Short-Term European Paper (STEP)

"ND": data do not exist.
“-”: there are fewer than three issuers for the corresponding category.

"ND": data do not exist.
“-”: there are fewer than three issuers for the corresponding category.

"ND": data do not exist.
“-”: there are fewer than three issuers for the corresponding category.

Daily time series for STEP securities

• Yields on new issues of euro-denominated STEP securities, broken down by sector of the issuer, original time to maturity and rating category for zero coupon instruments (percentage per annum):  download CSV data (last update: 21 May 2013)
• Yield spreads above benchmark rates on new issues for euro-denominated STEP securities, broken down by sector of the issuer, original time to maturity and rating category for variable rate instruments (percentage points per annum):  download CSV data (last update: 21 May 2013)
• Spread between the EONIA and the yield on new issues of euro-denominated STEP securities, broken down by sector of the issuer, original time to maturity and rating category for variable rate instruments (percentage points per annum):  download CSV data (last update: 21 May 2013)

The monthly data include the programmes settled in any securities settlement system during the transitional period. In that period, daily data are not provided.

Monthly time series for STEP securities

• Amounts outstanding, all currencies of denomination:  download CSV data (last update: 16 May 2013)

Daily time series for STEP securities

• Amounts outstanding, broken down by residual maturity (EUR millions; nominal values):  download CSV data (last update: 21 May 2013)
• Amounts outstanding, broken down by sector of the issuer, residual time to maturity and rating category (EUR millions; nominal values):  download CSV data (last update: 21 May 2013)
• Amounts outstanding, broken down by currency (EUR millions; nominal values):  download CSV data (last update: 21 May 2013)

The figures may not sum up to the aggregated amounts outstanding displayed in the other tab due to the fact that this table also includes programmes settled in Securities Settlement Systems that report data on a weekly basis.
“-”: the programme exists but has not issued
1) The daily spot rate vis-à-vis the Euro as at 2:15 p.m. (C.E.T.) is used.

Download

• Amounts outstanding of STEP securities by programme :  download CSV data (last update: 21 May 2013)

Daily time series for STEP securities

• New issues, broken down by original time to maturity (EUR millions; nominal values):
   download CSV data (last update: 21 May 2013)
• New issues, broken down by sector of the issuer, residual time to maturity and rating category (EUR millions; nominal values):
   download CSV data (last update: 21 May 2013)

Background

On 9 June 2006, Euribor ACI and Euribor FBE adopted the STEP Market Convention. The Convention requires issuers to put in place any arrangements with the securities settlement systems, the issuing and paying agents, the dealers, the arrangers or any other relevant entity that are necessary to provide the eligible data provider with complete and accurate data for the production of statistics by the ECB.

Since 2 April 2007, the STEP market has been accepted as a non-regulated market for collateral purposes in Eurosystem credit operations. See the press release

In order to be eligible for use as collateral in Eurosystem operations, notes issued under STEP-compliant programmes also have to fulfil all the eligibility criteria listed in Chapter 6 of the document entitled “The implementation of monetary policy in the euro area: General documentation on the Eurosystem monetary policy instruments and procedures”. more.

Data providers

Data providers, which act on a voluntary basis, may be eligible securities settlement systems, national central banks or other institutional entities. These entities are eligible as statistical data providers if they are able to comply with the  reporting instructions. The data providers are assessed by the ECB on the basis of their capacity to comply with these reporting instructions, and new data providers may only be accepted with the approval of the STEP Market Committee.

Each eligible data provider covers all STEP issues that are settled in its system or that are deposited in a securities settlement system for which the data provider has complete data coverage. The depository location of the securities is contained in the security ISIN code.

Should multiple settlement systems be deemed eligible to report issues for a given market, each settlement system that acts as a data provider will transmit data on those issues that it has settled in its system.

About STEP statistics

The STEP statistics concern primary market volumes of, and yields on, short-term debt securities issued in the context of programmes that have received the STEP label from the STEP Market Committee.

The ECB publishes aggregated daily data on outstanding amounts of STEP securities, i.e. data on the nominal values of all STEP securities that have been issued but not redeemed at the end of the reference period. Statistics on aggregated new issues are also available at daily intervals.

The daily yield statistics encompass annualised yields on euro-denominated STEP-labelled zero coupon issues, referring to the primary market interest rates originally agreed between an issuer and an investor. Issues refer to short-term debt securities with an original maturity of up to one year. Yield statistics are also available for euro-denominated STEP issues priced with a spread against reference interest rates.

The STEP statistics cover all issues made under STEP labelled programmes. However, in order to allow the data providers to adapt their systems as necessary, a transitional period has been provided for. Therefore, some issues made under STEP-labelled programmes may not be covered by the daily STEP statistics. In order to cover the whole STEP market, outstanding amounts of STEP securities, including the amounts issued in any securities settlement system during its transitional period, are also published on a monthly basis.

“Total issuance” refers to all the STEP securities issued by all sectors. Sectors other than those comprising monetary financial institutions and non-financial corporations are currently not presented separately as the issuance volumes involved are small. Sector definitions are available in the glossary.

Issues published under the credit rating category “All ratings” refer to all STEP-labelled securities for which data are collected by the ECB.

Issues published under the credit rating category “Rating 1” refer to issues under those programmes that have the highest credit ratings.

Issues under programmes allocated to the credit rating categories “Rating 2” and “Rating 3” refer to those STEP securities that have high or medium credit ratings respectively. Currently, statistics for issues allocated to credit rating category “Rating 3” are not published, given the small issuance volumes.

In this way, the ECB ensures transparency while respecting the confidentiality of individual price or yield data.

The statistics are published on the ECB’s website at weekly intervals on the first business day of each week, except in the case of ECB holidays when publication will follow on the subsequent working day. The data refer to each day of the previous week.

For more detailed methodological information, please refer to the  STEP Methodological Notes