euro money market study 2022 – Overview 

3 

 
 
from -0.5% to +2.0% in four consecutive meetings during the second half of 2022, 
terminating the policy cycle of negative rates that was introduced in June 2014. The 
pass-through to the unsecured segment was immediate, with overnight unsecured 
rates reflecting 99% of the policy rate changes within two days. Moreover, OIS rates 
swiftly reacted to the signals on monetary tightening provided by the Governing 
Council and hence the expectations embedded in OIS rates have largely reflected 
the policy rate changes that materialised in the second half of 2022. 

Figure A 
Cumulative rate hike transmission to money markets in the second half of 2022 

(basis points) 

Source: BrokerTec and MTS, Bloomberg, ECB and STEP. 
Note: Unsecured, secured and T-bills vertical bars compare the rate of trades with settlement on 22 December 2022 (2nd day of the 
maintenance period after the December 2022 rate hike) with the rate of transactions settled on the last day of the maintenance period 
before the July 2022 hike (1 week and 1 month before the last day of the maintenance period for EURIBOR and T-bill trades). Owing 
to the low STS issuance volume, the pass-through includes a longer settlement period (from 21 December 2022 to 6 January 2023) to 
achieve a better representativeness of the rate comparison. 

Unsecured borrowing rates remained anchored to the DFR, only marginally 
drifting away when investors preferred short-term investment in a context of 
very ample excess liquidity. Overnight unsecured borrowing rates remained 
anchored to the DFR during the whole period under review, almost perfectly 
mirroring the official interest rate hikes. Still, the €STR-DFR spread had widened 
slightly to 10 basis points by the end of 2022, compared with 6 basis points at the 
beginning of 2021. This can be partly explained by the further increase in excess 
liquidity during the same period. The widening of the €STR-DFR spread – and the 
negative one-month EURIBOR-OIS spread – came from an imbalance between 
demand and supply for cash in the money market. On the supply side, depositors 
holding excess liquidity favoured investments in short maturities as they offered 
positive returns in an environment still dominated by high uncertainty surrounding the 
terminal rate and the policy rate path thereafter. On the demand side, euro area 
banks discouraged short-term cash inflows, as they weigh on the banks’ regulatory 
ratios. Forward spreads (i.e. FRA-OIS spreads) remained positive, suggesting that 
the negative EURIBOR-OIS spreads were expected to be temporary and outweighed 
in future by lower levels of excess liquidity. 

Euro money market study 2022 – Overview 

4 

050100150200250300€STREuribor 1WEuribor 1MDEFRITESDEFRO/N1W1MUnsecuredSecuredT-billsSTSGCNon-GCDFR 
 
 
Figure B 
EURIBOR versus OIS spread developments 

(basis points) 

Source: Bloomberg, MMSR. 

Another salient feature of the study is that turnover continued to be dominated 
by the secured segment, with national government debt collateralising 
secured trades. The secured segment is the largest segment of the euro money 
market, accounting in 2022 on average for 56% of the total €1.3 trillion in daily 
transactions and 30% of the total €6.0 trillion in outstanding amounts. The secured 
segment has become more attractive than the unsecured segment, with the latter 
accounting for 12% of the market share. This can be explained by (i) the mitigation of 
counterparty risk via collateral transfer, (ii) the favourable regulatory treatment, and 
(iii) the fact that cleared repos are an efficient vehicle for sourcing specific securities. 
Given the sheer size of the secured segment, repo rate developments have become 
increasingly important for assessing overall financing conditions and thus for 
monetary policy implementation. 

Euro money market study 2022 – Overview 

5 

-35-1552545658501/2004/2007/2010/2001/2104/2107/2110/2101/2204/2207/2210/2201/2304/2307/231W1M3M6MFRA-OIS March 23FRA-OIS June 23FRA-OIS Sep 23€STR/DFR spread 
 
 
Figure C 
Overview of the size of the euro money market (daily turnover) 

(EUR billions) 

Sources: CSDB for the STS segment. Euro money market survey until 2015, and MMSR from 2016 onwards, for the other four 
segments. 
Notes: Form 2016 onwards, the series include MMSR transactions with banks and CCPs, excluding novated trades for the OIS 
segment. Until 2015 the series include euro money market survey data for 38 overlapping reporting agents and retropolated data for 
the 14 MMSR reporting agents not covered in the survey. The performed retropolation applies the growth rates of the overlapping 
sample series to the missing data backwards in time, starting from the first available observation in 2016 Q3. Two Confidential 
datapoints have been interpolated. For STS, we are considering only the borrowing side (issuance).   

The scarcity of certain government securities exerted downward pressure on 
secured rates. During the severe phase of the COVID-19 pandemic in 2020, repo 
rates remained well anchored to the DFR and rather homogeneous across 
jurisdictions. However, repo rates gradually drifted below the DFR and became more 
dispersed across Member States in the period under review. As most secured trades 
were backed by sovereign debt, scarcity of government bonds – particularly severe 
for certain German issuances – caused a larger share of bonds to trade at very low 
repo rates and a greater segmentation of repo rates across jurisdictions. The scarcity 
worsened in autumn 2022 owing to a higher preference for less risky short-term 
investments and higher margin requirements. This resulted in more demand for 
collateral as its value declined, thus underpinning further downward pressures on 
repo rates. Repo price developments reverberate in the financial conditions in 
government and corporate debt markets via asset swaps. 

Euro money market study 2022 – Overview 

6 

02004006008001,0001,2001,4002003200420052006200720082009201020112012201320142015Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q22016201720182019202020212022Daily transaction volumes (flows)STSUnsecuredSecuredFXOIS8%24%56%12%>1%01,0002,0003,0004,0005,0006,0007,0008,0002016201720182019202020212022Outstanding amount (stock) 
 
 
The pass-through to repo rates of the four ECB policy rate hikes in 2022 was 
not as orderly as for unsecured rates. The pass-through to repo rates was uneven 
across jurisdictions and partially lagged. In two hikes (July and October 2022) the 
pass-through was 90% complete within two days for cash-driven repos based on 
general collateral, while it took about one week for securities-driven repos, especially 
for those using scarce German or French government securities. The pass-through 
of the September hike was even more sluggish with most repo rates remaining 
negative for some time after the DFR had been lifted from 0% to 0.75%. This lagged 
pass-through was largely triggered by a return of investors who had been absent 
from the money market during the negative interest rate policy cycle, including 
governments and foreign central banks moving sizeable funds from deposits in the 
Eurosystem into the repo market. A quicker and more complete pass-through across 
jurisdictions in response to the December rate hike was ensured, among other 
things, by (i) the temporary suspension of the 0% remuneration applied by the ECB 
to non-monetary policy deposits, (ii) the increase in the aggregate limit for securities 
lending against cash, (iii) the early repayments from TLTRO III, and (iv) the 
Deutsche Finanzagentur making more German bonds available to the market. 

Figure D 
Difference between the repo rate and the DFR by collateral issuer jurisdiction 

(basis points) 

Source: MMSR (end of the quarter dates excluded). 
Note: The rates consider both general collateral (GC) and non-GC trades aggregated.   

Finally, activity in the euro money market remained driven by non-banks, with 
money market funds (MMFs) and other investment funds (IFs) making up a 
growing share of the market. MMSR data collect information on transactions 
executed by the largest banks in the euro area in a context of excess liquidity. This 
implies that a bank is always on one side of the MMSR transaction. The counterparty 
breakdown displayed in Figure E refers to the other side of the MMSR transaction. 
Non-banks1  dominated transactions in the unsecured segment, while interbank 
trades represented the largest share of the activity in the FX swap market. On the 
other hand, CCPs2  were involved in 70% of secured trades, and around 90% of 

1    Non-banks comprise financial and non-financial corporations, including governments, foreign central 
banks and intermediaries such as MMFs, investment funds, pension funds and insurance companies. 

2    Some of the CCPs have a euro area banking licence. 

Euro money market study 2022 – Overview 

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-100-80-60-40-20001/2104/2107/2110/2101/2204/2207/2210/22FranceGermanyItalySpain 
 
 
 
overnight index swap trades. On closer examination of the trades with non-banks, 
MMFs accounted for 28% of unsecured trades in 2022 and held 73% of total banks’ 
issuance of short-term securities. There was a relevant increase in MMF 
participation in the unsecured segment (19% in 2020 and 7% in 2018). However, for 
uncleared secured trades, IFs were a more important counterparty than MMFs, 
accounting for over 30% of bilateral secured trades in 2022 – twice as much as in 
2018. 

Figure E 
Breakdown of daily average amounts (flows) per counterparty type 

(percentages) 

Source: MMSR for secured, unsecured, FX swap, CSDB and ECB (Securities holdings statistics database – SHS) for STS. Some of 
the CCPs also have a banking licence. However, CCPs are displayed as a third category in this chart, separate from banks and non-
banks. 

Euro money market study 2022 – Overview 

8 

0%20%40%60%80%100%BankNon-bankCCPSecured0%20%40%60%80%100%Unsecured0%20%40%60%80%100%FX swap0%20%40%60%80%100%OIS0%20%40%60%80%100%Short-termsecurities 
 
 
1 

The secured segment 

The secured market has become the largest segment of the euro money 
market, accounting for 56% of total daily turnover in 2022. The mitigation of 
counterparty risk inherent to secured trades and the more favourable regulatory 
conditions were key to the secured segment becoming more attractive than the 
unsecured segment over the past decade. Moreover, repurchase agreements 
(repos) are an efficient vehicle for sourcing securities. 

During 2021 and 2022 secured rates gradually drifted below the DFR and 
became more dispersed than in 2020. Scarcity of government bonds, particularly 
severe for certain issuances, caused downward pressure on rates and resulted in a 
larger share of trades well below the DFR. The structural scarcity of some 
government bonds was aggravated in autumn 2022 by a higher demand for short-
term safe assets and an increase in short positions in the bond cash market, 
underpinning further stress in repo rates. 

The pass-through to repo rates of the four ECB policy rate hikes in 2022 was 
not as orderly as for unsecured rates. The response of repo rates to each of the 
four policy rate hikes was heterogeneous, with rates collateralised by bonds with a 
structurally higher demand experiencing a more volatile pass-through. In September 
2022, policy rates returned to positive territory and uncertainty surrounded the 
remuneration applicable to certain non-monetary policy deposits. This led to the 
expectation of large amounts of funds looking to be placed in the market, which 
resulted in a large drop in repo rates on the first days of the new maintenance 
period. The Eurosystem suspended the zero interest rate ceiling on certain non-
monetary policy deposits until April 2023 and increased the limits of the securities 
lending facilities against cash from €150 billion to €250 billion. Moreover, the 
Deutsche Finanzagentur released €54 billion in German bonds to be used in the 
most expensive repo trades in order to alleviate collateral scarcity. These measures 
helped to stabilise rates closer to the DFR on the repo market and lay the 
foundations for a smooth end-of-year 2022 transition. 

Both overnight volumes and repo rates exhibited seasonality at balance sheet 
reporting dates and most prominently at the end of the year. At the year end, 
borrowing cash was becoming less popular as it increases the size of the balance 
sheet, causing overnight transactions and rates to decline. The effect on repo rates 
was exacerbated in 2021 and to a lesser extent in 2022, declining by more than 200 
basis points on both year-ends compared with less than 100 basis points on 
previous years. 

Central counterparties cleared around two-thirds of total activity in the repo 
market. LCH SA, located in France, cleared more than half of the total trades, with 
EuroNext Clearing (formerly CC&G) and EUREX, located in Italy and Germany 
respectively, clearing the rest. Non-cleared trades were conducted by banks and 
mutual funds. While banks borrow and lend in repo, MMFs tend to be net cash 
lenders and investment funds are generally net cash borrowers. 

Euro money market study 2022 – The secured segment 

9 

 
 
1.1 

Volumes 

1.1.1 

Flows 

With an average daily trading volume of approximately €698 billion, the 
secured segment is the largest segment of the euro money market (Chart 
1.1.1). Daily turnover in the secured segment – traded among banks and CCPs – 
has more than doubled over the last decade, while during the same period the 
interbank unsecured segment shrank to one tenth. As a result, the euro area repo 
market has become the predominant form of short-term trading, representing almost 
56% of total money market turnover. 

Chart 1.1.1 
Market size per segment – average daily transaction volumes 

(EUR billions) 

Source: MMSR. 
Note: The percentages refer to the weight of the secured segment on the total of the euro money market for 2018, 2020 and 2022. 

1.1.2 

Stock 

Outstanding amounts reached a new record high of €2.15 trillion in November 
2022 (Chart 1.1.2). Over the last two years, the secured segment has played a key 
role in facilitating the exchange of both securities and cash in the financial system. 
Repo trades (49%) largely become a platform for seeking certain securities. Reverse 
repos (51%) are used to place cash buffers with euro area banks that have access to 
the ECB deposit facility. Such a trend has been reinforced with the return to positive 
rates. 

Euro money market study 2022 – The secured segment 

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0100200300400500600700800Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4201620172018201920202021202256%61%61%Secured 
 
 
Chart 1.1.2 
Borrowing and lending secured trading volumes, daily values 

(EUR billions) 

Note: Outstanding amounts are adjusted for open repo transactions without fixed maturity at origination. These transactions are 
outstanding for the entire period between origination and termination date. Confidential points are hidden. 

1.1.3 

Drivers of volume 

Dominance of non-general collateral trades 

Activity in the repo market was largely driven by collateral exchange rather 
than cash management purposes (Chart 1.1.3). Repo transactions classified as 
non-general collateral (non-GC) accounted for about 83% of the daily volumes in 
MMSR. Non-GC covers transactions in which counterparties agree to use a specific 
security as collateral rather than a general basket of collateral. The scarcer this 
specific security is in the market, the more expensive it is to borrow it in a non-GC 
repo transaction. For certain securities with no supply shortages, non-GC and GC 
repo rates were roughly equivalent. When a security is very expensive – i.e. its repo 
rate is well below GC repo rates – it is called “special” repo. “Special” repo deals 
represented on average about 20% of all non-GC repo transactions, while 
occasionally reaching higher levels. This reflects the increasing scarcity for some 
securities that has been observed in the repo market. 

Euro money market study 2022 – The secured segment 

11 

05001,0001,5002,0002,5003,00007/1601/1707/1701/1807/1801/1907/1901/2007/2001/2107/2101/2207/22 
 
 
Chart 1.1.3 
Daily average of secured transactions by collateral type 

(EUR billions) 

Source: MMSR. 
Note: Non-general collateral repo refers to secured transactions collateralised using specific securities (international securities 
identification number (ISIN) codes) and trades with undefined collateral. Given that reporting special collateral is voluntary in the 
MMSR, the volumes may be under-represented. 

Regulation fosters the demand for high quality securities 

Prudential regulatory measures that address excessive leverage and unstable 
funding structures have an impact on the secured money market. The Basel 
Committee on Banking Supervision has developed a regulatory minimum leverage 
ratio (LR) to address the potential build-up of excessive leverage, a net stable 
funding ratio (NSFR) introducing a stable funding requirement for short-dated 
financing transactions, and a liquidity coverage ratio (LCR) to ensure that banks can 
withstand short-term liquidity dry-ups. Furthermore, the Financial Stability Board has 
developed a minimum haircut framework for a subset of securities financing 
transactions aimed at constraining the build-up of procyclical leverage outside the 
banking system. 

Regulatory ratios alter banks’ incentives to enter repo activity. Repo trades may 
worsen the LR as the cash received increases the assets side of the balance sheet 
and, at the same time, the security deployed as collateral is not derecognised from 
the balance sheet. Regarding the NSFR, short-term repos are not recognised as 
stable funding and hence this reduces the incentives to engage in such short-term 
funding transactions. As regards the LCR, the impact on a repo transaction depends 
on several factors, such as the nature of the collateral used, the counterparty 
involved and the haircuts applied. 

Regulatory measures created to limit banks’ balance sheet capacity and 
increase efficiency in securities management have contributed to a shift to 
centrally cleared transactions in the repo market (Chart 1.1.4). The LR 
framework contributed to the increasing role of central counterparties in the repo 
market, as it allows for the netting of repos and reverse repos with the same 

Euro money market study 2022 – The secured segment 

12 

01002003004005006002016201720182019202020212022GCNon-GC (only special)Non-GC (except special) 
 
 
counterparty. Information from complementary data sources on the volume in the 
repo segment shows that the bulk of transactions in the euro repo market is 
conducted through clearing houses: LCH, EuroNext Clearing (formerly CC&G) and 
EUREX Clearing. Transaction-level data gathered from LCH and EUREX datasets 
cover around 70% of the MMSR volume. Most CCP-cleared repo transactions are 
negotiated on trading platforms: BrokerTec, MTS Repo platform and EUREX Repo. 

Chart 1.1.4 
Repo market size decomposition – average daily transaction volumes 

(EUR billions) 

Sources: MMSR (total repo volume, lending and borrowing), LCH (nominal amounts for RepoClear Ltd and RepoClear SA), EUREX 
Repo, BrokerTec and MTS. The data from EuroNext Clearing are not reported in the chart because they are not publicly available. 

Increase in hedging needs and margin requirements 

The need to hedge against interest rate uncertainty, meet margin calls and 
support fixed-income market making in the derivatives markets gave investors 
an incentive to source securities via the repo market. The increase in demand 
for securities has been also largely fuelled by the requirements of the European 
Market Infrastructure Regulation (EMIR). According to EMIR, over-the-counter (OTC) 
interest rate derivatives should be cleared via CCPs, hence the need for collateral to 
meet margin calls. Moreover, the demand for repo transactions has also been 
stimulated by the need to cover short positions and to support market making on 
secondary markets for fixed-income derivatives. 

The increase in margin requirements stemmed from the high volatility faced by 
markets in 2022 as well as from the increased calls per unit of hedging activity 
and created additional demand for collateral (Chart 1.1.5). As energy prices rose 
and the ECB embarked on a cycle of rapid and sizeable tightening of financing 
conditions, margin requirements from clearing houses on futures and swap contracts 
increased almost twofold. This led clearing houses’ clients to source additional 
collateral to meet their margin requirements. The requirement to centrally clear these 
types of derivatives increased liquidity risk, as margin calls must be met with high 
quality liquid assets in the form of cash or securities. The increased usage of the 

Euro money market study 2022 – The secured segment 

13 

BrokerTec LCH MTS EUREXEUREX02004006008001,000Trading platformsClearing housesMMSRBrokerTec LCH MTS EUREX 
 
 
latter exacerbated the collateral scarcity and further exerted downward pressure on 
repo rates. 

Chart 1.1.5 
Initial margin (IM) posted by euro area entities 

(left y-axis: EUR billions; right y-axis: EUR/MWh) 

Source: ECB calculations. 

