By: Walther Navarrete and William Kolkey
What is Money Market Statistical Reporting (MMSR)?
Regulation (EU) No 1333/2014 provides that designated monetary financial institutions (MFIs) must report to the European Central Bank (ECB) or relevant national central bank (NCB) statistical information on their money market transactions, where the transaction is euro-denominated and booked to an EU, EFTA, or UK branch.
The regulation’s objective is to inform ECB monetary policy with the provision of detailed statistical information on money markets in the euro area.
What products/transactions are covered?
The regulation covers four distinct market segments:
- secured money market transactions
- unsecured money market transactions
- foreign exchange swaps
- overnight index swaps (OIS)
Does MMSR apply to all monetary financial institutions?
No, only monetary financial institutions (MFIs) designated as reporting agents are subject to MMSR’s reporting requirements. A list of reporting agents can be found on the ECB’s website.
The ECB has communicated that an additional 24 MFIs will be subject to MMSR reporting requirements from July 2024.
What are typical reporting requirements?
Reporting agents are responsible for submitting reports for each covered market segment. This includes information on the transaction and instrument type, applicable rates, collateral, and transaction and counterparty identifiers.
Reportable transactions are limited to transactions with financial corporations, transactions with a general government unit, and wholesale transactions with non-financial corporations. Where the transaction is an unsecured money market transaction, and the reporting agent is the lender, reportable transactions are limited to transactions with credit institutions.
Transactions with central banks “not made for investment purposes” are exempt.
The reporting guidance for MMSR was updated in August. How do the changes affect what gets reported?
MMSR Reporting Instructions and Q&A v3.6 make several significant changes to the eligibility criteria for reporting. These include (but are not limited to) the following:
- Provide that only transactions with nominal amount of at least EUR 500,000 are reportable
- Limit the scope of securities-lending agreements that are subject to reporting
- Revise the criteria relevant for determining whether a secured or unsecured money market transaction is subject to daily reporting
- Update guidance for reporting events such as novations and contract extensions
- Provide definitional clarity for key terms, such as wholesale transaction
These changes are effective July 1, 2024. Reporting agents may implement them earlier if they notify the respective NCB/ECB of their intentions ahead of time.
Where and when should reports be submitted?
Transactions are reportable to the national central bank (NCB) of the reporting agent’s member state or, where directed, to the ECB. NCBs are responsible for specifying reporting deadlines, pursuant to their requirement to report statistical information to the ECB once daily before 7 a.m. CET on the first business day after the trade date.
Where a reporting agent is directed to report to the ECB, transactions are reportable once daily between 6 p.m. on the trade date and 7 a.m. Central European Time on the first business day after the trade date.
What best practices exist for satisfying MMSR requirements?
The ECB expects complete, accurate, and consistent transaction data, which is subject to data quality controls.
At a minimum, reporting agents should have a reporting system that:
- evaluates in real-time whether a transaction is subject to MMSR reporting, including with respect to a novation, renegotiation, or rollover of an open position
- flags any incomplete or invalid data that might impede accurate decisions regarding transaction eligibility
- generates and validates MMSR reports in line with ECB specifications
- maintains an audit trail to ensure full decision transparency and traceability
- stays current with regulatory changes and the latest ECB guidance