euro money market survey, september 2011 · 2020. 6. 18. · 16 ecb euro money market survey...
TRANSCRIPT
EURO
PEAN
CEN
TRAL
BAN
K
FIN
ANCI
AL S
TABI
LITY
REV
IEW
JU
NE
2011
EURO MONEY MARKET SURVEYSEPTEMBER 2011
EURO MONEY MARKET SURVEYSEPTEMBER 2011
In 2011 all ECB publications
feature a motif taken from
the €100 banknote.
© European Central Bank, 2011
Address Kaiserstrasse 29 60311 Frankfurt am Main Germany
Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany
Telephone +49 69 1344 0
Website http://www.ecb.europa.eu
Fax +49 69 1344 6000
All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.
ISSN 1830-7000 (online)
CONTENTS
1 COUNTRY BREAKDOWN OF
PARTICIPATING BANKS IN 2011 5
2 THE UNSECURED MARKET 6
2.1 Turnover analysis 6
2.2 Maturity analysis 7
2.3 Market structure 8
2.4 Qualitative assessment 9
3 THE SECURED MARKET 10
3.1 Turnover analysis 10
3.2 Maturity analysis 11
3.3 Market structure 12
3.4 Bilateral repos 13
3.5 Triparty repos 13
3.6 Qualitative assessment 14
4 THE OTC DERIVATIVES MARKETS 15
4.1 Turnover analysis 15
4.2 Maturity analysis 16
4.3 Qualitative assessment 21
5 THE SHORT-TERM SECURITIES MARKET 27
5.1 Turnover analysis in the secondary market 27
5.2 Qualitative assessment 28
6 CROSS-MARKET ANALYSIS 29
6.1 Turnover analysis 29
6.2 Maturity analysis 30
6.3 Market structure 31
6.4 Qualitative assessment 33
Annexes
Annex I Credit institutions participating in the 2011
Euro Money Market Survey 34
Annex II Coordination of the 2011 ECB Euro Money
Market Survey 36
ECBEuro Money Market Survey 3September 2011
Note: The data represented herein refer to the second quarter of each respective year.
CCP Central Counterparty
FRAs Forward rate agreements
FX swaps Foreign exchange swaps
IRSs Other interest rate swaps
OISs Overnight index swaps
O/N Overnight
OTC Over the counter
T/N; Tom/next Tomorrow/next (day)
S/N Spot/next (day)
ST-securities Short-term securities
Xccys Cross-currency swaps
ECBEuro Money Market Survey
CCP Central Counterparty
FRAs Forward rate agreements
FX swaps Foreign exchange swaps
IRSs Other interest rate swaps
OISs Overnight index swaps
O/N Overnight
OTC Over the counter
T/N; Tom/next Tomorrow/next (day)
S/N Spot/next (day)
ST-securities Short-term securities
Xccys Cross-currency swaps
4 September 2011
AbbreAbbrevviaiationtions us usseedd i inn th the e cchhaarrtsts
IN 2011 1COUNTRY BREAKDOWN OF PARTICIPATING BANKS
5ECB
Euro Money Market SurveySeptember 2011
1.1 NUMBER OF PARTICIPATING BANKS PER COUNTRY
Number of banks
BELGIUM 3
BULGARIA 4
CZECH REPUBLIC 8
DENMARK 1
GERMANY 17
IRELAND 6
GREECE 8
SPAIN 15
FRANCE 9
ITALY 7
CYPRUS 3
LATVIA 4
LITHUANIA 4
LUXEMBOURG 3
HUNGARY 3
MALTA 4
NETHERLANDS 6
AUSTRIA 8
POLAND 12
PORTUGAL 14
ROMANIA 3
SLOVENIA 3
SLOVAKIA 2
FINLAND 2
SWEDEN 3
SWITZERLAND 1
UK 17
TOTAL 170
Note: A detailed list of participating banks can be found in Annex I. Countries are listed using the alphabetical order of the country names in the national languages.
2 THE UNSECURED MARKET
2.1 TURNOVER ANALYSIS
6ECBEuro Money Market SurveySeptember 2011
Chart 1 Average daily turnover in unsecured cash lending and borrowing
(index: cash lending volume in 2002 = 100)
0
50
100
150
200
250
300
350
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
50
100
150
200
250
300
350
LendingBorrowing
Note: The panel comprised 105 credit institutions.