1.2 

Rates 

1.2.1 

2021-2022 trends 

The response of repo rates to the ECB’s key policy rate hikes in 2022 was 
sluggish (Chart 1.2.1). Following the July, September and October 2022 rate hikes, 
the pass-through to non-GC repo rates was weaker than to rates for GC repo 
transactions. This contributed to an increase in the spread of repo transactions 
backed by special bonds to the DFR. The weaker pass-through to non-GC repo 
rates, in particular for German collateral, might have been due to frictions resulting 
from the bargaining power of the lenders of these scarce bonds. The pass-through of 
the September hike was even more sluggish than July with most repo rates 
remaining negative for some time after the DFR had been lifted from 0% to 0.75%. 
This lagged pass-through was largely triggered by the return of investors who had 
been absent from the money market during the negative interest rate policy cycle, 
including governments and foreign central banks moving sizeable funds from 
deposits in the Eurosystem into the repo market. A quicker and more complete pass-
through across jurisdictions in response to the October rate hike was aided by (i) the 
temporary suspension of the 0% remuneration applied by the ECB to non-monetary 
policy deposits, (ii) the increase of the aggregate limit for securities lending against 
cash, (iii) the early repayments from TLTRO III, and (iv) the Deutsche Finanzagentur 
making more German bonds available to the market. Finally, the persistently weak 
pass-through of the December 2022 hike to repo rates was likely anticipating the 
seasonal decrease in rates around year-end due to the lower market liquidity. 

Euro money market study 2022 – The secured segment 

14 

07014021028035042049056002040608010012014016010/2101/2204/2207/2210/2201/23IM posted by EA CMs (left-hand scale) IM requirement -Natural gas (NL) IM requirement -Power (DE)  
 
 
Chart 1.2.1 
Transmission of ECB rate hikes until the second day of the MP 

(basis points) 

Source: BrokerTec, MTS. 
Note: Basis points difference of the volume-weighted average rates of the overnight (O/N), spot/next (S/N) and tomorrow/next (T/N) 
trades from the day of the Governing Council decision until the last day of the maintenance period (MP) and that settle either on the 
first or second day of the new MP, and the trades from the day of the Governing Council decision until the last day of the MP and that 
settle before the new MP. For Spain, there were no transactions with GC that met these date requirements for the September hike. 

Secured rates stood below the unsecured money market rates and the spread 
between GC and non-GC repo rates widened (Chart 1.2.2). GC repo rates 
continued the progressive downward trend that followed the ECB’s large liquidity 
injection in response to the coronavirus (COVID-19) crisis. As a result, GC repo rates 
traded below the DFR over the entire review period, with the negative spread 
between policy rates and GC rates growing over time to record levels. The drift of 
GC repo rates below the policy rate and below the euro short-term rate (€STR) 
reflects a widespread collateral scarcity – in contrast to the ample availability of cash 
– affecting the entire universe of government bonds. Simultaneously, non-GC rates 
declined more strongly than GC rates, and this decline became more pronounced 
after the second half of 2021. The GC/non-GC spread reflects the premium that 
investors are willing to pay to source a specific bond in a repo transaction. In specific 
collateral repos, rates are mainly determined by the supply and demand of the 
individual bond issued as collateral. Over the review period, the availability of bonds 
in repo markets decreased owing to central bank asset purchases, which withdrew 
collateral from the system, leading to an all-time low free float for many government 
bonds. Moreover, there was a pick-up in the demand for specific collateral driven by 
short selling and market making activity in the bond market and by the pre-
positioning for seasonality-driven spikes in the demand for collateral. The interaction 
between these factors led to an increase in the premium for borrowing specific 
collateral, resulting in wider GC/non-GC spreads. 

Euro money market study 2022 – The secured segment 

15 

01020304050607080GCNon-GCGCNon-GCGCNon-GCGCNon-GCJul-22 GovCSep-22 GovCOct-22 GovCDec-22 GovCDEITFRES 
 
 
Chart 1.2.2 
Government repo rates by collateral type 

(left-y-axis: percentages; right y-axis: basis points) 

Sources: BrokerTec, MTS. 

The spread between repo rates and the DFR widened significantly for collateral 
across all jurisdictions and the heterogeneity across jurisdictions increased 
(Chart 1.2.3, panel a). For most of 2021 the repo rates for all jurisdictions moved 
together, while the gap between rates for repo transactions with collateral from core 
and non-core jurisdictions increased towards the end of 2021 and remained sizeable 
during 2022. Repo rates for German collateral were subject to additional downward 
pressures by the end of 2021 amid concerns of a severe shortage of collateral ahead 
of the year-end. Owing to economic and geopolitical uncertainty, the German 
collateral repo rates continued to drift further below the DFR during 2022 in the 
context of additional demand for safe assets. 

Policy measures in the second half of 2022 have eased collateral scarcity and 
alleviated the severe collateral shortage (Chart 1.2.3, panel b). As mentioned 
earlier, in October 2022, the Deutsche Finanzagentur put €54 billion of own-held 
German bonds on the market, helping to smooth over German repo rates. Moreover, 
the temporary suspension of the 0% remuneration applied by the ECB to non-
monetary policy deposits, together with the increase of the aggregate limit for 
securities lending against cash and the early repayments from the TLTRO III 
programme, served to alleviate tensions in the availability of collateral.   

Euro money market study 2022 – The secured segment 

16 

05101520253035404550-2.0-1.5-1.0-0.50.00.51.01.52.007/1601/1707/1701/1807/1801/1907/1901/2007/2001/2107/2101/2207/22Spread (right y-axis)Non-GCGC 
 
 
Chart 1.2.3 
Government repo rates by collateral issuer jurisdiction 

a) Repo rates by jurisdiction 

(panel a: percentages; panel b: basis points) 

b) Repo rates’ difference to DFR by jurisdiction (Jan-21 to Dec-22) 

(panel a: percentages; panel b: basis points) 

Source: MMSR and ECB. 
Note: The quarter-end dates were excluded. 

1.2.2 

Drivers of rates 

Low repo rates result from the interaction between the supply and demand for 
collateral and cash seeking for short-term safe instruments. This equilibrium between 
cash and securities can be influenced by conjunctural and structural factors. Among 
the conjunctural factors, the most important drivers of swings in rates are seasonal 
patterns (such as reporting dates of regulatory ratios and futures delivery dates), 
idiosyncratic demand for specific securities and flight-to-quality episodes, e.g. owing 
to COVID-19 and the war in Ukraine. The structural factors, on the other hand, are 

Euro money market study 2022 – The secured segment 

17 

-1.0-0.50.00.51.01.52.007/1602/1709/1704/1811/1806/1901/2008/2003/2110/2105/2212/22ES:-1.27%DE:-1.44%DE:-1.36%FranceGermanyItalySpainDFR-100-80-60-40-20001/2104/2107/2110/2101/2204/2207/2210/22FranceGermanyItalySpain 
 
 
 
 
the ample availability of reserves and the lower free float of collateral.3  The latter 
factors were caused by the implementation of asset purchase programmes and the 
conduct of credit operations, which led to central banks having a large footprint in 
financial markets. 

Collateral scarcity 

The severe collateral scarcity for certain high credit quality bonds was the decisive 
factor in the strong downward pressure on repo rates observed in autumn 2022 
(Chart 1.2.4). Scarcity of government bonds, particularly severe for some specific 
issuances, caused downward pressures on rates and resulted in a larger share of 
trades well below the DFR. The structural scarcity of some government bonds was 
aggravated in autumn 2022 by a higher demand for short-term safe assets and by an 
increase in short positions in the cash market, thus underpinning further stress in 
repo rates. 

3    The free float is defined as the share of total outstanding bond supply that is held by price-sensitive 
investors. Such investors can include all sectors other than the foreign official sector, insurance 
companies, pension funds and the Eurosystem (see the speech given by Isabel Schnabel at the Bond 
Market Contact Group in Frankfurt am Main on 15 September 2021). 

Euro money market study 2022 – The secured segment 

18 

 
 
 
Chart 1.2.4 
Specialness in the German, French, Italian and Spanish repo markets: share of repo 
volume trading below the GC rate by spread band (%) 

(percentages) 

Sources: MMSR, BrokerTec and MTS. 
Note: Confidential points are hidden. Given that the reporting of special collateral is voluntary in MMSR, this chart aims to estimate the 
volume of non-GC special repo by looking at the most expensive transactions. The areas highlighted in red show the transactions that 
are more expensive compared with GC repo rate (a difference of 30 basis points or more). 

Central bank footprint 

The increasing presence of the Eurosystem in the market for euro area 
government bonds has contributed to a lower availability of collateral (Chart 
1.2.5). The sizeable amount of net asset purchases conducted during 2021 and in 
the first half of 2022, as well as the full reinvestment of maturing holdings thereafter 
further increased the Eurosystem’s share in the European sovereign debt market 
and contributed to lower repo rates. As the central bank behaves as a buy-and-hold 
investor, its asset purchases limit the free-floating availability of government bonds in 
the system. This stock effect diminishes the supply of bonds and thus increases the 
relative value of collateral, leading to lower repo rates. While GC repo is affected by 
asset scarcity – as the overall supply of collateral is diminished – non-GC repo has a 

Euro money market study 2022 – The secured segment 

19 

0%20%40%60%80%100%01/2001/2101/22GermanyBetween GC and GC-10bpsBetween GC-20bps and GC-30bpsBetween GC-10bps and GC-20bpsBelow GC-30bps0%20%40%60%80%100%01/2001/2101/22France0%20%40%60%80%100%01/2001/2101/22Italy0%20%40%60%80%100%01/2001/2101/22Spain 
 
 
higher sensitivity to a lower free float, because investors face greater difficulties 
finding specific collateral the scarcer it is. 

Chart 1.2.5 
Relationship between repo rates (GC and non-GC) and availability of securities in 
the Eurosystem 

(left-hand side: basis points; right-hand side: EUR trillions) 

Sources: Eurosystem, BrokerTec and MTS. 
Note: The DFR was subtracted from the repo rates and is represented as a daily monthly average. The availability of European 
government bond (EGB) is calculated by subtracting the Eurosystem footprint on government bonds from the total issuance of euro 
area government bonds. The Eurosystem footprint is the monetary policy government bond portfolios, plus pledged government bonds 
as collateral for the Eurosystem lending operations, minus government bonds lent by the Eurosystem through the securities lending 
facility. 

To attenuate the impact of its larger footprint, the Eurosystem has activated 
the securities lending facilities (Chart 1.2.6). The securities lending framework 
aims to support the functioning of bond and repo markets by lending back the market 
bonds bought under the APP and the PEPP. Moreover, the Deutsche Finanzagentur 
issued €54 billion to alleviate collateral scarcity of the German bonds used in the 
most expensive repo trades.4  Both measures contributed to stabilise rates closer to 
the DFR on the repo market. 

4    See the Deutsche Finanzagentur press release. 

Euro money market study 2022 – The secured segment 

20 

5.05.25.45.65.86.0-45-40-35-30-25-20-15-10-50507/1601/1707/1701/1807/1801/1907/1901/2007/2001/2107/2101/2207/22Repo rate minus DFREGBs availability (right y-axis)  
 
 
 
Chart 1.2.6 
Usage of the Eurosystem securities lending facilities against cash collateral 

(EUR billions) 

Source: Eurosystem. 
Note: YE refers to “year end”. 

1.3 

Maturities and calendar effects 

1.3.1 

Flows 

The repo market is mainly a short-term market, with most transactions taking 
place in the one-day maturity bucket (Chart 1.3.1). One-day maturity transactions, 
mainly concentrated in spot/next (S/N) and tomorrow/next (T/N), accounted for about 
90% of the total repo turnover in 2022. Given that (specific) collateral-driven secured 
transactions are typically executed at the S/N tenor, this increase in S/N transactions 
reflects the growing importance of specific secured transactions. 

Euro money market study 2022 – The secured segment 

21 

02040608010001/2104/2107/2110/2101/2204/2207/2210/22YE: 100 bnQ1: 80 bnQ2: 75 bnQ3: 82 bn+70 bn in DecShift to positive DFR rate (14 Sept) :EUR 96 bn+35 bnin DecQ2: 42 bnYE: 90 bnEurosystem 
 
 
Chart 1.3.1 
Daily average volumes by maturity bucket over time 

(EUR billions) 

Source: MMSR. 
Note: O/N – overnight; S/N – spot/next; T/N – tomorrow/next. 

1.3.2 

Stock 

Roughly 90% of the total outstanding secured transactions are concentrated 
below the three-month maturity bucket (Chart 1.3.2). The larger share of the 
outstanding amount for term transactions relative to their daily turnover responds to 
the fact that these are not rolled over daily. The outstanding volumes on shorter 
maturities mainly involve borrowing transactions, with a total share of about 45% 
(compared with about 39% of the stock of volume in lending transactions). The stock 
of repos traded on longer maturities is higher for lending transactions, as repos are 
used as a source of liquidity provision when taking a position in longer maturities. 

Euro money market study 2022 – The secured segment 

22 

050100150200250300350400450500O/NS/N, T/N1W - 2W1M - 3M3M+202020212022 
 
 
Chart 1.3.2 
Share of total outstanding amount at 15 September 2022 by original maturity 

(percentages) 

Source: MMSR. 
Note: The outstanding amount is a snapshot taken on 15 September 2022 in order to avoid reporting dates. The outstanding amount 
transforms the daily transaction volumes (flows) into a stock variable based on maturity dates. Outstanding amounts are adjusted for 
open repo transactions without fixed maturity at origination. These transactions are outstanding for the entire period between 
origination and termination date. Both borrowing and lending sides have been considered. 

1.3.3 

Calendar effects 

In recent years, there has been a significant decline in repo rates at quarter- 
and year-ends (Chart 1.3.3). Banks have an incentive to reduce the size of their 
balance sheets at regulatory reporting dates, especially at year-end, in order to 
improve their supervisory ratios. This leads to a reduction in their intermediation 
capacity, and ultimately in repo activity, which is particularly balance-sheet intensive 
around these periods. As a result, investors willing to borrow collateral are charged a 
premium for this balance sheet cost, which has increased over the past years due to 
the imbalance between the amount of cash and the availability of securities in the 
system. 

Euro money market study 2022 – The secured segment 

23 

0%10%20%30%40%50%60%70%80%90%100%O/N,S/N,T/N1W-3M4M-6M6M+ 
 
 
Chart 1.3.3 
Effect of reporting dates on repo rates 

(basis points) 

Source: MMSR. 
Note: Rate difference between the last business day of the quarter and the first business day of following quarter. 

Volumes declined at the end of each quarter owing to counterparties’ balance 
sheet constraints (Chart 1.3.4). In an environment of high excess liquidity, repo 
transactions predominantly serve collateral management purposes. Compared with 
the average volume traded during the quarter, borrowing activity on the last day of 
each quarter has gradually decreased, as banks are less willing to borrow liquidity 
and lend collateral to control their balance sheet size. The decline of volumes and 
the lower repo rates at these dates have generated (i) difficulties in hedging short 
positions in the repo market; (ii) an increase in settlement failures; (iii) difficulties for 
non-bank counterparties in depositing liquidity and, consequently, increased 
exposure to unexpected losses owing to particularly punitive rates; and (iv) volatility 
and uncertainty regarding one-day rates. 

Chart 1.3.4 
Volume effect of reporting dates (quarter-end and year-end) 

(EUR billions) 

Source: MMSR 
Note: Volume difference between the last business day of the quarter and the first business day of following quarter.   

Euro money market study 2022 – The secured segment 

24 

-350-300-250-200-150-100-500Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q42016201720182019202020212022BorrowingLending-70-60-50-40-30-20-10010203040Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q42016201720182019202020212022Borrowing Lending  
 
 
 
Counterparties intensified their prefunding activity ahead of the major balance 
sheet reporting dates over the years to avoid acquiring collateral at 
particularly punitive rates in the last days of each year (Charts 1.3.5 and 1.3.6). 
In recent years, market participants have hedged their liquidity (or collateral) needs 
beyond the reporting dates by stepping up their prefunding activity on repo 
transactions. Repo transactions that were settled in the second half of the year and 
mature at the beginning of the following year increased in 2022, reaching €347 billion 
at the end of 2022, similar to 2021 and significantly higher than in 2020. The spread 
between euro area repo and OIS rates for transactions maturing after the year-end 
widened, peaking by the end of September and then gradually narrowing down in 
response to measures taken during the fourth quarter aimed at alleviating collateral 
scarcity. By the end of the third quarter of 2022, markets had discounted particularly 
low rates at the end of the year and possible increases in fails following the 
Governing Council’s September 2022 decisions. As the end of the year approached, 
a series of measures had been taken by the Eurosystem and by governments in 
order to alleviate the scarcity of specific securities in the market.5  As a result, 
conditions in the repo market slightly improved. These measures helped to stabilise 
rates and narrow the repo-OIS spread, ensuring a smoother end-of-year transition. 

Chart 1.3.5 
Prefunding rates 

(basis points) 

Sources: MMSR, Bloomberg. 
Note: Collateral issuer locations: DE, IT, FR, ES. The prefunding rates refer to all transactions executed and settled throughout the 
year of the selected period and that mature in January of the following year. Transactions are considered that fit in the maturities 
buckets of 1W, 2W, 1M, 2M, 3M, 6M, 9M and 12M. Trades maturity dates are adjusted for open repo transactions without fixed 
maturity at origination, so they reflect the date of termination or the latest date if a still ongoing operation. The size of the bubble 
represents the size of the transaction. Confidential points are hidden. 

5    As mentioned before, this refers to the increase of the securities lending limit against cash. 

Euro money market study 2022 – The secured segment 

25 

-150-125-100-75-50-2502550JanFebAprMayJulSepOctDec2019202020212022 
 
 
 
Chart 1.3.6 
Prefunding volumes 

(EUR billions) 

Source: MMSR. 
Note: Collateral issuer locations: DE, IT, FR, ES. The prefunding volumes refer to all transactions executed and settled throughout the 
year of the selected period and that mature in January of the following year. Considering the transactions that fit in the maturities 
buckets of 1W, 2W, 1M, 2M, 3M, 6M, 9M and 12M. Trades maturity dates are adjusted for open repo transactions without fixed 
maturity at origination, so they reflect the date of termination or the latest date if a still ongoing operation. Confidential points are 
hidden. 

1.4 

Counterparties 

1.4.1 

The importance of non-banks 

Around two-thirds of traded volumes in the euro repo market are centrally 
cleared (Chart 1.4.1). While some of the CCPs have a banking licence, they are 
considered as a third category, separate from banks and non-banks. 

Euro money market study 2022 – The secured segment 

26 

050100150200250300350400JanMarMayJulSepNov2019202020212022 
 
 
Chart 1.4.1 
Percentage of trade with non-banks 

(percentages) 

Source: MMSR. 
Note: Secured borrowing and lending volumes displayed. Some of the CCPs also have a banking licence. However, CCPs are 
displayed as a third category in this chart, separate from banks and non-banks. 

The highest volumes of non-cleared transactions were conducted by MMSR 
reporting agents with other banks and with investment and money market 
funds (Chart 1.4.2). The non-cleared activity was distributed across banks, other 
types of financial institutions, general governments and, to a lesser extent, insurance 
companies. This trend has been ongoing since 2018. While banks borrow and lend 
in repo because of their market intermediation activity and their own portfolio 
management, MMFs tend to be net cash lenders and investment funds are generally 
net cash borrowers. Investment funds use repo transactions to increase their 
leverage for financing securities holdings. 

