Denmark was the first country to move its key monetary policy interest rate into negative territory, in early July 2012. This paper studies the microstructure of the short-term uncollateralized Danish interbank market before, during and after the financial crisis, and into an era of negative interest rates. The 2008 financial crisis was followed by a downturn in trading activity, which may reflect increased awareness of counterparty credit risk at this time, or a reduction in the number of banks due to mergers/acquisitions and bank failures. A further reduction in trading activity followed in mid-2012, with a large increase in the current account liquidity maintained by monetary policy counterparties when interest rates became negative. In recent years, trading activity has concentrated on relatively few participants, mainly the so-called systemically important financial institutions. Our analysis is based on data from money market transactions between Danmarks Nationalbank’s monetary policy counterparties, estimated from payment flows through Danmarks Nationalbank’s real-time gross settlement system for the period 2003–15. Our data has been carefully validated against other data sources.