2.2 MATURITY ANALYSIS
7ECB
Euro Money Market SurveySeptember 2011
Chart 2 Maturity breakdown for average daily turnover
in unsecured lending (index: cash lending volume in 2002 = 100)
Chart 3 Maturity breakdown for average daily turnover
in unsecured borrowing (index: cash borrowing volume in 2002 = 100)
0
20
40
60
80
100
120
140
160
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
120
140
160
Overnight (O/N)Tom/next to 1 month (T/N-1m)1 month to 3 months (1m-3m)
3 months to 1 year (3m-1y)More than 1 year (>1y)
0
20
40
60
80
100
120
140
160
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
120
140
160
Overnight (O/N)Tom/next to 1 month (T/N-1m)1 month to 3 months (1m-3m)
3 months to 1 year (3m-1y)More than 1 year (>1y)
Note: The panel comprised 105 credit institutions.
Chart 4 Maturity-weighted breakdown for average daily
turnover in unsecured lending (percentages of total)
Chart 5 Maturity-weighted breakdown for average daily
turnover in unsecured borrowing (percentages of total)
0
5
10
15
20
25
30
35
40
O/N S/N 1w-1m 3m-6m >1yT/N <1w 1m-3m 6m-1y
0
5
10
15
20
25
30
35
40
20102011
0
5
10
15
20
25
30
35
40
O/N S/N 1w-1m 3m-6m >1yT/N <1w 1m-3m 6m-1y
0
5
10
15
20
25
30
35
40
20102011
Note: The panel comprised 170 credit institutions.
2.3 MARKET STRUCTURE
8ECBEuro Money Market SurveySeptember 2011
Chart 6 Geographical counterparty breakdown for unsecured
average daily turnover in 2010 (percentages of total)
Chart 7 Geographical counterparty breakdown for unsecured
average daily turnover in 2011 (percentages of total)
30.9% national
41.3% euro area
27.8% other30.7% national
44.3% euro area
25.0% other
Note: The panel comprised 170 credit institutions.
2.4 QUALITATIVE ASSESSMENT
9ECB
Euro Money Market SurveySeptember 2011
Chart 8 Is the unsecured segment in your opinion efficient?
(percentages of total)
Chart 9 Has the market liquidity in the unsecured market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
LimitedlySufficiently
SignificantlyExtremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
Note: The panel comprised 105 credit institutions.
Chart 10 Counterparty structure of unsecured transactions
(percentages of total)
Chart 11 Trading structure of unsecured transactions
(percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
NationalEuro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Direct tradingVoice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
3 THE SECURED MARKET
3.I TURNOVER ANALYSIS
10ECBEuro Money Market SurveySeptember 2011
Chart 12 Average daily turnover in secured cash lending and borrowing
(index: cash lending volume in 2002 = 100)
0
50
100
150
200
250
300
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
50
100
150
200
250
300
LendingBorrowing
Note: The panel comprised 105 credit institutions.
3.2 MATURITY ANALYSIS
11ECB
Euro Money Market SurveySeptember 2011
Chart 13 Maturity breakdown for average daily turnover
in secured lending and borrowing (percentages of total)
Chart 14 Maturity breakdown for average daily turnover
in secured lending and borrowing (percentages of total)
0
10
20
30
40
50
60
70
80
90
2003 2004 2005 2006 2007 2008 2009 2010 20110
10
20
30
40
50
60
70
80
90
Overnight (O/N)Tom/next to 1 month (T/N-1m)
0
1
2
3
4
5
2003 2004 2005 2006 2007 2008 2009 2010 20110
1
2
3
4
5
1 month to 3 months (1m-3m)3 months to 1 year (3m-1y)More than 1 year (>1y)
Note: The panel comprised 105 credit institutions.
Chart 15 Maturity-weighted breakdown for average daily
turnover in secured lending (percentages of total)
Chart 16 Maturity-weighted breakdown for average daily
turnover in secured borrowing (percentages of total)
0
5
10
15
20
25
O/N S/N 1w-1m 3m-6m >1yT/N <1w 1m-3m 6m-1y
0
5
10
15
20
25
20102011
0
5
10
15
20
25
30
35
40
O/N S/N 1w-1m 3m-6m >1yT/N <1w 1m-3m 6m-1y
0
5
10
15
20
25
30
35
40
20102011
Note: The panel comprised 170 credit institutions.