Chart 1.4.2 
Daily average non-cleared secured transaction volumes by sector 

(EUR billions) 

Source: MMSR. 

Euro money market study 2022 – The secured segment 

27 

0%10%20%30%40%50%60%70%80%90%100%BankNon-bankCCP0102030405060708090BanksGovernmentIFs and MMFsInsurancecorporationsOther financialsOther non-financial202020212022 
 
 
 
1.4.2 

Direction of the trade by sector and by jurisdiction 

French institutions account for the largest volumes in borrowing and lending 
repo transactions, followed by German institutions (Chart 1.4.3). Institutions 
from the Cayman Islands make up the third-largest counterparty jurisdiction for both 
trading directions. 

Chart 1.4.3 
Top 5 lender and borrower jurisdictions 

(EUR billions) 

Source: MMSR. 
Note: Only bilateral trades were considered. KY refers to the Cayman Islands. 

Traded volumes for different counterparty sectors and jurisdictions were 
evenly distributed across borrowing and lending transactions (Chart 1.4.4). 
Moreover, over half of the turnover with bank counterparties is cross-border, and 
MMSR reporting agents are net borrowers from other banks. On the other hand, over 
half of the turnover with CCPs is domestic, and MMSR reporting agents are net 
lenders in these transactions. 

Euro money market study 2022 – The secured segment 

28 

10080604020020406080100FRDEKYESNLGBESKYDEFRBorrowers             Lenders 
 
 
Chart 1.4.4 
Direction of the trade by sector and by jurisdiction 

(EUR billions) 

Source: MMSR. 
Notes: For compliance with confidentiality rules, euro area cross-border and international trades need to be displayed together under 
cross-country label. 

The share of non-euro area international counterparties increased over the course of 
2022 (Chart 1.4.5). The share of trades with non-euro area international 
counterparties reached 20% of total turnover, compared to 15% at the end of 2020. 
However, the share of domestic trades remained the most sizeable with almost half 
of the total turnover. 

Chart 1.4.5 
Direction of the trade by sector and by jurisdiction 

(percentages) 

Source: MMSR. 
Note: Domestic refers to trades with a counterparty located in the same jurisdiction than the MMSR reporting bank. Euro area cross-
border refers to trades with a counterparty located in the different member state than the MMSR reporting bank. Rest of the world 
refers to trades with a counterparty located outside the Euro area. 

Euro money market study 2022 – The secured segment 

29 

3002001000100200300BanksCCPOther financialsNon-financialsBorrowers              LendersDomesticCross-countryAll transactions010203040506070809010001/2103/2105/2107/2109/2111/2101/2203/2205/2207/2209/2211/22DomesticEuro area cross-borderRest of the world 
 
 
 
2 

The unsecured cash segment 

Activity in the unsecured cash segment remained subdued but showed signs 
of reactivation during the second half of 2022. With excess liquidity reaching a 
record high of €4.7 trillion in the period under review, activity in the European money 
markets was largely driven by transfers of funds from non-banks to banks that 
subsequently placed them in the deposit facility of the Eurosystem. While the amount 
of funds exchanged in the secured segment was almost three times larger than in 
the unsecured segment, the return to positive interest rates in 2022 unlocked some 
business that had remained dormant during the negative interest period. Moreover, 
rising policy rates triggered devaluations of the securities holdings, requiring account 
holders to deposit additional cash or securities to meet margin calls, thus increasing 
trading volumes. Both factors relaunched activity – mainly overnight – in the 
unsecured segment by about one-fifth. 

The pass-through of four policy rate hikes to unsecured overnight rates was 
rapid and efficient, but somewhat slower for longer maturities. The €STR 
responded immediately and by 99.4% to the four rate hikes. The EURIBOR also 
reacted to the policy normalisation process, but a less immediate pass-through was 
noted. 

The €STR-DFR spread reached 10 basis points by the end of 2022 compared 
with 6 basis points at the beginning of 2021. Downward pressures on borrowing 
rates came from a persistent imbalance between cash demand and supply. On the 
demand side, euro area banks discouraged short-term cash inflows as they worsen 
the banks’ regulatory ratios. On the supply side, depositors placing an increasing 
amount of excess liquidity favoured short money market maturities which, in the 
latter part of 2022, offered positive returns in an environment still dominated by large 
uncertainty surrounding the ECB terminal policy rate. This resulted in banks paying 
lower rates for deposits, which caused a wider €STR-DFR spread and negative one-
month EURIBOR-OIS spreads, reflecting negative liquidity risk premia in shorter 
tenors. However, forward spreads (i.e. FRA-OIS spreads) remained positive, 
suggesting that the negative EURIBOR-OIS spreads were expected to be temporary. 

Both overnight volumes and rates exhibited seasonality at quarter-ends, and 
this was more notable at year-ends. At these dates, both the usual volume of 
transactions and interest rates are reduced, as borrowing cash becomes particularly 
unwelcome for regulatory reasons. The rate effect exacerbated in 2021 and 2022, 
with the rate declining by 20 basis points on both year-ends compared with a decline 
of less than 7 basis points in previous years. 

Almost 80% of the turnover reflected transactions between banks with access 
to the deposit facility and non-banks with no access to it. Non-bank 
counterparties domiciled in Germany, Luxembourg and Ireland showed the most 
active lending activity. Liquidity tended to accumulate in German, French and 
Belgian banks, independently of whether the liquidity had originally been distributed 
by the Eurosystem’s credit providing operations or its asset purchases. 

Euro money market study 2022 – The unsecured cash segment 

30 

 
 
2.1 

Volumes 

2.1.1 

Flows 

With an average daily trading volume of €138 billion, the unsecured segment 
was the third-largest segment of the euro money market in terms of volume 
(Chart 2.1.1), growing by approximately 21% over the last year. Unsecured 
transactions represented 12% of the total euro money market trading volume in the 
period under review, as measured in the MMSR data. The average daily trading 
volume stood at €125 billion in 2021 and increased to €151 billion in 2022. 

Chart 2.1.1 
Market size per segment in terms of daily transaction volumes, average in each 
quarter 

(EUR billions) 

Sources: MMSR. 
Note: The percentages refer to the weight of the unsecured cash segment on the total of the euro money market for 2018, 2020 and 
2022. 

13% 

2.1.2 

Stock 

Outstanding amounts increased with the monetary policy normalisation cycle 
in the second half of 2022, starting from the lower levels observed during the 
pandemic (Chart 2.1.2). The decline in volumes stopped in 2021 and stabilised at 
around €265 billion, approximately €80 billion lower than in the years before the 
COVID-19 crisis. Inflation pressures changed market expectations of ECB interest 
rates and triggered appetite for more active liquidity management in 2022. This 
reactivation of activity increased the outstanding volume to around €300 billion in the 
first half of 2022 and €400 billion in the second half of 2022. In November 2022, 
outstanding volume hovered close to €500 billion, the highest outstanding volume 
recorded in the unsecured segment since MMSR data collection started. 

Euro money market study 2022 – The unsecured cash segment 

31 

020406080100120140160180200Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4201620172018201920202021202212%14%13%Unsecured 
 
 
Chart 2.1.2 
Borrowing and lending trading volumes, daily values 

(EUR billions) 

Source: MMSR 
Note: Confidential points are hidden. 

2.1.3 

Drivers of volume 

Liquidity placements from non-banks, concentrated in overnight 
maturity 

Money market activity in the unsecured segment remained dominated by 
financial institutions other than banks and corporates placing their liquidity 
with euro area banks at very short tenors (Chart 2.1.3). Almost 78% of banks’ 
unsecured transactions have a non-bank as counterparty. Non-banks without access 
to the Eurosystem standing facilities place cash of an overnight maturity via the 
money market with euro area banks. These banks subsequently deposit funds with 
the ECB at the DFR. While there has been an increased preference for secured 
trading in money markets since the global financial crisis, market participants’ daily 
liquidity management practices and the less onerous pricing of unsecured trades 
have always preserved daily borrowing activity above €100 billion. 

Euro money market study 2022 – The unsecured cash segment 

32 

05010015020025030035040045050007/1601/1707/1701/1807/1801/1907/1901/2007/2001/2107/2101/2207/22 
 
 
Chart 2.1.3 
Market size per data source – average daily transaction volumes over the last two 
years 

(EUR billions) 

Sources: AnaCredit (bank loans below one year) and MMSR (borrowing and lending).   
Note: While borrowing covers banks’ transactions vis-a-vis any counterparty, lending only covers interbank activity.   

The overnight segment represented 83% of the total unsecured volume (Chart 
2.1.4). The reactivation of the unsecured activity in the second half of 2022 remained 
largely concentrated in the overnight maturity bucket. 

Chart 2.1.4 
Quarterly daily average volume traded by maturity bucket 

(EUR billions) 

Source: MMSR. 

Return to positive interest rates 

The return to positive interest rates in 2022 unlocked some business that had 
remained dormant during the negative interest period and triggered a decline 
in the value of securities holdings, requiring account holders to deposit 

Euro money market study 2022 – The unsecured cash segment 

33 

020406080100120140160MMSRAnaCreditLending Borrowing (from other banks)Borrowing (from non-banks)020406080100120Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4202020212022O/NS/N,T/N1W-2W1M-3M3M+ 
 
 
 
additional cash to meet margin calls (Chart 2.1.5). Both factors contributed to a 
reactivation of activity in the unsecured segment by about one-fifth, mainly overnight 
and in the very short-term tenors. The daily average volume contribution to the 
€STR6  increased from €46 billion in 2021 to €56 billion in 2022. The increase in 
€STR volumes was particularly strong during the second half of 2022, with an 
average daily volume of €60 billion and a peak of €80 billion on 14 September 2022. 

Chart 2.1.5 
Breakdown of borrowing transactions according to contribution to €STR 

(EUR billions) 

Source: MMSR. 
Note: The chart is calculated as the daily average of the borrowing transactions divided into different selected maturities: “O/N eligible” 
captures O/N transactions contributing to the €STR, including those affected by the trimming procedure; “O/N not eligible” captures 
O/N transactions outside the €STR calculation (call accounts transactions with governments and NFCs, as well as small trades below 
€1 million); and “Other maturities” captures the residual borrowing transactions with maturities of longer than overnight. 

Interbank activity in the unsecured cash segment has also increased, albeit 
still at a low level (Chart 2.1.6). While interbank lending activity continues to be 
subdued, with daily flows between €4 billion and €7 billion, the share of unsecured 
interbank activity in MMSR for all maturities has slightly increased, from almost 7% 
at the beginning of 2021 to 10% at the end of 2022. 

6    The euro short-term rate (€STR) reflects the wholesale euro unsecured overnight borrowing costs of 

the 47 largest banks located in the euro area. 

Euro money market study 2022 – The unsecured cash segment 

34 

02040608010012014016020222021Other maturitiesO/N not eligibleO/N eligible 
 
 
 
Chart 2.1.6 
Percentage of unsecured lending and borrowing volumes across counterparties with 
and without access to the DFR 

(percentages) 

Source: MMSR. 
Note: Borrowing and lending average daily transaction volumes over the last two years are shown. Confidential points are hidden. 

2.2 

Rates 

2.2.1 

2021-22 trends 

Unsecured rates increased for all tenors in 2022 after reaching a historical low 
at -0.60% in December 2021 (Chart 2.2.1). The €STR remained broadly stable in 
2021 at an average of around -0.568%, while in the first half of 2022 the €STR 
fluctuated at a somewhat lower level, close to, but without reaching -0.6%. The 
EURIBOR also remained broadly stable in 2021, hovering below, but close to, the 
DFR in all maturities except for the 12-month tenor, which remained slightly above 
the DFR. All EURIBOR tenors reached historical lows in mid-December 2021, with 
the three-month EURIBOR at -0.605% and the six- and 12-month EURIBOR at -
0.554% and -0.518%, respectively. In 2022, higher inflationary pressures changed 
market expectations regarding the ECB official interest rate hikes and led to a steady 
increase of all unsecured rates and to higher term risk premia. This had a more 
visible impact on the 12-month EURIBOR which discounted further ECB interest rate 
hikes. By the end of 2022 the €STR stood at 1.89% and the 12-month EURIBOR at 
3.00%. 

Euro money market study 2022 – The unsecured cash segment 

35 

0%20%40%60%80%100%01/2104/2107/2110/2101/2204/2207/2210/22Access to DFRNo access to DFR 
 
 
Chart 2.2.1 
Evolution of unsecured rates and the DFR-€STR spread 

(left y-axis: percentages; right y-axis: EUR billions) 

Sources: MMSR, ECB, Bloomberg. 
Note: EURIBOR stands for euro interbank offered rate. The EURIBOR is based on the average interest rates at which a large panel of 
European banks borrow funds from one another. There are different maturities, ranging from one week to one year. 

The pass-through of the four policy rate hikes to the unsecured rates in 2022 
was rapid and effective (Chart 2.2.2). The increases in the ECB’s official interest 
rates were well transmitted to the unsecured segment. The €STR responded 
immediately with a 99.4% pass-through of the four rate hikes of +50 basis points, 
+75 basis points, +75 basis points and +50 basis points decided in the second half of 
2022, increasing by 49.6 basis points on 27 July to -0.085%, by 74.5 basis points on 
14 September to 0.662%, by 74.4 basis points on 2 November to 1.403%, and by 
49.9 basis points on 21 December to 1.902%, respectively. The EURIBOR also 
reacted to the policy normalisation process, but a less immediate and less complete 
pass-through was noted. 

Euro money market study 2022 – The unsecured cash segment 

36 

02468101214-1.0-0.50.00.51.01.52.02.53.03.510/1904/2010/2004/2110/2104/2210/22EURIBOR 1MEURIBOR 3MEURIBOR 6MEURIBOR 12MDFR€STRDFR/€STR spread (right y-axis) 
 
 
Chart 2.2.2 
Transmission of the rate hikes on the first two days after the change in the policy rate 
became effective 

(basis points) 

Sources: ECB and Bloomberg. 
Note: The €STR shows the one-day change for unsecured overnight trades that settled on the last day of the MP and the first day of 
the MP. The EURIBOR with one-week and one-month maturities reflects the change compared with one week and one month prior to 
the first day of the MP. 

2.2.2 

Drivers of rates 

Negative liquidity premia in short tenors 

Overnight unsecured borrowing rates remained anchored to the DFR even if 
they drifted marginally away amid investors’ preferences for short-term 
investments (Chart 2.2.3). On 3 January 2022, the €STR successfully replaced the 
euro overnight index average (EONIA) as the overnight benchmark rate for the euro. 
The transition took place over several years, guided by a private sector working 
group on euro risk-free rates.7  Users of the EONIA managed to switch to the new 
benchmark rate successfully within the required deadlines.8  Overnight unsecured 
borrowing rates remained anchored to the DFR during the whole period under 
review, almost perfectly mirroring the official interest rates hikes, although the €STR 
spread with the DFR slightly widened. 

7    See the website of the European Securities and Markets Authority (ESMA) for more information on the 
Working group on euro risk-free rates (WG RFR), an industry group created to identify and recommend 
risk-free rates that could serve as alternatives to the EONIA and fallbacks for EURIBOR benchmarks. 

8    See “The euro short-term rate (€STR): completing the transition to the new euro benchmark”, ECB 

Economic Bulletin, Issue 4, 2022. 

Euro money market study 2022 – The unsecured cash segment 

37 

01020304050607080Jul-22 GovCSep-22 GovCOct-22 GovCDec-22 GovC€STREURIBOR 1WEURIBOR 1M 
 
 
 
Chart 2.2.3 
EONIA/€STR rate and volume 

(left y-axis: percentage; right y-axis: EUR billions)   

Source: MMSR. 

The negative relationship between excess liquidity and unsecured rates 
persisted in the review period (Chart 2.2.4). By the end of 2022 the €STR stood 
around 10 basis points below the DFR9  compared with around 6 basis points at the 
beginning of 202110. Until mid-2022 the spread increase was smooth and gradual, 
with the variation on the spread of 2 basis points at around 18 months, in line with 
the speed observed in 2020. However, the pace accelerated in the second half of 
2022, increasing by another 2 basis points in about six months amid the four interest 
rates hikes. The negative relationship between excess liquidity and unsecured rates 
recently intensified, putting further downward pressure on unsecured overnight rates. 

9    Average for the fourth quarter of 2022. 
10    Average for the first quarter of 2021. 

Euro money market study 2022 – The unsecured cash segment 

38 

0102030405060708090-1.0-0.50.00.51.01.52.02.501/1906/1911/1904/2009/2002/2107/2112/2105/2210/22EONIA volume€STR volumeEONIA€STRDFR 
 
 
 
Chart 2.2.4 
Relationship between excess liquidity and unsecured interest rates 

(x-axis: EUR trillions; y-axis: percentages) 

Sources: MMSR, Bloomberg. 
Note: Unsecured borrowing, weekly average of volume-weighted average rate’s spread to DFR. 

Banks’ market power in a positive interest rate environment 

Banks had the market power to keep borrowing rates low as a result of access 
to the ECB’s deposit facility and the return to positive rates. Downward 
pressure on borrowing rates was also caused by a persistent imbalance between 
demand and supply for cash in the money market. On the supply side, market 
participants showed a preference for placing cash in the shortest tenors, given (i) the 
uncertainly stemming from the war in Ukraine, (ii) the uncertainty regarding ECB rate 
hikes, and (iii) the restricted counterparty risk limits for longer maturities. As a result, 
most of the supply of funds was concentrated in the overnight maturity bucket. On 
the demand side, banks had limited appetite for cash in such short maturities 
because it impacts their LCR11  and does not have NSFR regulatory value. In 
addition, the cash also negatively impacts the LR12  and, if kept at the central bank, 
leads to an increase in banks’ balance sheet size. This in turn leads to higher 
regulatory costs, such as supervisory fees13  and contributions to the Single 
Resolution Fund14. Therefore, banks were only willing to accept liquidity below 30 
days at rates further below the DFR to compensate for the impact of those new 
deposits on banks’ regulatory ratios and levies. Moreover, banks’ market power on 
rate negotiation with other non-bank economic agents seemed to increase with the 

11    The effect on the LCR denominator depends on the type of deposit. While financial deposits below 30 
days require a 100% buffer of liquid assets, non-operational deposits below 30 days require 40% and 
operational deposits require 25%. 

12    With the entry into force of Regulation (EU) 2019/876 of the European Parliament and of the Council of 

20 May 2019 (CRR II), the LR and the NSFR became binding on 28 June 2021. 

13    See Article 10(3) of Regulation (EU) No 1163/2014 of the European Central Bank of 22 October 2014 on 

supervisory fees. 

14    See the 2023 Resolution Reporting and Article 14(1) of Commission Delegated Regulation (EU) 2015/63 

of 21 October 2014. 

Euro money market study 2022 – The unsecured cash segment 

39 

-0.20-0.15-0.10-0.050.000.050.100.150.511.522.533.544.5Jul-16 –Dec-18Mar-20 –Dec-20Jan-21 –Dec-22 
 
 
 
transition to a positive rates environment. These factors explain the widening of the 
€STR-DFR spread which took place in the second half of 2022. 

