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Monetary Market Statistical Reporting - MMSR (German Part)

Version
1.0
Resource Type
Dataset
Creator
  • Deutsche Bundesbank
Publication Date
2019-06-17
Publisher
  • Deutsche Bundesbank
Description
  • Abstract

    MMSR is a transaction-by-transaction dataset about the Euro money market. Data contains detailed

    information about the secured and unsecured money market, foreign exchange swaps and Euro

    overnight index (EONIA) swaps. The German subset of the data, to which Deutsche Bundesbank

    provides access, comprises 115 reporting agents domiciled in Germany. Reporting agents are

    obliged to report to Deutsche Bundesbank all money market transactions conducted with financial

    corporations (except central banks where the transaction is not for investment purposes), general

    government or non-financial corporations classified as “wholesale” according to the Basel III LCR

    framework. Data is available from July 2016 onwards.

Temporal Coverage
  • 2016-07 / 2019-04
Geographic Coverage
  • The German part of the MMSR data described in this data report is constituted by reporting agents domiciled in Germany. All eligible money market transactions from those MFIs are subject to report, irrespective of counterparty domicile, which can be in Germany, the Eurozone, or the rest of the world.
Sampled Universe

A MFI has an obligation by the ECB to submit reports, if its total main balance sheet assets relative

to the total main balance sheet assets for all euro area MFIs make up more than 0.35%, as of

December 31, 2014.3) Under this criterion, 14 MFIs domiciled in Germany are obliged to report.

In addition, the MMSR-regulation allows appointing further reporting agents by National Central

Banks (NCBs). Deutsche Bundesbank enlarged the set of MFIs with an obligation to report due

to the heterogeneous structure of the German banking sector. The enlarged set of MFIs with

an obligation to report to Deutsche Bundesbank currently contains 115 institutes domiciled in

Germany. Reporting criteria are:

– usage of a TARGET2-Payment-Module-Account,

– relevant balance sheet assets of more than 1 billion Euro (as of December 31, 2014).

Generally, all relevant money market transactions conducted in Euro with the following entities

have to be reported: financial corporations (except central banks where the transaction is not for

investment purposes), general government or non-financial corporations classified as “wholesale”

according to the Basel III LCR framework. Reporting agents are required to report all transactions

relating to money market instruments booked in their Union and European Free Trade Association

(EFTA) -located branches.

All transactions contain the following information: information about the attributes identifying

the transaction, counterparty information, trading, settlement, and maturity dates, as well as

volume and terms of the transaction. For the respective market segments, additional information

is reported. Both sides of the trade are reportable if both counterparties are Reporting Agents,

irrespective of whether it is the borrowing or lending party. If both transaction parties report, the

transaction shows up twice and can be matched using the “Unique transaction identifier".

Availability
On-site
Publications
  • Bade, M.; Doll, H. C.; Hirsch, C.; Hubrich A.; Schulz F. (2019). Monetary Market Statistical Reporting, Data Report 2019-08 – Metadata Version MMSR-Data-Doc-v1-0. Deutsche Bundesbank Research Data and Service Centre.

Update Metadata: 2020-02-04 | Issue Number: 12 | Registration Date: 2019-06-17

Deutsche Bundesbank (2019): Monetary Market Statistical Reporting - MMSR (German Part). Version: 1.0. Deutsche Bundesbank. Dataset. https://doi.org/10.12757/Bbk.mmsr.0716_0419.01.01