3.3 MARKET STRUCTURE
12ECBEuro Money Market SurveySeptember 2011
Chart 17 Geographical collateral breakdown
for bilateral repos in 2010 (percentages of total)
Chart 18 Geographical collateral breakdown
for bilateral repos in 2011 (percentages of total)
32.5% national
63.4% euro area
4.1% other
43.0% national
52.1% euro area
4.9% other
Note: The panel comprised 170 credit institutions.
Chart 19 Total repo market breakdown
(percentages of total)
0
20
40
60
80
100
2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Bilateral Bilateral repos, non-CCP transactions only (reporting started in 2009)Bilateral repos, CCP transactions only (reporting started in 2009)Triparty repos
Note: The panel comprised 105 credit institutions.
3.4 BILATERAL REPOS
13ECB
Euro Money Market SurveySeptember 2011
Chart 20 Maturity breakdown for average daily turnover in the bilateral repo market
(percentages of total)
0
10
20
30
40
50
O/N T/N S/N <1w 1w-1m 1m-3m >3m0
10
20
30
40
50
2010 non-CCP 2010 CCP2011 non-CCP 2011 CCP
Note: The panel comprised 170 credit institutions.
3.5 TRIPARTY REPOS
Chart 21 Maturity breakdown for average daily turnover in the triparty repo market
(percentages of total)
0
5
10
15
20
25
30
35
40
45
O/N T/N S/N <1w 1w-1m 1m-3m >3m0
5
10
15
20
25
30
35
40
45
20102011
Note: The panel comprised 170 credit institutions.
3.6 QUALITATIVE ASSESSMENT
14ECBEuro Money Market SurveySeptember 2011
Chart 22 Is the secured segment in your opinion efficient?
(percentages of total)
Chart 23 Has the market liquidity in the secured market
changed with respect to last year?(percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
LimitedlySufficiently
SignificantlyExtremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
Note: The panel comprised 105 credit institutions.
Chart 24 Counterparty structure of secured transactions
(percentages of total)
Chart 25 Trading structure of secured transactions
(percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
NationalEuro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Direct tradingVoice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
4THE DERIVATIVES MARKETS
4.I THE OTC DERIVATIVES MARKET: TURNOVER ANALYSIS
15ECB
Euro Money Market SurveySeptember 2011
Chart 26 Average daily turnover in the various OTC derivatives markets
(index: OTC derivatives volume in 2002 = 100)
0
50
100
150
200
250
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
50
100
150
200
250
Overnight index swaps (OISs)Foreign exchange swaps (FX swaps)
Other interest rate swaps (other IRSs)Cross-currency swaps (Xccy swaps)
Forward rate agreements (FRAs)
Note: The panel comprised 105 credit institutions.
4.2 THE OTC DERIVATIVES MARKET: MATURITY ANALYSIS
16ECBEuro Money Market SurveySeptember 2011
Chart 27 Average daily turnover in the OIS segment
(index: OIS volume in 2002 = 100)
0
50
100
150
200
250
300
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
50
100
150
200
250
300
Up to 1 month (<1m)1 month to 3 months (1m-3m)
3 months to 1 year (3m-1y)More than 1 year (>1y)
Note: The panel comprised 105 credit institutions.
Chart 28 Maturity-weighted breakdown for average daily turnover in the OIS segment
(percentages of total)
0
5
10
15
20
25
30
35
<1w 1w-1m 1m-3m 3m-6m 6m-1y >1y0
5
10
15
20
25
30
35
20102011
Note: The panel comprised 170 credit institutions.
17ECB
Euro Money Market SurveySeptember 2011
Chart 29 Average daily turnover in the other IRS segment
(index: other IRS volume in 2002 = 100)
0
50
100
150
200
250
300
350
400
450
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
50
100
150
200
250
300
350
400
450
Up to 2 years (<2y)2 years to 5 years (2y-5y)
5 years to 10 years (5y-10y)More than 10 years (>10y)
Note: The panel comprised 105 credit institutions.