Positive risk premia visible on tenors above three months and FRA 
rates 

Signs of credit risk were visible in forward rate agreement rates, but not in 
borrowing rates below the three-month tenor (Chart 2.2.5). The EURIBOR-OIS 
spread is generally seen as a good measure of credit and liquidity risk. The 
EURIBOR is (at least partly) built on actual unsecured borrowing transactions. It 
therefore contains a credit element between trade counterparties and a liquidity 
element in the form of funding availability. In contrast, the OIS reflects expectations 
of overnight and almost risk-free rates. Hence, the spread between the two is usually 
positive and a good measurement of credit and liquidity risk. However, EURIBOR-
OIS spreads for the one-month tenor turned negative from August 2022 with brief 
episodes where it turned positive. It has been almost constantly inverted since the 
beginning of October 2022, together with the three-month EURIBOR-OIS spread. 
The downward pressure observed on term rates up to three months seems to be 
attributable to a negative liquidity premium and driven by cash supply-demand 
imbalances, equal to that observed in the €STR. The one-month EURIBOR also 
showed a more sluggish reaction to the repricing of ECB policy rates, suggesting 
that the downward pressure is largest for funds that fully weigh on the LCR 
denominator. However, the three-month FRA-OIS spread remained positive at 4 
basis points for March 2023 and at 10 basis points for mid-2023. As FRAs reflect 
expectations on future unsecured interest rate levels, the persistence of a positive 
FRA-OIS spread in the tenors where the EURIBOR-OIS spread is negative suggests 
that the negative spreads are expected to be temporary. Therefore, it seems that the 
FRA-OIS spread was a better indicator for monitoring the development of credit risk 
perception across maturities in 2022 than the EURIBOR-OIS spread. 

Euro money market study 2022 – The unsecured cash segment 

40 

 
 
Chart 2.2.5 
EURIBOR versus OIS spread developments 

(basis points)   

Source: Bloomberg. 

Box 1 
€STR-based fallbacks for EURIBOR 

One of the benchmark rate reforms guided by the Financial Stability Board, the EU Benchmarks 
Regulation (BMR) and the International Organization of Securities Commissions (IOSCO), is the 
introduction of robust fallbacks in contracts referencing benchmark rates. These fallbacks would 
cover a scenario in which the benchmark was subject to the risk of disruption or discontinuation. 

While there are no plans to discontinue EURIBOR, the EURIBOR fallback measures would make it 
possible for market participants to comply with Article 28(2) of the BMR. 

On 11 May 2021, the working group on euro risk-free rates issued recommendations15  supporting a 
homogeneous and consistent development of robust fallback measures for EURIBOR-linked 
contracts across market usage and segments. These recommendations put forward the use of 
compounded €STR rates and term €STR rates as components of EURIBOR fallback measures, 
depending on the different asset categories. 

Compounded €STR average rates 

On 15 April 2021 the ECB started publishing compounded €STR average rates and a compounded 
index based on the €STR in response to market feedback. The rates are backward-looking 
compounded averages of the €STR calculated over standardised tenors of one week, one month, 
three months, six months and twelve months. The compounded €STR index makes it possible to 
calculate a compounded €STR average rate over any other tenor of choice. Publication takes place 
each TARGET2 business day at 09:15 CET. The rules for the calculation and publication of the 

15    See “Recommendations by the working group on euro risk-free rates on EURIBOR fallback trigger 

events and €STR-based EURIBOR fallback rates”, 11 May 2021. 

Euro money market study 2022 – The unsecured cash segment 

41 

-40-2002040608001/2006/2011/2004/2109/2102/2207/2212/2205/231W1M3M6MFRA-OIS March 23FRA-OIS June 23FRA-OIS Sep 23 
 
 
 
 
compounded €STR average rates and index are published on the ECB website16  and their design 
was the result of a public consultation. 

€STR term rates 

On 14 November 2021, the European Money Markets Institute started publishing a euro forward-
looking term rate (EFTERM) based on available market data on OIS and futures that reference the 
€STR, where the ICE Benchmark Administration acts as its calculation agent. EFTERM applies a 
waterfall methodology using dealer-to-client bid and offer prices and volumes obtained from 
Tradeweb’s institutional trading platform or end-of-day settlement prices for ICE one-month €STR 
futures contracts. Tradeable bid and offer prices and volumes from regulated electronic trading 
venues will also be used in the waterfall, when available. EFTERM is calculated for five tenors: one 
week, one month, three months, six months and twelve months. Publication takes place on every 
TARGET2 business day at or shortly after 11:15 CET. 

On 26 October 2021, Refinitiv launched a prototype forward-looking fallback rate. The Refinitiv Term 
€STR adopts a waterfall methodology that uses dealer-to-client bids and offers quotes of €STR and 
OIS from Tradeweb’s institutional trading platform as the primary source. An integrated fallback 
based on the compounded €STR is used as the secondary source. Publication of the Refinitiv Term 
€STR is planned to take place on a daily basis for five tenors: one week, one month, three months, 
six months and twelve months. 

2.3 

Maturities and calendar effects 

2.3.1 

Flows 

The data show an increase in the overnight volume, to the detriment of the 
other maturity buckets (Chart 2.3.1). Between 2021 and 2022 the average 
overnight volume increased by €24 billion to €108 billion, representing 83% of the 
unsecured volume, while the rest of the maturity buckets experienced a decline in 
volume (for example, the three-month volume fell from €34 billion to €20 billion). This 
increase in overnight activity seemed to be the result of banks preferring to negotiate 
on the shorter maturities. The transfer of the unsecured activity from the longer 
maturity buckets to the overnight bucket occurred in two different stages. First, in 
2021, an aggregate decline of the average daily transaction volume was mainly 
observable in the longer maturity buckets (for example, volumes with maturities of 
one to three months and above three months declined by €14 billion and €6 billion, 
respectively). Second, in 2022 the reactivation of the unsecured activity was largely 
concentrated in the overnight maturity bucket.   

16    See “Compounded €STR average rates and index: Calculation and publication rules”, ECB, Frankfurt, 

October 2020. 

Euro money market study 2022 – The unsecured cash segment 

42 

 
 
 
 
Chart 2.3.1 
Volume (average daily transaction) per maturity bucket 

(EUR billions) 

Source: MMSR. 

2.3.2 

Stock 

Outstanding amounts (stocks) accounted for a higher weight of longer 
maturities compared with overnight activity (Chart 2.3.2). One-day maturity 
trades only account for 28% of the total outstanding borrowing volume. The 
remaining 72% of borrowing outstanding amounts and almost all lending contracts 
have a maturity of over one week. Therefore, they appear more prominent than in 
the flow data. Specifically, both lending and borrowing activity have a similar 
concentration of around 35% in the one-week and three-month maturity tenors. 
However, lending outstanding volumes constitute a larger share of contracts with a 
maturity of 4 months and over. 

Euro money market study 2022 – The unsecured cash segment 

43 

020406080100120O/NS/N, T/N1W-2W1M-3M3M+202020212022 
 
 
Chart 2.3.2 
Borrowing and lending volumes (outstanding at period end) per maturity bucket at 15 
September 

(percentages) 

Source: MMSR. 
Note: The middle of the month was chosen in order to avoid quarter-end differences in the composition of the maturity buckets in the 
outstanding amounts. 

2.3.3 

Calendar effects 

Unsecured overnight volumes and rates exhibit seasonality at quarter-ends 
and more notably at year-ends. At these dates, both the usual volume of 
transactions and rates are reduced, as borrowing cash becomes particularly 
undesirable for regulatory reasons and therefore euro area banks only take it at 
lower rates. 

On rates 

Overnight borrowing rates fell substantially at quarter-ends (Chart 2.3.3). In 
order to reduce the borrowing activity on the reporting dates, banks lower prices for 
taking up overnight deposits. This effect has gradually increased over time and 
intensified for the last two year-ends, with an overnight rate decline of 7 basis points 
in the fourth quarter of 2020, compared with 20 basis points in the fourth quarter of 
2021 and the fourth quarter of 2022. The stronger effect on rates despite the lower 
impact on volume in the period under review might be attributable to banks’ market 
power regarding rate negotiation. 

Euro money market study 2022 – The unsecured cash segment 

44 

0%20%40%60%80%100%O/N,S/N,T/N1W-3M4M-6M6M+ 
 
 
Chart 2.3.3 
Effect of reporting dates on unsecured interest rates 

(basis points) 

Source: MMSR 
Note: Rate difference between the last business day of the quarter and the first business day of following quarter. 

On volume 

Overnight borrowing volume fell significantly at reporting dates, showing 
approximately 20% lower volume at year-ends (Chart 2.3.4). On these reporting 
dates banks try to minimise their balance sheet size with the aim of improving their 
regulatory ratios, optimising their financial state at the reporting date and reducing 
their contributions to certain bank levies. Several factors put pressure on banks to 
avoid liquidity holdings from non-banks and to not rely heavily on central bank 
funding in their year-end balance sheet: (i) the entry into force of the liquidity ratio 
regulation on 28 June 2021, (ii) the increasing levels of excess liquidity recorded until 
mid-2022, and (iii) the re-inclusion of central bank exposures for the calculation of 
the leverage ratio as of April 2022. For these reasons, a volume decline at quarter-
ends and especially at year-ends is observed, with a decline of €39 billion in the 
fourth quarter of 2020, and €29 billion in the fourth quarter of 2021 and the fourth 
quarter of 2022. The decrease in lending volume at reporting dates is more marginal 
than the decrease in borrowing activity. 

Euro money market study 2022 – The unsecured cash segment 

45 

-25-20-15-10-505101520Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q42016201720182019202020212022BorrowingLending 
 
 
Chart 2.3.4 
Effect of reporting dates on trading volume 

(EUR billions) 

Source: MMSR   
Note: Volume difference between the last business day of the quarter and the first business day of following quarter. 

2.4 

Counterparties 

2.4.1 

The role of non-banks 

Almost 80% of euro area banks’ unsecured trades were conducted with non-
bank counterparties (Charts 2.4.1 and 2.4.2). Roughly 78% of the unsecured 
activity in the MMSR was made up of banks receiving cash from other entities that 
do not have access to the ECB deposit facility. Of such entities, non-bank financial 
institutions – in particular MMFs – and NFCs registered the highest volumes, 
followed by governments. Interbank business accounted for the remaining 22%.   

Euro money market study 2022 – The unsecured cash segment 

46 

-45-40-35-30-25-20-15-10-505Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q42016201720182019202020212022Borrowing Lending  
 
 
Chart 2.4.1 
Percentage of trades per counterparty group (banks and non-banks) 

(percentages) 

Source: MMSR. 

While non-bank financial institutions – including MMFs and other investment 
funds – were the largest cash depositors, trades with non-financial 
corporations grew considerably in 2022 (Chart 2.4.2). In relative terms, MMFs 
recorded the highest growth in cash deposits with banks – 44% since 2021 – 
continuing the upward trend observed since 2020, when the deterioration in risk 
sentiment led MMFs to maintain more liquidity in order to be able to meet potential 
outflows at any time. This trend was reinforced with the return of the positive interest 
rates environment. NFCs became the second-largest contributor to unsecured 
market activity in 2022, after having declined in volume in 2021. This decline was 
attributable to the release of part of the liquidity buffers built during the COVID-19 
crisis. In 2022 NFCs rebuilt liquidity buffers in view of new macroeconomic 
uncertainties linked to inflation and commodity price volatility. This rebuilding led to a 
daily average volume of €35 billion. Other financial institutions and governments also 
increased their deposits during 2022, despite the fall observed in 2021. The ECB 
Governing Council’s September 2022 decision to remunerate government deposits 
held with the Eurosystem at market rates until April 2023 tempered abrupt shifts from 
Eurosystem accounts to the market in a positive rate environment. Finally, interbank 
lending volumes decreased from 2020 to 2021 and remained broadly stable in 2022 
at around €7 billion. 

Euro money market study 2022 – The unsecured cash segment 

47 

0%10%20%30%40%50%60%70%80%90%100%BankNon-bank 
 
 
Chart 2.4.2 
Unsecured volumes for each counterparty sector, borrowing and lending 

(EUR billions) 

Source: MMSR. 
Note: “Other financials” includes financial auxiliaries, captive financial institutions and money lenders, pension funds, insurance 
corporations, non-MMF investment funds and other financial intermediaries. 

2.4.2 

Direction of the trade by sector and jurisdiction 

In terms of jurisdiction, German and French banks received cash 
predominantly from non-banks domiciled in Germany, Luxembourg and 
Ireland (Charts 2.4.3 and 2.4.4.). Over time, excess liquidity tended to accumulate 
in very large banks located in a few euro area countries (Germany, France or 
Belgium). Thus, high volumes were transacted among market counterparties across 
jurisdictions, independently of how the liquidity had originally been provided by the 
Eurosystem. Due to their status as financial hubs for the fund industry, Luxembourg 
and Ireland have a high concentration of MMFs. Germany also acts as a financial 
hub for corporations and other financials. These non-bank actors ultimately place 
their liquidity in euro area banks because they do not have access to the central 
bank deposit facility. Chart 2.4.4 shows that in the review period, almost 50% of the 
unsecured activity was domestic, and euro area cross-border flows accounted for 
40% of unsecured activity. Around a half of the inflows to banks came from financials 
and corporations – and to a lesser extent from governments – from the same 
jurisdiction. Euro area cross-border activity predominantly reflected inflows from 
financial institutions. Finally, the international trades were limited, taking place on the 
interbank market and also reflecting inflows from financial institutions. 

Euro money market study 2022 – The unsecured cash segment 

48 

051015202530354045Banks202020212022a) Lending051015202530354045NFCsOtherfinancialsGovernmentMMFsBanksCentralbanksb) Borrowing 
 
 
Chart 2.4.3 
Direction of trade by jurisdiction (top five borrowers and lenders) 

(EUR billions) 

Source: MMSR. 
Note: On the borrower side, the fifth jurisdiction was removed in compliance with MMSR confidentiality rules. 

Chart 2.4.4 
Direction of the trade by counterparty 

(EUR billions) 

Source: MMSR. 
Note: In the unsecured segment, the lending side does not mirror the borrowing one, as on the lending side the MMSR reporting 
agents are only providing information on trades concluded with counterparties belonging to ESA 2010 sector “S.122”. On the 
borrowing side the range of counterparties is much broader, covering other financial corporations, non-financial corporations and 
governments. In this chart we are considering both sides of the trade to show the current representation. 

Despite higher levels of domestic activity, cross-border trading increased over 
the past two years (Chart 2.4.5). The share of volume traded between 
counterparties belonging to different countries in the euro area increased from 35% 
in 2021 to 40% in 2022, while domestic business remained at around 50%. The 
increase in domestic activity observed at the end of 2022 seemed to be related to 
the growth of interbank lending activity (Chart 2.1.6). 

Euro money market study 2022 – The unsecured cash segment 

49 

70605040302010010203040506070DELUIEFRBENLBEFRDEBorrowers            Lenders8060402002040BanksMMFsNFCsOther financialsOther non-financialsBorrower                           LendersDomesticCross-border 
 
 
 
Chart 2.4.5 
Evolution of international business in the unsecured money market 

(percentages) 

Source: MMSR. 
Note: Domestic refers to trades with a counterparty located in the same jurisdiction than the MMSR reporting bank. Euro area cross-
border refers to trades with a counterparty located in the different member state than the MMSR reporting bank. Rest of the world 
refers to trades with a counterparty located outside the Euro area. 

Euro money market study 2022 – The unsecured cash segment 

50 

010203040506070809010001/2103/2105/2107/2109/2111/2101/2203/2205/2207/2209/2211/22DomesticEuro area cross-borderRest of the world 
 
 
3 

The short-term securities segment 

The short-term securities (STS) segment of the euro money market 
encompasses several markets with their own legal basis, participants and 
dynamics. The international and multi-currency Euro Commercial Paper (ECP) 
market remains the largest market and is mainly governed by English law. The 
second most important market is the Negotiable European Commercial Paper (NEU 
CP) and medium-term notes (NEU MTN) market, which is governed by French law 
and was reformed in 2016 to comply with international standards and attract a larger 
number of issuers, especially non-domestic issuers. Other domestic markets in 
Belgium, Germany, Spain and Italy are smaller. The Short-Term European Paper 
(STEP) label was launched in 2006 and its aim is to foster the integration of 
European markets for short-term paper by harmonising standards and practices. 

Issuances in the STS segment stabilised in 2021 below pre-pandemic levels 
and increased again during the latter half of 2022. Banks issued 75% of STS in 
the primary market, leading the increase observed in the second half of 2022. 
TLTRO take-up substituted banks’ STS issuance as a funding source in 2021. 
Conversely, TLTRO repayments in the second half of 2022 and a renewed appetite 
for investment opportunities at positive rates had a positive impact on banks’ STS 
issuances. However, pre-pandemic levels are yet to be achieved. 

From 2021 to early 2022, the yield curve of euro-denominated STS remained 
flat and steepened thereafter following monetary policy normalisation. The 
pass-through of hikes in Eurosystem policy rates to rates in the STS segment was 
complete. The high degree of uncertainty in financial markets and the monetary 
policy normalisation accentuated investors’ preference for STS issuances up to three 
months. Issuances of STS with maturities above nine months continued to decrease 
for the whole period under review. MMFs remain the largest investors in short-term 
securities. 

3.1 

Volumes 

STS issuance and price activity are best measured in statistical datasets 
outside the MMSR dataset. MMSR data cover four out of the five segments of the 
euro money market. Information on the fifth segment – STS issuance – is provided 
by the statistics on the Centralised Securities Database (CSDB) for volumes and 
STEP for rates, as they both cover a broader range of short-term debt instruments 
compared with the MMSR. 

Euro money market study 2022 – The short-term securities segment 

51 

 
 
Chart 3.1.1 
Issuance volumes – average daily volumes by different databases 

(EUR billions) 

Note: The CSDB contains data on “certificates of deposit”, “commercial paper” and “other money market instruments” with a maturity 
of up to 12 months for all currencies and all issuer types located in the euro area. The MMSR only covers euro-denominated 
issuances made by a sample of reporting agents. The STEP includes STS in all currencies and from all types of issuers, and with a 
STEP label. NEU CP covers STS issued under the NEU CP programme in France, which are largely euro denominated. Dealogic 
provides STS primary market issuances by euro area issuers in all currencies. 

3.1.1 

Flows 

With an average daily issuance volume of €9.9 billion, the STS market remains 
the smallest segment of the euro money market in terms of volume (Chart 
3.1.2). After reaching a low point at the end of 2020 (€8.3 billion), gross issuances of 
commercial paper (CP) and certificates of deposit (CD) gradually increased at the 
end of 2022. The average daily gross issuances have accelerated more sharply 
since the third quarter of 2022, reaching €12.4 billion by the end of 2022. 

Chart 3.1.2 
STS market size, average daily issuance volume per quarter 

(EUR billions) 

Sources: CSDB. 
Notes: The series consider only the borrowing side (issuance) by all counterparties sectors (except public entities), and all currencies. 
The percentages refer to the weight of the short-term securities segment on the total of the euro money market for 2018, 2020 and 
2022. 

