1. Statistical findings on the new Money Market Statistical Reporting
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Statistical findings on the new Money Market Statistical Reporting
Gemma Agostoni
Josep Maria Puigvert ECB
Ronald Rühmkorf
Plamen Petrunov BNB
Conference of European Statistics Stakeholders
Budapest | October 2016

2. Overview 1 MMSR in a nutshell 2
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MMSR in a nutshell 2
The data in details: variables and attributes 3
Implementation and Standardisation 4
Validation procedures 5
Reporting since April 2016 6
MMSR additional data quality challenges 7
Conclusion
Initial statistical findings on the new MMSR

3. MMSR in a nutshell (1/3)
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The money market changed dramatically in the wake of the crisis
modified market patterns and fragmentation
financial innovations and regulatory changes affecting
participants’ behaviour and markets salient features
Consequences
data gaps hindered to interpret on a very timely basis money market- related elements of the monetary policy transmission mechanism
Proposed solution
collect granular statistical information on money markets to support and better inform monetary policy conduct in euro area
New legal act
MMSR Regulation (ECB/2014/48) adopted on
Initial statistical findings on the new MMSR

4. MMSR in a nutshell (2/3)
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Transaction-by-transaction data on four money market segments:
Secured: borrowing/lending of cash secured with a collateral which safeguard the lender against borrower's default
Unsecured: borrowing/lending of cash backed only by the borrower’s creditworthiness
FX Swaps: purchasing/selling of foreign exchange against EUR
OIS: exchange of EONIA rate against a fixed interest rate
Daily frequency: Reporting by 7 a.m. on the day following the trade date and covering all money market trades conducted during the previous day
Timeline: Full reporting as of 1 July 2016, following a 3-month interim period
Initial statistical findings on the new MMSR

5. MMSR in a nutshell (3/3) Reporting population
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Reporting population
The biggest 52 euro area MFIs with a balance sheet larger than % compared to the total balance sheet of all euro area MFIs
The high correlation between the bank balance sheet and the money market activity ensured achieving coverage of ca. 85% of the money market
Highest money market concentration - around 80% - for reporting agents located in Germany, France, Italy and Spain
Counterparty coverage (with whom reporting agents are trading)
MFIs, i.e. interbank market
Central Banks and General Government
Other Financials Corporations, incl. Investment funds, Insurance, Securitisation
“Wholesale” Non-Financial Corp.s classified under Basel 3 LCR framework
Initial statistical findings on the new MMSR

6. The data in details: variables and attributes
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Main money market variables
Valuation Interest rates | Basis Point Spread | Price | Swap points
Turnover Transaction Nominal Amount
Counterparty identification
LEI : Legal Entity Identifier (for interbank and CCPs) ISO 17442, or
Sector, via ESA2010 code, and Location, via ISO 3166 country code
Maturity structure
Trade Date Settlement Date Maturity Date
Contract creation Payment Termination
Collateral identification
ISIN : International Securities Identification Number, via ISO 6166, or
Asset Type : CFI code, via ISO 10962, and Issuer Sector via ESA2010 code
Initial statistical findings on the new MMSR

7. Implementation and Standardisation (1/2)
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Documentation
Detailed Reporting Instructions (published a year in advance) explaining the conceptual and technical specifics of the MMSR framework
An extensive Q&A document further elaborating on the reporting requirements
Clear and well-defined XML - Reporting schemas
=> Ensuring correct and common understanding among reporting agents
Strong interaction with the industry
3 mock-up data exercises conducted in 2015 to test the understanding of the reporting framework and readiness by the 52 Reporting Banks
Several meetings with the Banking industry concerned
In Dec. 2014, Feb. 2015, Dec. 2015, May 2016 and Nov. 2016
Fully automated processing: from data transmission to dissemination
Initial statistical findings on the new MMSR

8. Implementation and Standardisation (2/2)
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High level of standardisation
MMSR framework is fully aligned with the ISO standard
ISO Universal financial industry message scheme is a single standardisation approach (methodology, process, repository)
used in many fields of financial reporting, such as payments or securities
Strongly supporting high automation of the MMSR data collection and processing for Reporting Agents as well as for the Eurosystem
MMSR Reporting Instructions fully consistent with all ISO definitions and XML-based reporting messages registered by the ISO
making them globally recognised
Usage of the ISO standard
Bank of England’s Sterling Money Market Daily (SMMD) – equivalent of the MMSR covering the UK money markets
Secured Financed Transactions-Data Store (SFT-DS) under the SFT Regulation
Initial statistical findings on the new MMSR

9. Validation procedures
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Data Quality Checks
Provided as a detailed document to the reporting agents to ensure transparency and easiness of the implementation on their side
Applied immediately after data reception
Scope
compliance with formats
consistency of the information
plausibility of the data
Follow-up
automatic, system-generated message to the reporting agent presenting a detailed explanation of the breached DQ Check(s)
the Eurosystem message requires response and corrective measures by the reporting agent ASAP, but not later than 10 days
Initial statistical findings on the new MMSR

10. Reporting since April 2016 (1/2)
Evolution April–Oct of weekly average nb of transactional records
Over  4,500,000 transactional records in total, thus far

11. Reporting since April 2016 (2/2)
Evolution of percentage of accepted, of which with warnings, and rejected transactional records: over 99% of the records accepted and <1% rejected!

12. MMSR additional data quality challenges (1/3)
Further data quality analysis is also being conducted to identify:
Matching of the two legs of transactions (among 52 reporting agents) per segment to identify possible missing transactions
Currently only checked on a monthly basis
Analysis of the counterparty based on Counterparty sector or the LEI
E.g. transactions reported with the LEI, instead of the sector and location (when not a bank or CCP)
Analysis of foreign exchange forward points, basis point spread, haircut and exchange spot rate to identify wrongly reported fields

13. MMSR additional data quality challenges (2/3)
Outlier detection

14. MMSR additional data quality challenges (3/3)
Wrong reporting around “0” for a particular agent
Initial statistical findings on the new MMSR

15. Conclusions MMSR: an already positive outcome
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MMSR: an already positive outcome
Timetable and actual delivery fully on time and above expected quality level
New data collection at very high frequency (daily) and timeliness (day + 1 at 7:00) and granularity ensuring high coverage on money market segments
Standardisation, data validation and active preparation guaranteed a high quality dataset and mitigated the reporting burden on the industry
Full automated processing improving the effectiveness and lowering the costs
A very rich source of information serving many purposes among the Eurosystem, the industry and the public at large
Remaining challenges ahead
Further improvement of data quality: in particular outlier detection, clustering and multivariate analysis
External and internal dissemination of the data, fully protecting confidentiality
Future extension of the reporting population
Initial statistical findings on the new MMSR