Euro money market study 2022 – The short-term securities segment 

52 

02468101214MMSRNEU CPDealogicSTEPCSDB02468101214Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q420162017201820192020202120221%1%1%STS 
 
 
 
3.1.2 

Stock 

The outstanding stock of STS has remained broadly stable (Chart 3.1.3). This is 
because the share of EUR- and USD-denominated issuances grew in the second 
half of 2022 at the expense of GBP-denominated issuances After the annual 
average outstanding amount fell to €556 billion in 2021 from €648 billion in 2020, it 
recovered slightly to €586 billion in the second half of 2022. EUR-denominated STS 
remained dominant (61% in the second half of 2022 compared with 55% in January 
2021), followed by USD-denominated STS (25% compared with 29% in January 
2021). On the contrary, the weight of GBP-denominated STS slightly decreased from 
15% to 14%. STS denominated in other currencies remained marginal (1%). 

Chart 3.1.3 
STS outstanding volumes per currency over time 

(EUR billions) 

Source: CSDB 
Notes: Outstanding amounts of securities with maturities of up to one year issued by all sectors, excluding general government 
issuance. 

3.1.3 

Drivers of volume 

Dominance of bank issuance 

Banks led the recovery of STS issuance in the second half of 2022 (Chart 
3.1.4). Banks issued 74% of STS in the primary market, leading the increase 
observed in the second half of 2022. The issuance of NFCs increased slightly on 
average over 2022 compared with previous years, without showing a consistent 
upward trend yet. 

Euro money market study 2022 – The short-term securities segment 

53 

010020030040050060070080007/1604/1701/1810/1807/1904/2001/2110/2107/22EURUSDGBPOthers 
 
 
Chart 3.1.4 
Development of daily average issuance split by issuer group (banks and non-banks) 

(EUR billions) 

Source: CSDB. 
Note: Average daily issuance volume of securities with maturities of up to one year issued in all currencies, by all sectors, excluding 
general government issuance. 

After the Eurosystem changed the terms of TLTRO for the period from June 
2020 to June 2022 in response to the COVID-19 crisis, large TLTRO take-up 
substituted banks’ STS issuance as a funding source (Chart 3.1.5). Banks’ STS 
outstanding volumes strongly declined in the second half of 2020, when banks were 
able to fulfil their funding needs at a more favourable cost through TLTRO III at -1% 
until June 2022. During 2021 and the first half of 2022, banks’ STS outstanding 
volumes remained stable, representing less than 25% of their TLTRO III holdings, 
compared with more than 50% from 2018 to 2019 under TLTRO II. In this context, 
some banks continued with their STS programmes, mainly to keep their investor 
base and to ensure their presence in the STS market once TLTRO III funding 
matures. As a result, net issuance in 2021 and the first half of 2022 remained 
broadly in line with maturing amounts. 

Conversely, TLTRO III repayments in the second half of 2022 – following the 
recalibration of terms in October 2022 – had a positive impact on banks’ STS 
issuance. The ECB decision to recalibrate the TLTRO III terms from June 2022 
onwards as part of the monetary policy normalisation process made TLTRO funding 
less attractive and resulted in repayments reaching €800 billion in the fourth quarter 
of 2022. This had a positive impact on the recovery of banks’ STS issuances by the 
end of 2022. 

Euro money market study 2022 – The short-term securities segment 

54 

012345678910Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4202020212022BanksNon-banks 
 
 
Chart 3.1.5 
Banks’ outstanding STS versus outstanding TLTROs 

(EUR billions) 

Sources: CSDB and ECB. 
Notes: Outstanding amounts of securities with maturities of up to one year, considering only banks’ issuance. 

Focus on short-term STS issuances 

STS issuances were predominantly in short tenors, potentially owing to the 
uncertainty surrounding the size and trajectory of expected ECB policy 
interest rate hikes (Chart 3.1.6). As soon as signals on monetary policy 
normalisation were rooted in market sentiment, most investors showed appetite only 
for paper below one month with a maturity before the next expected interest rate 
hike. Therefore, issuances were strongly concentrated in the one- to three-month 
maturity bucket. A similar dynamic was also reported in USD and GBP STS markets, 
as the central banks in these currency areas were also raising policy rates to 
address inflation. 

Euro money market study 2022 – The short-term securities segment 

55 

05001,0001,5002,0002,5000100200300400500600Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q420152016201720182019202020212022Banks STS outstanding (left y-axis)TLTRO (right y-axis) 
 
 
Chart 3.1.6 
STS quarterly daily average issuance volume by maturity 

(EUR billions) 

Sources: CSDB 
Note: Average daily issuance volume of securities with maturities of up to one year issued in all currencies, by all sectors, excluding 
general government issuance. Each maturity band excludes the previous (shorter) maturities bands. 

3.2 

Rates 

3.2.1 

2021-2022 trends 

The pass-through of ECB policy rate hikes to rates in the STS segment was 
more effective in August and September than in July and December (Chart 
3.2.1). In August and September yields for issuances on very short maturities 
(< 1 week) immediately reflected the new DFR. However, the pass-through for STS 
issuances with a maturity of between eight and 31 days was not as close, particularly 
in July and December. The lower pass-through following the July rate hike can be 
explained by the very low volume of issuances performed during the summer period 
(15 issuances for €1.2 billion). On the contrary, in October (and after the TLTRO III 
rate recalibration), the volume of issuances with a maturity of between eight and 31 
days was much higher (113 issuances for €7.7 billion), and their yield increased 
more than the DFR. After the December Governing Council meeting, issuances with 
a maturity of between eight and 31 days were again limited (38 issuances for €3.8 
billion) and did not mirror the DFR hike (potentially owing to a basis effect). 

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02468101214Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q420152016201720182019202020212022Up to 1WUp to 1MUp to 3MUp to 6MUp to 9MUp to 1Y 
 
 
Chart 3.2.1 
Transmission of the rate hikes 

(basis points) 

Source: STEP. 
Note: The pass-through was calculated by subtracting the volume-weighted average STEP zero-coupon yields of the maintenance 
period after the Governing Council decision and the previous maintenance period. Considering that maintenance period in t refers to 
the decision of the Governing Council in t, the period after the decision includes all instruments issued from the start until the end of 
the respective MP (t), that mature between the start and end of the current MP (t). The period before the rate hike includes all the 
issuances carried out between the start and end of the previous MP (t-1), and that matured during the previous MP (t-1). 

The STEP yield curve has steepened since July 2022, as longer maturities 
reflected an upward trend in the ECB rate hike expectations (Chart 3.2.2). In the 
first quarter of 2021, the STEP yield curve was flat. Yields close to the DFR reflected 
expectations of no changes in the monetary policy stance for at least one year. 
STEP yields on zero-coupon paper with a maturity of up to three months were, on 
average, 6 basis points below the DFR. However, in the first quarter of 2022 signals 
of monetary policy normalisation set up expectations for the first policy rate hikes in 
the third quarter of 2022 and caused the STEP yield curve to slightly steepen for 
maturities straddling the first expected rate hike. Following the July 2022 policy rate 
increase, the STEP yield curve steepened further. Rate hike expectations sharply 
rose from mid-August 2022, as inflation was higher than anticipated and ECB 
communication was perceived as hawkish. In this context, the implementation of the 
75 basis point rate hike in September 2022 accelerated the steepening of the STEP 
yield curve. 

Euro money market study 2022 – The short-term securities segment 

57 

0102030405060708090Jul-22 GovCSep-22 GovCOct-22 GovCDec-22 GovC0-7 days8-31 days 
 
 
Chart 3.2.2 
STEP yield curve comparison across time 

(left y-axis: EUR billions; right y-axis: basis points) 

Sources: STEP, ECB. 
Note: The series consider only yields on zero-coupon paper with a maturity of up to 12 months. 

3.2.2 

Drivers of rates 

Interest rate expectations 

Over 2021 and 2022, yields on STS were consistent with EURIBOR yields 
(Chart 3.2.3). The nine- to 12-month STS spread to OIS remained contained until 
the July 2022 rate hike. However, it increased thereafter in a context of lower STS 
trading volumes and a limited number of issuances. The yields followed the upward 
trend observed for EURIBOR and OIS rates with matching maturities. 

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58 

-200204060801001201401601800.00.20.40.60.81.01.2O/NT/NS/N1W1M2M3M6M9M12MWAR-DFR spread (bps)Average daily volume (€ billions )STEP volume -Q1 2021STEP volume -Q4 2022STEP DFR spread -Q1 2021STEP DFR spread -Q4 2022 
 
 
Chart 3.2.3 
Daily yields on STS issuances versus EURIBOR and OIS 

(percentage points) 

Sources: STEP, Bloomberg. 
Notes: Issuances by total economy and all ratings. 

Eurosystem measures 

The spread of STS yields and OIS rates remained compressed from June 2020 
to March 2022, against the background of large TLTRO III take-up at very 
favourable conditions (Chart 3.2.4). In March 2020, in the context of the COVID-19 
crisis, the start of the PEPP and the expansion17  of the corporate sector purchase 
programme alleviated the tensions on the STS market. In addition to purchase 
programmes, the change to the terms of TLTROs in June 2020 and the subsequent 
high take-up generated lower issuances from banks on the STS market and 
contributed to lowering STS yield spreads to OIS rates. From March 2022, STS 
spreads stabilised at a higher level as the Eurosystem entered a normalisation 

17    Expansion to non-financial commercial papers with a remaining maturity of at least 28 days (versus six 
months previously). The Eurosystem STS holdings by non-financial commercial papers reached €35 
billion in June 2020 but receded quickly and remained below €10 billion from March 2021. 

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-1.0-0.50.00.51.01.52.02.53.001/1907/1901/2007/2001/2107/2101/2207/223M EURIBOR3M OIS3-6M CP yieldsa) 3-to 6 month STS issuances versus 3-month EURIBOR and OIS-1.0-0.50.00.51.01.52.02.53.001/1907/1901/2007/2001/2107/2101/2207/22b) 9-to 12 month STS issuances versus 12-month EURIBOR and OIS 
 
 
 
phase with the end of the TLTRO III additional special interest rate period in June 
2022 and the first DFR hike in July 2022. 

Chart 3.2.4 
Daily spread of STEP zero-coupon yields and OIS by maturities, and TLTRO 
relevant periods 

(percentage points) 

Source: STEP and Bloomberg. 
Note: The dashed lines indicate the dates where (i) TLTRO rate changes were announced (12 March 2020, 30 April 2020 and 27 
October 2022) and the announcement of the extension of the special interest rate period (SIRP) (10 December 2020). The highlighted 
yellow area represents the SIRP and additional SIRPs (from 24 June 2020 until 23 June 2022), when the interest rate on TLTRO III 
funds was as low as -1% for banks meeting the respecified criteria. 

Issuer rating 

Rate dispersion based on the issuer rating increased in 2022 (Chart 3.2.5). In 
2021 rates paid by issuers were very similar regardless of their credit rating. 
However, in 2022 a higher dispersion of rates depending on the issuer rating was 
observed, especially for issuances at shorter maturities. Data on longer-term 
issuances did not show a higher rate dispersion. This could be because the 
issuances on these tenors were performed by the issuers with the highest ratings 
and that most probably belong to the banking sector. 

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-0.4-0.20.00.20.40.60.81.012/1907/2002/2108/2103/2209/22Special interest rate periodSTEP yields/OIS spread (3M)STEP yields/OIS spread (9M)STEP yields/OIS spread (12M) 
 
 
Chart 3.2.5 
Spread of issue yield of STEP zero-coupon instruments denominated in EUR of the 
highest credit rating versus all ratings, by maturity 

(basis points) 

Source: STEP. 

Counterparty type 

Over the review period, the yields paid by non-banks (mainly NFCs) on three-
month STS were higher than yields paid by banks (Chart 3.2.5). NFCs also 
recorded a higher dispersion of rates than banks, although it tended to decrease 
over time. Contrary to the usual trend, in the fourth quarter of 2022 rates paid by 
NFCs were relatively close to the yields paid by banks. 

Chart 3.2.6 
Daily yields of STEP zero-coupon 3-month STS denominated in EUR of banks and 
NFCs 

(percentages) 

Source: STEP. 

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-100-80-60-40-2002001/2007/2002/2108/2103/2209/228-31 days32-91 days92-183 days184-274 days275-366 days-1.0-0.50.00.51.01.52.02.501/2007/2002/2108/2103/2209/22BanksNFC 
 
 
 
3.3 

Maturities and calendar effects 

3.3.1 

Flows 

The high degree of uncertainty in financial markets on the speed of the 
monetary policy normalisation in 2022 accentuated the preference for STS 
issuances with short tenors. Maturities shortened on average between 2020 and 
2022, with issuances of longer tenors (more than three months) decreasing. This 
shortening of maturities can be explained by the volatile interest rate environment, 
given that most STS, such as CP/CD, are issued at fixed rates. While floating rate 
CP issuances were gaining momentum, they remained relatively limited. Notably, 
banks’ daily STS issuances up to three months increased to €5.3 billion in 2022 
(from €3.6 billion in 2020) and issuances on longer tenors (between six months and 
one year) fell to €2.4 billion (from €3.1 billion). The maturity of the issuances of other 
entities (mainly NFCs) remained stable, except on the three-month tenor in which 
issuances reached €1.4 billion in 2022, twice the daily average volume in 2020 and 
2021 (€0.6 billion and €0.7 billion, respectively). 

Chart 3.3.1 
STS daily average issuance volume by maturity 

(EUR billions) 

Source: CSDB. 
Notes: Daily average issuance of euro area countries in all currencies, excluding general government issuance. Each maturity band 
excludes the previous (shorter) maturities bands. 

3.3.2 

Stock 

Banks usually favoured issuances on longer tenors (more than three months), 
while corporates and public entities refinanced themselves on shorter 
maturities (Chart 3.3.2). For banks, this dynamic is influenced by the LCR 
regulation, which penalises bank issuances that are shorter than one month. On the 
contrary, corporates focus their issuances on one- to three-month maturities, which 
are the appropriate tenors for funding their working capital requirements. 

Euro money market study 2022 – The short-term securities segment 

62 

0.00.51.01.52.02.53.03.5Up to 1WUp to 1MUp to 3MUp to 6MUp to 9MUp to 1Y202020212022 
 
 
Chart 3.3.2 
STS outstanding amounts at 30 September 2022 by issuer type and maturity 

(percentages) 

Source: CSDB. 
Notes: Outstanding amounts of securities with a maturity of up to one year, excluding general government issuance. “MFIs” stands for 
monetary financial institutions. Each maturity band excludes the previous (shorter) maturities bands. 

3.3.3 

Seasonal issuance pattern 

Banks’ STS issuances until 2022 had been characterised by a seasonal pattern 
reflecting high issuance in the first half of the year and limited activity in the 
last months of the year. However, banks’ issuance in 2022 significantly deviated 
from this pattern due to the extraordinary impact of TLTRO repayments (Chart 
3.3.3). From 2015 to 2021, STS gross issuances in the fourth quarter were usually 
between €0.5 billion and €1 billion less than the average amount issued over the 
year. Most of the yearly funding programmes had already been achieved close to the 
year-end and balance sheet constraints – especially for banks – became more 
binding at year-end. On the other hand, quarterly issuances in the first half of the 
year were usually higher than the yearly average. However, issuances in the first half 
of 2022 showed a deviation from the yearly average, with considerably higher net 
issuances in the second half of the year. 

Euro money market study 2022 – The short-term securities segment 

63 

0%10%20%30%40%50%60%70%80%90%100%MFIsOther issuers0 –7 days8 –31 days32 –91 days92 –183 days184 –274 days275 –367 days 
 
 
Chart 3.3.3 
Deviation of average STS quarterly gross issuances from the yearly average 

(EUR billions) 

Sources: CSDB. 
Note: Difference between the quarter and year daily average issuance volume of securities with maturities of up to one year issued in 
all currencies, by all sectors (excluding general government). 

3.4 

Counterparties 

3.4.1 

STS issuers and investors 

Banks were the main issuers of STS in the primary market in 2021 and 2022 
(Charts 3.4.1 and 3.4.2). Banks accounted for 74% of daily average issuances 
between January 2021 and December 2022. The remaining 26% was issued by 
other entities, of which NFCs were the largest contributors. This allocation among 
issuers had remained stable over the past years. 

Chart 3.4.1 
STS issued amounts by sector, excluding public issuers 

(percentages) 

Source: CSDB. 

Euro money market study 2022 – The short-term securities segment 

64 

-2.0-1.5-1.0-0.50.00.51.01.52.0Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4201520162017201820192020202120220%10%20%30%40%50%60%70%80%90%100%BanksNon-banks 
 
 
 
MMFs remained the largest investors in the STS market (Chart 3.4.2). Euro area 
MMFs traditionally provide short-term funding to banks and NFCs by investing in 
short-term instruments such as CP and CD. On 30 June 2022, they held 74% of STS 
outstanding amounts, far more than bank investors (12%) and other financial 
corporations18  (8%). NFCs and other financials remained marginal investors in STS 
(3% each). Other financials invested their cash in longer-dated and safer assets, 
mostly Treasury bills, while NFCs opted for bank deposits or buying MMF shares. 

Chart 3.4.2 
Borrowed and lent amounts in STS by sector 

(EUR billions) 

Sources: CSDB for issuers and ECB (Securities holdings statistics database – SHS) for the holders. 
Notes: Both charts display the outstanding amounts as of 30 September of each year of the instruments that were issued in the Euro 
area, in all currencies, in the period from January 2020 to 30 September 2022. Non-bank issuers do not include central and local 
governments. 

3.4.2 

Direction of the trade by sector and jurisdiction 

French banks were the main issuers and French MMF were the main investors 
in the STS market. About 60% of STS outstanding amounts were issued by French 
and German entities (€222 billion and €128 respectively, Chart 3.4.3), while Dutch, 
Belgian and Finnish entities were smaller borrowers (between €40 billion and €70 
billion in issued outstanding amounts). French MMFs were the largest lenders to 
banks via the euro short-term debt market (€170 billion, representing 50% of total 
STS holdings). Other notable lenders were Irish and Luxembourgish MMFs (each 
about €70 billion, representing 20% of total STS holdings). MMFs based in Ireland 
and Luxembourg had a higher share of USD and GBP funds and were also more 
active in the foreign-denominated STS instruments of euro area banks. 

18    “Other Financials” covers insurance companies, pension funds and non-MMF investment funds. 

Euro money market study 2022 – The short-term securities segment 

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050100150200250300350400450BanksNon-bank202020212022a) Issuers050100150200250300350400450MMFsBanksOtherfinancialsNFCsOtherb) Holders 
 
 
 
Chart 3.4.3 
Top issuing and holding countries, excluding public issuers 

(EUR billions) 

Sources: CSDB for issuers and SHS for holders. 
Note: Outstanding amounts at 30 September 2022. The outstanding amounts refer to money market instruments (except Treasury 
bills) that were issued by euro area countries, with maturities of up to one year, in all currencies. Additionally, instruments issued by 
governments were excluded. For the holders’ side, euro area holders are also considered. 

A large part of banks’ issuance as well as MMFs’ holdings in the euro area 
were cross-border (Chart 3.4.4). However, this was not the case for NFC 
borrowers, whose funding source is mainly domestic. 

Chart 3.4.4 
Top issuers and holders by jurisdiction and type of trade 

(EUR billions) 

Sources: CSDB for issuers and SHS for holders. 
Note: Outstanding amounts at 30 September 2022. The outstanding amounts refer to money market instruments (except Treasury 
bills) that were issued by euro area countries, with maturities of up to one year, in all currencies. Additionally, instruments issued by 
general governments were excluded. For the holders’ side, euro area holders are also considered. The chart displays only the 
operations where a match between the two databases was found. 

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-250-200-150-100-50050100150200250FRIELUOther EADENLFIBENLOther EADEFRIssuers (borrowers)            Holders (lenders)-200-150-100-50050100150200BanksMMFsOther financialsNFCsOthersIssuers              HoldersEuro area cross-borderDomestic 
 
 
 
4 

The foreign exchange swap segment 

During 2021 and 2022, EUR/USD swaps remained the most common FX swaps 
traded worldwide, with around 25% of the €900 billion global daily volumes 
traded in the euro area money market. The FX swap segment is the second-
largest segment of the euro money market. Euro area financial institutions obtain 
short-term funding in foreign currencies to hedge against currency risks that stem 
from owning assets denominated in foreign currencies. As in the past, during 2021 
and 2022 the activity in this segment was dominated by the US dollar, as the dollar is 
mostly used in international transactions, and as a store of value, not only in crisis 
times. The US dollar market is also one of the most transparent and well-functioning 
capital markets in the world. Moreover, owing to its high liquidity and fungibility, the 
US dollar is often used to obtain funding in other currencies whose underlying FX 
swap markets are less liquid against the euro. 

The consistent breach of covered interest parity (CIP) observed in 2021 and 
2022 predominantly stemmed from the structural shortage of USD in the 
international system, along with the balance sheet costs associated with 
dealer intermediation. The USD shortage intensifies particularly at quarter- and 
year-ends. For this reason, market participants concerned about a wider FX swap 
basis (i.e. USD premium) around year-end usually frontload USD funding as of 
October in order to avoid large supply-demand imbalances over the year-end. In 
2021 and 2022, the seasonal tightening of US dollar funding conditions was 
moderate, while prefunding ahead of the year-end became more expensive in 2022, 
starting earlier and with larger volumes. 

Euro area banks use FX swaps to intermediate between their euro area clients 
in need of US dollar funding and counterparties located in the United States 
and the United Kingdom, who are natural providers of US dollars. Euro area 
clients are predominantly from the financial sector and are predominantly pension 
funds and insurance companies. The recourse to the Eurosystem’s one-week US 
dollar tender operations, which are priced as a backstop to US dollar funding 
conditions, was insignificant during 2021 and 2022. 

4.1 

Volumes 

4.1.1 

Flows 

With an average daily trading volume of €265 billion, the FX swap segment 
grew 44% over the last two years, consolidating its position as the second 
largest segment of the euro money market (Chart 4.1.1). FX swap transactions 
represented 24% of the total euro money market volume in the review period, with its 
relative volume tripling since the creation of the euro. 

Euro money market study 2022 – The foreign exchange swap segment 

67 

 
 
Chart 4.1.1 
Market size per segment – average daily transaction volumes 

(EUR billions) 

Source: MMSR. 
Note: The percentages refer to the weight of the FX swap segment on the total of the euro money market for 2018, 2020 and 2022. 

4.1.2 

Stock 

Outstanding amounts also showed notable growth (Chart 4.1.2). FX swaps had 
totalled €3.5 trillion by the fourth quarter of 2022, recording a €1 trillion increase in 
total stock since the last quarter of 2021. 

Chart 4.1.2 
Buying and selling trading volumes, daily values 

(EUR billions) 

Source: MMSR. 
Notes: From 2016 on, the series include MMSR transactions in all currencies, buying and lending and all maturities up to one year. 
Confidential points are hidden. 

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050100150200250300350400Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4201620172018201920202021202224%20%21%FX05001,0001,5002,0002,5003,0003,5004,00007/1701/1807/1801/1907/1901/2007/2001/2107/2101/2207/22 
 
 
 
4.1.3 

Drivers of increasing volumes 

Need to manage currency and maturity mismatches embedded in 
balance sheets assets denominated in foreign currencies 

FX swaps are widely used to hedge against currency risk and to source short-
term funding in foreign currencies (Chart 4.1.3). Euro area banks use FX swaps 
for hedging against the currency risk that they incur by holding assets in foreign 
currency while their funding is denominated in euro. As a relevant share of euro area 
banks’ assets (loans and securities) is denominated in foreign currency, they fund 
them via FX swaps by buying foreign currency against euro. Accordingly, the spot 
and forward legs of the FX swap transaction facilitate switching currencies for a pre-
specified period. Euro area banks also use FX swaps to hedge against potential 
cash flow risks that may arise from maturing US dollar-denominated investments 
financed with short-term funding. The imbalance between purchasing assets with a 
maturity of one year or longer and financing them with shorter repos and FX swaps 
(overnight to three months) leads to a maturity mismatch. This in turn exposes 
borrowers to rollover risk. Foreign assets held by euro area banks are mainly 
denominated in US dollar, and transactions involving a US dollar leg account for 
approximately 80% of average daily transaction volume. The pound sterling (GBP), 
Swiss franc (CHF), Japanese yen (JPY) and other currencies account for a much 
smaller share. A further driver of demand is intermediation, as most euro area banks 
reporting to MMSR are net lenders of US dollar in FX swap markets. They could 
either borrow US dollar in an FX swap and then lend to clients, or they could borrow 
US dollar on the US repo market and then lend the US dollar on the FX swap market 
to those parties without access to the US dollar domestic market. 

Chart 4.1.3 
Average daily transaction volume – breakdown by currency 

(percentages) 

Source: MMSR. 

Euro money market study 2022 – The foreign exchange swap segment 

69 

0%10%20%30%40%50%60%70%80%90%100%20212022USD GBP OTHER CHF JPY  
 
 
Flight to safety and effect of strong US dollar appreciation 

Increased demand for US dollar funding driven by risk aversion resulted in a 
strong appreciation of the US dollar exchange rate in 2021 and 2022 (Chart 
4.1.4). In a context of high inflation and concerns about a global recession, markets 
were affected by high volatility. The US dollar has therefore become a safe haven 
asset. For the first time in 20 years, the US dollar reached parity with the euro, 
following a 13% appreciation against the euro in the review period. The US dollar 
similarly appreciated against other currencies. During the review period the market 
was influenced by several factors that increased risk and uncertainty, leading to an 
increased demand for the US dollar. Among the main factors were elevated volatility 
in both FX and repo markets, Federal Reserve System policy normalisation (the start 
of the rate hiking cycle and subsequent quantitative tightening) and, at the beginning 
of 2022, events related to the Russian war in Ukraine. 

Chart 4.1.4 
Spot exchange rate EUR/USD 

(percentages) 

Source: Bloomberg. 

Within the FX market, FX swap trading took prominence over spot and outright 
forward activity (Chart 4.1.5). The foreign exchange (FX) market is the world’s 
deepest financial market with an average daily total trading volume of €7.5 trillion in 
April 2022 according to the 2022 Bank for International Settlements (BIS) Triennial 
Survey. Within the FX market, there are three main trading instruments: FX swap 
contracts (USD 3.8 trillion), spot transactions (USD 2.3 trillion) and outright forward 
contracts (USD 1.1 trillion). EUR/USD transactions are the most common pair traded 
in FX swap contracts, with daily average volumes reaching €900 billion. Combined 
MMSR and BIS survey data suggest that at least 25% of global EUR/USD FX swap 
activity involves one bank from the euro area. 

Euro money market study 2022 – The foreign exchange swap segment 

70 

0.70.80.91.01.107/1601/1707/1701/1807/1801/1907/1901/2007/2001/2107/2101/2207/22 
 
 
Chart 4.1.5 
Market size – average daily transaction volume in the FX swap market 

(EUR billions) 

Sources: MMSR, BIS survey. 
Notes: The BIS data display the global average daily volume of foreign exchanges in April 2022, which was converted from USD into 
EUR by using the weighted average of the EUR/USD rate in April 2022. MMSR data include only activity by euro area banks. 

4.2 

Rates 

4.2.1 

2021-2022 trends 

FX swap rates closely reflect (i) the interest rate differential of the involved 
currencies’ domestic funding rates (Chart 4.2.1) and (ii) an additional premium 
reflecting the supply/demand equilibrium for US dollar funds (Chart 4.2.2). The 
interest rate differential in the review period reflected expectations of central banks’ 
policy rate hikes materialising during 2022. When markets are functioning well and 
intermediation is not impaired, implied FX swap yields stand relatively close to US 
domestic interest rates, thus compressing the FX swap basis spread.19  The policy 
rate changes adopted by the Federal Reserve in 2022 had a relatively quick pass-
through to FX swap rates, demonstrating market efficiency and liquidity. Accordingly, 
implied US dollar borrowing yields followed the pattern of the effective federal funds 
rate (EFFR). 

19    An investor holding euro has the following investment options: (i) invest the money in the unsecured 

euro cash market for one month at the prevailing euro denominated interest rate; or (ii) convert the 
euro into US dollars through a one-month FX swap and invest the dollars for one month at the 
prevailing dollar-denominated interest rate (e.g. US Treasury bill), collecting at maturity the final payout 
from the Treasury bill and converting the dollars back into euro. In an efficient market these two 
strategies must provide equal returns, because otherwise opportunities for arbitrage will arise. Hence, 
in the absence of market frictions, the US dollar spread should hover around zero. 

Euro money market study 2022 – The foreign exchange swap segment 

71 

02004006008001,000MMSRBISEUR/USDEUR/Other currencies 
 
 
 
Chart 4.2.1 
US implied yield per maturity 

(percentages) 

Sources: MMSR, Bloomberg. 

The consistent breach of CIP reflects the global structural shortage of US 
dollar supply. This becomes particularly strong at reporting dates and during 
times of stress (Chart 4.2.2). As mentioned in Section 4.1, non-US financial 
institutions often hold more assets than liabilities denominated in US dollar and also 
with longer maturities. This results in a structural shortage of US dollar financing in 
the international system. Consequently, currency-related risks occur at institutions 
and maturity mismatches become embedded in their balance sheets. Euro area 
banks tend to fill the US dollar funding gap either (i) by borrowing US dollar directly 
in the US repo market and using their USD asset holdings as collateral, or (ii) via FX 
swap transactions (USD receiving, EUR providing). Euro area banks also use FX 
swaps to hedge against potential cash flow risks that may arise from maturing USD 
dollar-denominated investments financed with short-term funding. The maturity 
mismatch comes from the imbalance between purchasing assets with a maturity of 
one year or longer and financing them with shorter repos and FX swaps (overnight to 
three months). The mismatch exposes borrowers to rollover risk. The ability to 
rollover short-term US dollar funding via FX swaps or repo can become difficult at 
quarter-ends. This is when the usual providers of US dollar funding in the FX swaps 
market (US banks) seek to limit their intermediation owing to balance sheet 
constraints that result from capital regulations such as the leverage ratio and G-SIB 
scores. Consequently, around quarter-ends, and particularly at year-ends, the 
breach of CIP increased and resulted in wider FX swap spreads (i.e. US dollar 
premium). The spread between the US dollar and another currencies reflects the 
premium paid by international institutions to obtain US dollars in the FX swap 
market. This premium is measured as the difference between the implied interest 
rate on US dollar borrowed in the EUR/USD FX swap market and the US dollar risk-
free rate, which is represented by the US dollar OIS rate. Since the global financial 
crisis, FX swap-implied US dollar funding rates have significantly exceeded the 
respective domestic dollar interest rate whenever demand for the US dollar far 
outstripped its supply. During the period under review, the premium paid by euro 

Euro money market study 2022 – The foreign exchange swap segment 

72 

-1012345601/1807/1801/1907/1901/2007/2001/2107/2101/2207/221D1M1W3MEFFR 
 
 
area banks to borrow US dollar increased particularly on two occasions. It increased 
ahead of the 2021 and 2022 year-ends. Furthermore, between February 2022 and 
December 2022 – following the Russian invasion of Ukraine – borrowing premia for 
US dollar funding temporarily increased to 80-150 basis points across maturities. 

Chart 4.2.2 
FX swap premium (spread between the USD implied borrowing yield and the USD 
OIS rate for equivalent maturity) 

(percentage points) 

Sources: MMSR, Bloomberg. 

4.2.2 

Drivers of the higher FX swap rates 

Efficient pass-through 

US dollar implied borrowing yields followed developments in the effective 
federal funds rate and the interest rate differential between the United States 
and the euro area. In a context of high inflation, the Federal Reserve and the 
European Central Bank stepped up the monetary policy normalisation process, albeit 
at different paths and paces. The Federal Reserve started hiking rates in March 
2022 and the ECB in July 2022. By the end of 2022 the Federal Reserve had 
increased rates by 425 basis points and the ECB by 250 basis points. Policy rate 
hikes quickly and fully passed through to FX swap rates. 

Arbitrage opportunities 

Repo rates can also be a driver of the US dollar premium in the FX swap 
market. For instance, if euro GC repo rates trade at a higher rate than their US 
dollar equivalent, the euro lender needs to be compensated by its counterparty and 
therefore receive a higher US dollar premium in the FX swap. At quarter-ends, US 
GC repo rates are usually kept relatively stable owing to the Federal Reserve’s 
overnight reverse repo facility (ON RRP), which sets a soft floor for overnight rates. 

Euro money market study 2022 – The foreign exchange swap segment 

73 

-1012345601/1807/1801/1907/1901/2007/2001/2107/2101/2207/221D1M1W3M 
 
 
High usage of the facility can result in a reduction in US dollar supply in the FX swap 
market and therefore increase the US dollar premium. 

Occasional US dollar supply shortages 

The supply of US dollar in the FX swap market depends on the liquidity 
position of US banks acting as lenders, the intermediation capacity of which is 
sometimes constrained. When FX swap-implied yields start to diverge from 
comparable domestic US dollar borrowing rates, the premium is affected. Increases 
in the premium reveal impairments in FX swap intermediation, with demand 
surpassing supply20. 

The intermediation capacity of US banks depends, among other factors, on the 
degree to which the marginal trade affects their regulatory metrics at quarter-
ends. US banks are constrained by a stricter implementation of Basel III leverage 
ratios. Therefore, the minimum spread at which US banks step into the market tends 
to be wider than those of foreign banks, as they must assess what impact such 
intermediation will have on their leverage ratio, global systemically important banks 
(G-SIBs) score and liquidity stress tests. In the run-up to the year-end, G-SIBs 
monitor their scores and seek to reduce market making activity that could otherwise 
lead to a higher G-SIB score and capital surcharge (Chart 4.3.3). 

Minor recourse to the central bank US dollar-providing operations 

Demand in regular Eurosystem US dollar-providing operations has been 
limited (Chart 4.2.3). To ensure US dollar funding in crisis times for euro area 
banks, the ECB established a swap line with the Federal Reserve in 2008. It was 
made permanent in 2013 and forms a swap line network alongside the Swiss 
National Bank, the Bank of England, the Bank of Japan and the Bank of Canada. 
The operations are conducted on a weekly basis as seven-day US dollar liquidity-
providing operations against regular Eurosystem collateral. At the start of the 
COVID-19 crisis in March 2020 and as a result of related US dollar funding 
concerns, the price of the US dollar was lowered from a spread of 50 basis points to 
a spread of 25 basis points over US dollar OIS. Furthermore, in addition to the 
existing weekly operation, two temporary measures were introduced until the end of 
June 2021: (i) an eighty-four-day term operation, and (ii) the frequency of the seven-
day operations was increased from weekly to daily. In the last two years, the demand 
for US dollar tender operations has been low compared with the peaks in 2020, as 
US dollar funding costs in the market were lower than the cost of the Eurosystem 
tender operations. On average, the implied US dollar yield of FX swaps was 8 basis 
points lower than the cost of borrowing US dollar via the tender, not taking into 
account the cost of collateral posted with the central bank. 

20    See calendar effects under the maturities section. 

Euro money market study 2022 – The foreign exchange swap segment 

74 

 
 
 
Chart 4.2.3 
USD-providing operations (1-week and 84-day maturities) and their rates 

(left y-axis: millions; right y-axis: percentages) 

Source: ECB. 

4.3 

Maturities and calendar effects 

4.3.1 

Flows 

Daily trading in FX swaps is more diversified across maturities compared with 
other segments of the money market (Chart 4.3.1). While other segments of the 
money market are highly concentrated in the tomorrow/next bracket, the maturities of 
FX swap transactions are more diverse, albeit still dominant in the shortest 
segments. 

The volumes are concentrated in one-day maturity transactions, which 
account for more than 70% of the total volume in 2021 and 2022 and show the 
most significant cumulative year-on-year growth. 50% of these one-day maturity 
transactions are tomorrow/next contracts. The significant year-on-year increase in 
contracts with maturities of longer than one day shows that market activity is moving 
to secure exchange rate conditions for longer periods in times of higher market 
uncertainty. 

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75 

-0.50.51.52.53.54.55.5020,00040,00060,00080,000100,000120,000140,000160,000180,00020082010201220142016201820202022a) Evolution since 2008FX USD 1W volumeFX USD 84d volumeFX USD 1W operation rateUS implied yield 1W-0.50.51.52.53.54.55.5020,00040,00060,00080,000100,000120,000140,000160,000180,00020212022b) Zoom 2021-2022 period 
 
 
Chart 4.3.1 
Average daily transaction volumes per maturity bucket 

(EUR billions) 

Source: MMSR. 

4.3.2 

Stock 

Around 70% of outstanding FX swap contracts have maturities of up to three 
months (Chart 4.3.2). Contracts with a maturity between one week and three 
months account for the largest part of the outstanding volume. The share of 
contracts with a maturity of more than six months is less than 20% of the total 
outstanding amount. The volume-weighted average maturity decreased primarily 
during periods of heightened risk aversion in the market, when volatility grew. 

Chart 4.3.2 
Outstanding volumes per maturity bucket as of 15 September 2022 

(percentages) 

Source: MMSR. 

Euro money market study 2022 – The foreign exchange swap segment 

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020406080100120O/NS/N, T/N1W-2W1M-3M3M+Forwards2020202120220%20%40%60%80%100%EUR receiverEUR providerO/N,S/N,T/N1W-3M4M-6M6M+ 
 
 
 
4.3.3 

Calendar effects 

On the last day of every quarter, FX swap volumes tend to increase in 
comparison to the first business day of the next quarter (Chart 4.3.3). To fulfil 
regulatory requirements and complete balance sheet adjustments, banks tend to 
increase US dollar buying activity in the FX swap segment at quarter-ends, an effect 
that is particularly notable as the year-end approaches. An exceptional pattern was 
observed at the end of 2021, where USD buying volume in the FX swap market 
decreased by more than €40 billion. 

Chart 4.3.3 
Effect of reporting dates over volume – end/start quarter level comparison 

(EUR billions) 

Source: MMSR. 
Note: Volume difference between the amount of the transactions settling on the last business day of the quarter and the amount of the 
transactions settling on the first business day of the following quarter. Due to lack of trades on some dates, the spot value dates have 
been replaced by either the closest next TARGET2 opening day (for the start quarter) or the closest previous TARGET2 opening day 
(for the end quarter). 

Shortages in US dollar resources at quarter-ends led to an increase in the US 
dollar premium (Chart 4.3.4). When comparing the US dollar premium – calculated 
as the difference between the USD implied rate for one-day contracts and the 
effective federal funds rate – on the last business day of the quarter with the first 
business day of the subsequent quarter, spikes were observed over the entire review 
period. However, in contrast to previous periods, the premium increase for the year-
end was in line with, not higher than, increases observed at the quarter-ends. This 
development reflects higher liquidity in the market. During 2021 and 2022, the 
premium paid by euro area banks to borrow US dollar across the year-end increased 
to 75-125 basis points compared with 200-260 basis points in 2019 and 2020. 

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-50-40-30-20-1001020304050Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q42016201720182019202020212022USD providerUSD receiver 
 
 
Chart 4.3.4 
Effect of reporting dates on FX swap premium – comparison of end/start of quarter 
levels 

(basis points)   

Source: MMSR. 
Note: Basis point difference between the rates of the transactions settling on the last business day of the quarter and the rate of the 
transactions settling on the first business day of the following quarter. Owing to the lack of trades on some dates, the spot value dates 
have been replaced by either the closest next TARGET2 opening day (for start quarter) or the closest previous TARGET2 opening day 
(for end quarter). 

The smooth year-end observed in 2021 and 2022 was also facilitated by 
extensive prefunding activity (Charts 4.3.5 and 4.3.6). In 2021 and 2022 the 
tightening of US dollar funding conditions around reporting dates was less 
pronounced than it had been in 2019 and 2020. This was probably owing to higher 
prefunding activity that helped mitigate the premium in October and November. 
Interestingly, 2022 led to some very expensive prefunding in October and November, 
culminating in a benign year-end. 

Chart 4.3.5 
Prefunding volumes 

(EUR billions) 

Source: MMSR. 
Note: The effect of reporting dates on USD prefunding volumes is shown, referring to all transactions that sell euro and buy dollars, 
executed and settled in the selected years, with a maturity between 1 January and 31 January of the next year. Forward contracts 
were excluded. Confidential points are hidden. 

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0100200300400500Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q42016201720182019202020212022USDproviderUSD receiver0100200300400500JanMarMayJulSepNov2019202020212022 
 
 
 
Chart 4.3.6 
Rates of prefunding activity 

(basis points) 

Sources: MMSR, Bloomberg. 
Note: The size of the bubbles refers to the transaction’s size. The premium paid by MMSR reporting agents is measured as the 
volume-weighted spread between the implied rate paid minus the USD OIS rate for all maturities transactions that sell euro and buy 
dollars settling through the year and maturing in January of the following year. Actual SOFR and €STR OIS rates are as of May 2019 
and October 2018, respectively. Values before fallback dates were constructed by Bloomberg. Confidential points are hidden. 

4.4 

Counterparties 

4.4.1 

Marginal role of non-banks 

Interbank transactions dominate most of the MMSR activity in the FX swap 
market (Charts 4.4.1 and 4.4.2). Almost 80% of the transactions are conducted 
between banks, whose large share in this market segment is a result of their 
intermediation role. The second group in terms of importance is made up of the other 
financial corporations, which include, among others, pension funds and insurance 
companies. The third group by trading volumes is made up of non-financial 
corporations. 

Euro money market study 2022 – The foreign exchange swap segment 

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-10205080110140170200230JanFebAprMayJulSepOctDec2019202020212022 
 
 
Chart 4.4.1 
Percentage of trades by counterparty type (banks and non-banks)   

Source: MMSR. 

Chart 4.4.2 
FX swap volume by counterparty sector 

(EUR billions) 

Source: MMSR. 

4.4.2 

Direction of the flows 

Large banks channel US dollar funding from international financial centres to 
euro area clients (Charts 4.4.3 and 4.4.4). Euro area banks tend to maintain a 
matched book structure on EUR/USD FX swaps, resulting in a net US dollar position 
which is small compared with the notional outstanding of the FX swaps. Euro area 
banks use FX swaps to intermediate between counterparties located in the United 
States and the United Kingdom, who are historical providers of US dollars, and euro 
area clients in need of US dollars. Euro area clients come predominantly from the 
financial sector (non-banks) and benefit from the international connections of euro 
area intermediating banks. Most financial counterparties receiving US dollar funding 

Euro money market study 2022 – The foreign exchange swap segment 

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0%10%20%30%40%50%60%70%80%90%100%Non-bankBank050100150200250300BanksOther financialsNFCsGovernment, centralbanks and otherMMFs202020212022 
 
 
 
are pension funds and investment funds located in France, Germany and the 
Netherlands. 

Chart 4.4.3 
Top buyers and sellers of EUR/USD FX swaps by jurisdiction 

(EUR billions) 

Source: MMSR. 

Chart 4.4.4 
Time evolution of the weight of domestic, cross-euro area and international 
transactions 

(percentages) 

Source: MMSR. 
Note: Domestic refers to trades with a counterparty located in the same jurisdiction than the MMSR reporting bank. Euro area cross-
border refers to trades with a counterparty located in the different member state than the MMSR reporting bank. Rest of the world 
refers to trades with a counterparty located outside the Euro area. 

Euro money market study 2022 – The foreign exchange swap segment 

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806040200204060DEFRUSGBCHUSGBNLDEFRUSD provider                USD receiver010203040506070809010001/2104/2107/2110/2101/2204/2207/2210/22Rest of the worldEuro area cross-borderDomestic 
 
 
 
5 

Overnight index swaps 

Market participants rely on OIS to manage their interest rate risk exposures, 
using spot contracts for hedging and forward contracts for taking positions on 
the path of interest rates. Central banks use the overnight index swaps (OIS) rate 
curve to identify market expectations of the future course of monetary policy. This is 
because overnight rates referred to in OIS trades are closely tied to the prevailing 
official policy rates and changes in the expected and realised monetary policy stance 
move OIS rates. For this reason, market participants use OIS contracts to either 
hedge against financial exposures to changes in overnight interest rates or to 
speculate on their future direction. However, they do not use OIS contracts for 
funding purposes, as they only involve the exchange of interest payments, not 
notional amounts. 

Activity in the euro OIS segment increased at the end of 2021, when inflation 
expectations surged. Activity grew further in 2022 when expectations for 
increases in official ECB policy rates consolidated and new signals on further 
hikes emerged. As the speed of the hiking cycle intensified in 2022 and uncertainty 
about future policy rate changes increased, most OIS contracts with spot settlement, 
which are mainly used for hedging, had a maturity of less than three months. 
However, activity increased the most in OIS contracts with forward settlement, as 
these are primarily used to take positions on the future path of central bank policy 
rates, especially during the first three quarters of 2022. Dates in most forward 
contracts were linked to the Eurosystem’s maintenance periods. This suggests that 
market participants were anchoring their interest payments to the possibility of 
changes in the official interest rates. Throughout 2022 activity was especially 
elevated around the meeting dates of the Governing Council in anticipation of policy 
rate hike decisions and/or new signals on the monetary policy stance. 

In the first three quarters of 2021 OIS rates were anchored to the DFR. 
However, they increased during 2022 when inflation expectations surged, and 
market participants began to anticipate rate hikes. The Russian war in Ukraine 
worsened the economic and inflationary outlook in the euro area, leading to 
increased uncertainty about the path of policy rates and causing volatility indicators 
to reach unprecedented levels. 

The vast majority of OIS trades were centrally cleared, in line with European 
regulations. CCPs accounted for around 95% of the total activity in the OIS 
segment. Among authorised CCPs, the UK-based LCH Limited clears the majority of 
OIS contracts. German-based EUREX clears the second most contracts, however its 
presence in the market is significantly lower than LCH Limited. The European 
Commission has authorised market participants to continue using LCH Limited for 
clearing OIS contracts until 2025. Meanwhile, new legislative proposals to improve 
the attractiveness of OIS clearing in the EU, develop infrastructure, enhance 
supervisory arrangements and address potential risks to financial stability are being 
discussed. 

Euro money market study 2022 – Overnight index swaps 

82 

 
 
5.1 

Volumes 

5.1.1 

Flows 

Average daily trading activity in the OIS segment reached about €100 billion in 
2022, more than double the volumes of previous years (Chart 5.1.1). Volumes 
observed in the first three quarters of 2021 were stable, with an average daily traded 
notional of €36 billion. During this period most market participants did not see a need 
to enter into OIS contracts as no changes on interest rates were expected, unlike the 
end of 2021 and 2022. In the fourth quarter of 2021 average traded notional OIS 
volumes rose to €58 billion. In the first quarter of 2022 they increased further by €20 
billion to €78 billion. In the remaining quarters of 2022, the average traded notional 
increased further up to €106 billion. 

Chart 5.1.1 
Market size per segment – average daily transaction volumes 

(EUR billions) 

Source: MMSR. 
Notes: Two confidential datapoints have been interpolated. OIS novated trades are excluded. The percentages refer to the weight of 
the OIS segment on the total of the euro money market, for 2018, 2020 and 2022. 

5.1.2 

Stock 

In terms of outstanding amounts, the OIS remained in third position of all 
interest rate derivative markets (Chart 5.1.2). The most common types of interest 
rate derivatives were: (i) interest rate swaps (IRS), (ii) forward rate agreements, and 
(iii) overnight index swaps. According to data from the EMIR database, the amount 
of outstanding OIS contracts reached €20.8 trillion in 2022, an increase of 127% 
compared with the previous year. This lies in contrast to the 34% average growth of 
the overall interest rate derivatives market. 

Euro money market study 2022 – Overnight index swaps 

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020406080100120Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q420162017201820192020202120224%4%8%OIS 
 
 
Chart 5.1.2 
The euro area interest rate derivatives market – outstanding amounts 

(EUR billions) 

Sources: EMIR, ECB calculations. 
Notes: Outstanding amounts in EUR interest rate derivatives on 15 September in 2020, 2021 and 2022. Outliers and double-reported 
transactions have been removed. 

5.1.3 

Drivers of volume 

Need to manage interest rate risk 

Market participants rely on OIS to manage their interest rate risk exposures 
(Chart 5.1.3). Counterparties do not use OIS trades for funding purposes as the 
transaction only involves the exchange of interest payments between the parties, 
without exchanging the notional amounts. OIS transactions with spot settlement are 
mainly used by asset and liability managers (i.e. banks or pension funds) to hedge 
their portfolios. Contracts with forward settlement, on the other hand, are largely 
used by hedge funds to take speculative positions on central bank interest rate 
changes. Forward contracts that coincide with the central bank’s minimum reserve 
maintenance periods (MP-dated) are of particular interest to market players that 
express their expectations on Eurosystem policy rate decisions. OIS transactions 
with forward settlement dates accounted for around 30% of the total traded notional 
in the first three quarters of 2021. In the fourth quarter of 2021 and the first half of 
2022 activity in transactions with forward settlement dates outpaced (in volume) the 
OIS transactions with spot settlement. After an increase in the fourth quarter of 2021, 
spot transactions rose steadily from the second quarter of 2022, reflecting hedging 
needs ahead of the start of monetary policy normalisation. By the end of 2022 
forward and spot contract volumes were of a similar magnitude, each accounting for 
around 50%. 

Euro money market study 2022 – Overnight index swaps 

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020,00040,00060,00080,000100,000120,000140,000160,00015-Sep-202015-Sep-202115-Sep-2022EURIBOR IRSForwardOISOptionsBasis swapsOther swapFuturesUnmatched 
 
 
Chart 5.1.3 
Average daily OIS traded notional per quarter split by transaction type 

(EUR billions) 

Source: MMSR. 
Notes: Total traded notional in each quarter split by transaction type, excluding novations. 

Expected changes in policy rates 

OIS activity in 2022 was especially elevated around Governing Council 
meeting dates in anticipation of policy rate hike decisions and indications of 
the monetary policy stance (Chart 5.1.5). Volumes in the OIS segment increase 
whenever markets anticipate changes to the Eurosystem’s monetary policy, 
particularly regarding policy rate changes. This is because the Eurosystem’s 
monetary policy is the major determinant of overnight unsecured money market 
rates, which form the basis of OIS rates. Accordingly, OIS volumes started to 
increase ahead of the December 2021 Governing Council meeting. Forward 
guidance at this meeting suggested that net purchases under the asset purchase 
program would end shortly before any rise in key ECB policy rates. In addition, 
volumes in the OIS market rose significantly ahead of the June 2022 Governing 
Council meeting in which President Lagarde pre-announced an increase of the key 
ECB’s policy rates. Volumes peaked again around the September and October 2022 
Governing Council meetings when the ECB announced increases of 75 basis points 
with the intention of “frontloading” the increase of the key ECB interest rates. 
Volumes remained at elevated levels until the December 2022 meeting, when the 
Governing Council decided to hike the key policy rates by 50 basis points. 

Euro money market study 2022 – Overnight index swaps 

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010203040506070Q1Q2Q3Q4Q1Q2Q3Q420212022ForwardSpot 
 
 
Chart 5.1.4 
OIS transaction volumes by trade date – ten-day moving average – and Governing 
Council meeting dates with press conference 

(y-axis: EUR billions; x-axis: Governing Council meeting dates) 

Source: MMSR. 
Notes: Ten-day moving average of OIS paid and received transaction volumes plotted against trade date, excluding novations and 
including all maturities. The dots indicate ECB Governing Council monetary policy meetings. Confidential points are hidden. 

5.2 

Rates 

5.2.1 

2021-2022 trends 

Throughout 2021, OIS rates remained relatively stable as market participants 
did not expect interest rate changes in the near term, whereas in 2022 OIS 
rates heavily increased (Chart 5.2.1). In the last quarter of 2021, OIS rates with 
maturities of two years and more started to rise, as inflation expectations increased 
and market participants anticipated that central bank action was inevitable. The rise 
in OIS rates was accompanied by higher implied and realised volatility in OIS rates, 
reflecting the uncertainty surrounding the outlook of interest rate expectations. The 
beginning of 2022 was marked by higher OIS rates, particularly on contracts with 
maturities of one year and more. 

Euro money market study 2022 – Overnight index swaps 

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020406080100120140160180JanFebMarAprMayJunJulAugSepOctNovDec20212022GovC 2021GovC 2022 
 
 
Chart 5.2.1 
Evolution of spot OIS rates across different maturity bands 

(percentages) 

Source: MMSR. 
Notes: Volume-weighted average rate for selected maturity bands, plotted against trade dates. Only spot transactions were 
considered, with novations excluded. The vertical lines flag relevant Governing Council dates, with the February and June meetings 
signalling upcoming potential interest rates hikes and the remaining lines marking actual interest rate hikes. Confidential points are 
hidden. 

5.2.2 

Drivers of rates 

Change of monetary policy stance 

Forward OIS curves anticipated the change in monetary policy stance 
throughout 2022 (Chart 5.2.2). The forward OIS curve is considered one of the best 
indicators for gauging the interest rate expectations of market participants. OIS 
contracts allow two counterparties to exchange fixed and floating interest rate 
payments on an agreed notional amount. The swap rate (the fixed rate agreed at the 
beginning between the parties) reflects the expected market overnight rates over the 
duration of the contract. The floating rate is linked to an overnight benchmark (i.e. 
€STR in the case of the euro area) which is a reflection of the monetary policy 
stance. Repricing of interest rate expectations drives a substantial change in the OIS 
forward curve.21  Expectations of policy rate increases were well anticipated, as 
evidenced by the steeper OIS forward curve of June 2022 (red forward curve) 
compared with the OIS forward curve of December 2021 (yellow forward curve). The 
forward curve of December 2022 (blue forward curve) inverted for maturities in 2024 
and onwards shows expectations for a terminal rate of 3.3% to be reached by mid-
2023, as well as expectations for potential interest rate cuts towards 2024. This 
stands in stark contrast to expectations observed in 2021, when market participants 

21    OIS contracts have three features that enable them to gauge interest rate expectations: (i) no notional 
is exchanged, (ii) liquidity risk is minimised as there is no initial cash flow, and (iii) credit risk is also 
minimised as most transactions are centrally cleared. 

Euro money market study 2022 – Overnight index swaps 

87 

Feb GovC JunGovCJulGovCSepGovCOctGovCDec GovC-1.0-0.50.00.51.01.52.02.53.001/2104/2107/2110/2101/2204/2207/2210/221M-3M6M-12M2Y-5YAbove 5Y 
 
 
 
were only anticipating interest rates to enter positive territory by the second half of 
2026.   

Chart 5.2.2 
Forward OIS curves and expectations of terminal rates 

(percentages) 

Source: Bloomberg, ECB. 
Notes: The OIS forward curves show nominal rates. SMA stands for the ECB Survey of Monetary Analysts. 

Volatility reflecting uncertainty on the ECB terminal rate 

The repricing of interest rate expectations was accompanied by a surge in 
realised and expected volatility of OIS contracts to unprecedented levels, 
reflecting the market uncertainty surrounding future interest rates (Chart 
5.2.3). Realised volatility, measured as the intraday trading range of OIS forward 
contracts, started to increase in the fourth quarter of 2021. At this time foreign central 
banks had initiated a review of forward guidance on the policy outlook in order to 
faster normalise their accommodative monetary policy stances. Expected volatility 
also started to increase, along with a deterioration in liquidity conditions in the OIS 
market, which was reflected in wider bid-offer spreads. These uncertainty measures 
further increased throughout 2022 and peaked around mid-2022, amid higher-than-
expected inflation, economic activity data prints and unprecedented interest rate 
hikes by central banks. 

Euro money market study 2022 – Overnight index swaps 

88 

-1.0-0.50.00.51.01.52.02.53.03.507/2212/2205/2310/2303/2408/2408-Jun-2215-Dec-2115-Dec-22SMA-Jun22-MedianSMA-Dec22-MedianSMA-Dec21-MedianDFR 
 
 
Chart 5.2.3 
Implied and realised volatility; liquidity conditions of 1-year forward swap rate in 2 
years’ time 

(basis points) 

Source: Bloomberg. 
Note: Swaptions are used to measure implied volatility. All swaptions are at-the-money contracts, i.e. their exercise price equals the 
forward interest rate prevailing at the start of the contract. The basis point measure is obtained as the product of implied volatility as a 
percentage and the corresponding forward swap rate. Realised volatility is calculated as the intraday spread of the EUR 1y1y forward 
swap rate and the liquidity conditions as the bid and ask spread. 

Interaction between forward OIS and inflation swap rates 

The relationship between interest rate and inflation expectations varied 
throughout the review period (Chart 5.2.4). Before the outbreak of the COVID-19 
pandemic, there was a positive relationship between interest rate expectations and 
inflation expectations. After March 2020, despite increasing medium-term inflation 
expectations, forward OIS rates did not initially respond much and remained stable 
at negative values. Market participants anticipated that the ECB’s monetary policy 
stance would remain accommodative given economic vulnerabilities and the forward 
guidance provided by the Governing Council. In 2022 as the Governing Council 
moved from forward guidance towards a meeting-by-meeting approach, the 
correlation between interest rate and inflation expectations changed again when 
interest rate hikes seemed inevitable. The dispersion in the data points also reflects 
the high level of uncertainty surrounding inflation expectations and the ECB’s 
response. 

Euro money market study 2022 – Overnight index swaps 

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020406080100120140160180-505101520253001/2104/2107/2110/2101/2204/2207/2210/22Realised volatility (left y-axis)Liquidity conditions (left y-axis)Implied volatility (right y-axis) 
 
 
Chart 5.2.4 
Relationship between forward OIS and inflation swap rates 

(percentages) 

Source: Bloomberg. 
Notes: Forward OIS rates prior to the existence of €STR-linked OIS contracts were assumed to be 8.5 basis points below those 
referring to the EONIA-linked OIS contracts. Forward zero-coupon inflation swap rates refer to contracts linked to HICP excluding 
tobacco, as published by Eurostat, with a lag of three months. 

5.3 

Maturities 

5.3.1 

Flows 

Spot trading volumes remained concentrated in maturities up to three months, 
while transactions with forward settlement tended to align exposures with the 
ECB’s maintenance period calendar (Chart 5.3.1). Looking at spot settlement 
transactions, the largest volumes can be found in the below three-month maturity 
bucket. By comparison, IRS referencing EURIBOR or LIBOR often have much 
longer maturities. On the other hand, OIS contracts with forward settlement saw their 
activity increase in 2022, particularly on those contracts coinciding with the dates of 
the ECB’s maintenance periods (denoted as MP-dated forward contracts). 

Euro money market study 2022 – Overnight index swaps 

90 

-2-1012340.00.51.01.52.02.53.01-year OIS rate in 2 years' time1-year inflation swap rate in 2 years' timeJan-2010 -Feb-2020Mar-2020 -Dec-2021Jan-2022 -Dec-2022Last obs (30-Dec-22) 
 
 
Chart 5.3.1 
Average daily OIS traded notional per quarter split by maturity bands 

(EUR billions) 

Sources: MMSR, ECB calculations. 
Notes: Total traded notional in each quarter split by maturity bands, excluding novations; forward transactions are split between MP-
dated contracts (i.e. contracts that match the start and end dates of the maintenance periods with a tolerance of three days) and those 
that do not meet this criterion. 

5.3.2 

Stock 

Derivative contracts can have very long maturities, sometimes as long as 50 
years. This is also shown in the distribution of the OIS contracts stock (Chart 
5.3.2). OIS outstanding amounts are indeed dominated by contracts above one year. 
While transactions with longer maturities are less frequent, they represent a larger 
weight of the stock of derivatives. Moreover, 30% of the stock of OIS trades is made 
up of trades with forward contracts. The growth of forward transactions was 
remarkable in 2022, as in 2020 they only represented 15%. 

Euro money market study 2022 – Overnight index swaps 

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020406080100120Q1Q2Q3Q4Q1Q2Q3Q4202120223M or belowBetween 3M and 12MAbove 12MMP-dated forwardsOther forwards 
 
 
Chart 5.3.2 
Amounts outstanding split by maturity bucket at inception 

(percentages) 

Source: MMSR, ECB calculations. 
Notes: The outstanding amount is a snapshot taken on 15 September for each of the years reported, and also chosen specifically in 
order to avoid reporting dates. The outstanding amounts transform the daily transaction volumes (flows) into a stock variable based on 
maturity dates. Novations are excluded. 

5.4 

Counterparties 

5.4.1 

The relevance of central counterparties 

Most OIS transactions are centrally cleared (Chart 5.4.1). Around 90% of OIS 
transactions reported in the MMSR data are centrally cleared. The high usage in 
clearing reflects regulatory requirements implemented in August 2012 via the 
EMIR,22  with the aim of increasing transparency and reducing systemic risk. 

22    EMIR made central clearing mandatory for financial and non-financial counterparties with significant 

notional positions in the OIS market. These central counterparties must be authorised and/or 
supervised by the European Securities and Markets Authority (ESMA). The ESMA provides a list of 
central counterparties authorised to offer services and activities in the Union. 

Euro money market study 2022 – Overnight index swaps 

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0%10%20%30%40%50%60%70%80%90%100%15-Sep-2215-Sep-2115-Sep-20<=3M3M-1Y1Y-5Y>5YForward 
 
 
 
Chart 5.4.1 
Percentage of trades per counterparty group (other banks and CCPs) 

(percentages) 

Source: MMSR. 
Note: In compliance with the confidentiality rules, the volume of the trades with “non-banks that are not CCP” is not displayed owing to 
its small volume. 

Non-euro area CCPs cleared most of the OIS trades (Chart 5.4.2). The OIS 
volumes cleared by non-euro area CCPs significantly increased in 2022 to €30.1 
billion from €15.3 billion in 2021. EU-based CCPs, which gained relevance in 2021, 
saw volumes declining in 2022 to levels seen in 2020. 

Chart 5.4.2 
Daily average OIS volume on the receiving leg split by counterparty   

(EUR billions) 

Source: MMSR. 
Notes: Daily average volume of transactions receiving fixed interest rate payments split by centrally cleared and bilateral transactions, 
as well as by CCP location. Confidential values are hidden. 

LCH Limited led the successful transition from EONIA to the €STR by 
converting all their positions that still referred to the old benchmark on 16 
October 2021 (Chart 5.4.3). The first OIS contract referencing the €STR appeared 
in October 2019 along with the start of the daily publication of the new underlying 
benchmark rate. The share of contracts referencing the €STR moved very slowly 

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0%10%20%30%40%50%60%70%80%90%100%BankCCP05101520253035Non-euro area CCPsEuro area CCPsUncleared202020212022 
 
 
 
until the LCH Limited conversion. The reason for the slow transition was the lack of 
incentive for market participants to lead the change in benchmark convention given 
the economic equivalence between both indexes (i.e. since October 2019 EONIA 
was equated by the €STR plus a fixed spread of 8.5 basis points). The European 
Commission also introduced a regulation on 21 October 2021 that designated the 
€STR as the replacement rate for the EONIA in any contract and in any financial 
instrument. Finally, EONIA stopped being published on 3 January 2022 as 
anticipated and all existing contracts had by that time been converted to the €STR. 

Chart 5.4.3 
€STR and EONIA OIS in the MMSR dataset 

(EUR billions) 

Sources: MMSR, Bloomberg, ECB calculations. 
Notes: The MMSR dataset does not provide information on which benchmark the transaction is linked to. Therefore, these had to be 
interpolated based on market data. The transactions were flagged as linked to the €STR or EONIA depending on the proximity 
between their reported spot OIS rate and the respective market OIS rate. Excludes novations, forward transactions and outliers. 

Most of the OIS contracts are settled cross-border with international 
counterparties during the review period (Chart 5.4.4). In fact, this is artificially 
driven by the fact that most contracts are centrally cleared by LCH Limited. LCH 
Limited is UK-based and qualifies as international traffic, whereas the actual 
counterparties could potentially be based in the euro area. However, it was not 
possible to verify this with certainty using the available data sources. On average, 
international activity represents 82% of the overall settled transactions. From the 
third quarter of 2021 to the fourth quarter of 2022 international cross-border activity 
increased from 76% to 86%. The increase was to the detriment of euro area cross-
border activity, which decreased across the same period. This might be simply 
masking counterparties that switched to central clearing instead of bilateral clearing 
from the third quarter of 2021. Euro area cross-border traffic represents on average 
10% of total transactions, whereas domestic transactions represent 8%. 

Euro money market study 2022 – Overnight index swaps 

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02004006008001,0001,20001/2102/2103/2104/2105/2106/2107/2108/2109/2110/2111/2112/2101/2202/2203/22€STREONIA 
 
 
Chart 5.4.4 
OIS volumes by location of counterparties 

(percentages) 

Source: MMSR. 
Note: Novations excluded. Domestic refers to trades with a counterparty located in the same jurisdiction than the MMSR reporting 
bank. Euro area cross-border refers to trades with a counterparty located in the different member state than the MMSR reporting bank. 
Rest of the world refers to trades with a counterparty located outside the Euro area. 

Euro money market study 2022 – Overnight index swaps 

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0102030405060708090100Q1 2021Q2 2021Q3 2021Q4 2022Q1 2022Q2 2022Q3 2022Q4 2023Rest of the worldEuro area cross-borderDomestic 
 
 
Appendix 

Money market statistical reporting (MMSR) 

MMSR gathers daily information on activity in the euro money markets. The 
aim of the transaction-based statistical data of MMSR is to provide the Eurosystem 
with a comprehensive view of activities in the euro money markets. This is to assess 
the effectiveness of monetary policy and to assist the Eurosystem in maintaining 
stability in the financial markets. 

MMSR data collect all individual transactions in euro with maturities of less 
than one year conducted by the largest 47 banks in the euro area. The 
transactions have maturities lower than 397 days.23  Data should be reported to the 
ECB every day by 07:00 – reporting started on 1 July 2016. Originally 53, the 
number of reporting agents currently stands at 47 due to mergers and other 
corporate actions. The participating reporting agents cover the largest euro area 
banks in terms of balance sheet size24  and are listed in Figure C.25  In operational 
terms, MMSR data are collected by the ECB with the support of several NCBs. The 
legal framework for MMSR is laid down in Regulation (EU) No 1333/201426. 

MMSR data cover four segments of the euro money market: secured, 
unsecured, FX swaps and OIS. Both legs of the transactions are reported. This 
means that both lending and borrowing transactions are covered in the secured and 
unsecured segments, both the selling and the buying of foreign currency are covered 
in the FX swaps segment and, finally, both the paying and the receiving of fixed 
interest rates are included in the OIS segment. Transactions are reported for trades 
conducted with non-retail counterparties such as other credit institutions, other 
financial corporations, NFCs and governments.27  Table A.1 lists the main 
characteristics of the transactions reported for each segment. 

Information is reported on the volume, pricing, maturity and counterparty for 
each transaction. For each transaction, reporting agents are required to provide a 
set of attributes. The most relevant attributes include the trade date, the maturity 
structure (settlement date, maturity date), the turnover (the amount involved in the 
transaction), the counterparty (even if it is a tri-party agent) and the pricing (the 

23    In line with the ESMA definition of short-term financial instruments. For the OIS segment only, all swap 
contracts tied to the unsecured overnight rate are considered to be short term, irrespective of their 
maturity. 

24    The selection was carried out based on the total balance sheet assets at the start of the data collection. 
25    The updated list of reporting agents is also available on the ECB’s website. 
26    Regulation (EU) No 1333/2014 of 26 November 2014 concerning statistics on the money markets 

(ECB/2014/48) (OJ L 359, 16.12.2014, p. 97), as amended by Regulation (EU) 2015/1599 
(ECB/2015/30) (OJ L 248, 24.9.2015, p. 45), Regulation (EU) 2019/113 (ECB/2018/33) (OJ L 23, 
25.1.2019, p. 19), Regulation (EU) 2019/1677 (ECB/2019/29) (OJ L 257, 8.10.2019, p. 18), and 
Regulation (EU) 2020/2004 (ECB/2020/58) (OJ L 412, 8.12.2020, p. 31). 

27    Transactions are reported when conducted with financial corporations (except central banks where the 
transaction is not for investment purposes), general government or NFCs classified as “wholesale” 
under the Basel III LCR framework. Lending transactions in the unsecured segment are only reported 
when the counterparty is a credit institution. 

Euro money market study 2022 – Appendix 

96 

 
 
 
interest rate for the secured and the unsecured segments, the fixed interest rate 
underlying the contract for the OIS, and the spot exchange rate and forward points 
for the FX swaps). The counterparty to the transaction must also be reported, 
preferably by providing its unique legal entity identifier (LEI)28. For secured 
transactions, the security employed as collateral, identified by its international 
securities identification number (ISIN), is also provided. Table A.2 provides a 
summary of the main information available in the MMSR data. 

Identification of the counterparties has recently improved. The MMSR dataset 
has evolved over time, through amendments to the MMSR Regulation seeking 
to improve the data collection. Two relevant changes took place in March 2019. 
First, the reporting of the LEI was extended to all counterparties when it was 
available. This change increased the number of transactions for which the sectoral 
classification is centralised in the ECB, ensuring consistency and providing a more 
accurate picture of money market transactions. Second, the scope of the eligible 
counterparties was extended to financial auxiliaries, as well as captive financial 
institutions and money lenders, in the process improving the completeness of the 
MMSR data collection. 

MMSR reflects new trades, while lifecycle events affecting existing 
transactions are not covered. MMSR collects information on transactions in 
respect of their generation or “re-generation” through renegotiation or novation. 
Lifecycle events such as early cancellation or margin variation are not reported, 
while open-ended transactions are generally reported daily. MMSR data cover 
wholesale money market transactions performed by the euro area reporting agents 
(including their branches in the European Free Trade Association and the United 
Kingdom) with any counterparty in the world. Trades taking place between reporting 
agents are reported by both parties. 

28    The LEI is a 20-digit, alpha-numeric code that connects to key reference information and allows clear 
and unique identification of companies participating in global financial markets. If the LEI is not 
available, the sector and country of residence of the counterparty is reported. 

Euro money market study 2022 – Appendix 

97 

 
 
 
Figure A1 
Reporting agents contributing to MMSR 

Source: ECB. 
Note: A more detailed list of reporting agents is available on the ECB’s website. 

Table A1 
Scope of reporting for the four market segments included in MMSR 

Segment 

Secured 

Maturity 

Secured transactions consist of short-term repo transactions (borrowing and lending) denominated in euro. This 
includes bilateral transactions concluded directly between two counterparties, transactions mediated by a CCP and 
transactions where a third separate agent takes care of the collateral management (tri-party repos). Securities lending 
transactions which take place against cash must also be reported within the secured market segment. 

Unsecured  Unsecured transactions consist of several kinds of short-term borrowing/lending contracts that share the characteristic 

of not being secured by any collateral. Unsecured transactions within the scope of MMSR take place using the 
instruments defined in the MMSR Regulation, in particular: 

unsecured deposits: 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: either cash accounts with daily changes in the applicable interest rate, giving rise to interest payments 
or calculations at regular intervals, and a notice period for withdrawing money, or saving accounts with a notice period 
for withdrawing money; 

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

FX swaps 

FX swap transactions consist of 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. 

OIS 

OIS transactions consist of daily euro OIS transactions denominated in euro with any maturity. 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. 

Euro money market study 2022 – Appendix 

98 

 
 
 
 
Table A2 
The main information available in MMSR 

Variables 

Unsecured   
segment 

Secured 
segment 

FX swap   
segment 

OIS   
segment 

Proprietary transaction identification 

Specifies the unique internal transaction identifier used by the reporting agent. 

Counterparty identification 

Specifies the counterparty’s LEI if the counterparty is a credit institution or a 
supranational authority, or otherwise the counterparty’s sector and location. 

Trade date 

Specifies the date on which the parties enter into the transaction – trade time is 
reported if available. 

Settlement date, value date or start date  Specifies the date on 
which the amount of 
money is exchanged. 

Specifies the date on 
which the cash is 
initially exchanged 
with the collateral. 

Specifies the date 
on which amounts 
of currency are 
exchanged based 
on an agreed FX 
rate. 

Specifies the date 
on which the FX 
swap transaction 
expires and the 
currency sold on 
the value date is 
repurchased. 

Specifies whether 
the euro amount 
reported is bought 
or sold on the 
value date. 

Specifies the date 
on which the 
floating overnight 
rate used in the 
calculation of the 
OIS payout is 
computed. 

Specifies the last 
date of the term 
over which the 
compounded 
overnight rate is 
calculated. 

Specifies whether 
the fixed interest 
rate is paid or 
received. 

… 

… 

… 

… 

… 

… 

Specifies the FX 
rate between the 
euro and the 
foreign currency 
applicable to the 
transaction on the 
value date. 

Specifies the 
difference 
between the FX 
forward rate and 
the spot rate. 

… 

… 

Specifies the 
fixed rate used in 
the calculation of 
the OIS payout. 

… 

Maturity date 

Transaction type 

Transaction amount 

Rate type 

Deal rate 

Reference rate index 

Basis point spread 

Specifies the date on 
which the amount of 
money is due to be 
repaid by the 
borrower. 

Specifies the date on 
which the cash is due 
to be returned against 
the collateral. 

Specifies whether 
the transaction is 
borrowing or lending. 

Specifies whether the 
transaction is the 
borrowing or lending 
of cash. 

Specifies whether the transaction interest rate 
is fixed or floating. 

Specifies the interest rate at which the cash 
lent is to be remunerated. Only specified for 
fixed rate transactions. 

Specifies the ISIN code of the underlying 
reference rate. Only specified for floating rate 
transactions. 

Specifies the number of basis points added to 
or deducted from the underlying reference 
rate. Only specified for floating rate 
transactions. 

… 

… 

… 

… 

Foreign exchange spot rate 

… 

… 

Foreign exchange forward points 

… 

Fixed interest rate 

… 

Instrument type 

Specifies the 
instrument via which 
the 
borrowing/lending 
takes place. 

… 

… 

… 

Specifies the 
nominal amount in 
euro lent or 
borrowed. 

Specifies the nominal 
amount in euro lent or 
borrowed. 

Specifies the 
nominal amount of 
the FX swap in 
euro. 

Specifies the 
notional amount 
of the OIS. 

Euro money market study 2022 – Appendix 

99 

 
 
 
Variables 

Unsecured   
segment 

Secured 
segment 

FX swap   
segment 

OIS   
segment 

Collateral ISIN 

… 

Special collateral indicator 

… 

Collateral nominal amount 

… 

Collateral haircut 

Specifies an ISIN if 
possible. Otherwise, 
the collateral asset 
class, issuer sector 
and (if applicable) 
pool are reported. 

Specifies whether a 
repo transaction is 
conducted against 
special collateral. 
Reporting this is 
optional. 

Reporting this is 
optional for 
transactions in which 
the asset pledged is 
not identified via 
individual ISINs. 

Specifies the haircut 
(a risk control 
measure – the market 
value of the collateral 
is reduced by a 
certain percentage). 
Reporting this is only 
mandatory for single 
collateral bilateral 
transactions. 

Foreign currency code 

… 

… 

… 

… 

… 

… 

… 

… 

Specifies the ISO 
code of the 
currency 
bought/sold in 
exchange for 
euro. 

Source: ECB. 
Note: The above table is a selective and abbreviated overview of the variables reported to the ECB in the context of MMSR. For a 
comprehensive overview, please refer to the MMSR reporting instructions, available on the ECB’s website. 

Euro money market study 2022 – Appendix 

100 

 
 
 
 
 
 
© European Central Bank, 2023 

Postal address 
Telephone 
Website 

60640 Frankfurt am Main, Germany 
+49 69 1344 0 
www.ecb.europa.eu 

All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. 

For specific terminology please refer to the ECB glossary (available in English only). 

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