Chart 30 Maturity-weighted breakdown for average daily turnover in the other IRS segment
(percentages of total)
0
10
20
30
40
50
60
<1y 1y-2y 2y-5y 5y-10y >10y0
10
20
30
40
50
60
20102011
Note: The panel comprised 170 credit institutions.
18ECBEuro Money Market SurveySeptember 2011
Chart 31 Average daily turnover in the FRA segment
(index: FRA volume in 2002 = 100)
0
50
100
150
200
250
300
350
400
450
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
50
100
150
200
250
300
350
400
450
Up to 1 week (<1w)1 week to 1 month (1w-1m)
1 month to 3 months (1m-3m)3 months to 6 months (3m-6m)
6 months to 1 year (6m-1y)More than 1 year (>1y)
Note: The panel comprised 105 credit institutions.
Chart 32 Maturity-weighted breakdown for average daily turnover in the FRA segment
(percentages of total)
0
10
20
30
40
50
<1w 1w-1m 1m-3m 3m-6m 6m-1y >1y0
10
20
30
40
50
20102011
Note: The panel comprised 170 credit institutions.
19ECB
Euro Money Market SurveySeptember 2011
Chart 33 Average daily turnover in the FX swap segment
(index: FX swap volume in 2002 = 100)
0
50
100
150
200
250
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
50
100
150
200
250
Up to 1 month (<1m)1 month to 3 months (1m-3m)
3 months to 1 year (3m-1y)More than 1 year (>1y)
Note: The panel comprised 105 credit institutions.
Chart 34 Maturity-weighted breakdown for average daily turnover in the FX swap segment
(percentages of total)
0
5
10
15
20
25
30
O/N <1w 1w-1m 1m-3m 3m-6m 6m-1y >1y0
5
10
15
20
25
30
20102011
Note: The panel comprised 170 credit institutions.
20ECBEuro Money Market SurveySeptember 2011
Chart 35 Average daily turnover in the Xccy swap segment
(index: Xccy swap volume in 2002 = 100)
0
100
200
300
400
500
600
700
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
100
200
300
400
500
600
700
Up to 2 years (<2y)2 years to 5 years (2y-5y)
5 years to 10 years (5y-10y)More than 10 years (>10y)
Note: The panel comprised 105 credit institutions.
Chart 36 Maturity-weighted breakdown for average daily turnover in the Xccy swap segment
(percentages of total)
0
5
10
15
20
25
30
35
40
<1y 1y-2y 2y-5y 5y-10y >10y0
5
10
15
20
25
30
35
40
20102011
Note: The panel comprised 170 credit institutions.
4.3 QUALITATIVE ASSESSMENT
21ECB
Euro Money Market SurveySeptember 2011
Chart 37 Is the OIS segment in your opinion efficient?
(percentages of total)
Chart 38 Has the market liquidity in the OIS market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
LimitedlySufficiently
SignificantlyExtremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
Note: The panel comprised 105 credit institutions.
Chart 39 Counterparty structure of OIS transactions
(percentages of total)
Chart 40 Trading structure of OIS transactions
(percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
NationalEuro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Direct tradingVoice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
22ECBEuro Money Market SurveySeptember 2011
Chart 41 Is the other IRS segment in your opinion efficient?
(percentages of total)
Chart 42 Has the market liquidity in the other IRS market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
LimitedlySufficiently
SignificantlyExtremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
Note: The panel comprised 105 credit institutions.
Chart 43 Counterparty structure of other IRS transactions
(percentages of total)
Chart 44 Trading structure of other IRS transactions
(percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
NationalEuro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Direct tradingVoice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
23ECB
Euro Money Market SurveySeptember 2011
Chart 45 Is the FRA segment in your opinion efficient?
(percentages of total)
Chart 46 Has the market liquidity in the FRA market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
LimitedlySufficiently
SignificantlyExtremely
n.a.0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
n.a.
Note: The panel comprised 105 credit institutions.
Chart 47 Counterparty structure of FRA transactions
(percentages of total)
Chart 48 Trading structure of FRA transactions
(percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
NationalEuro area
Other
n.a.0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Direct tradingVoice broker
Electronic trading
n.a.
Note: The panel comprised 105 credit institutions.
24ECBEuro Money Market SurveySeptember 2011
Chart 49 Is the FX swap segment in your opinion efficient?
(percentages of total)
Chart 50 Has the market liquidity in the FX swap market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
LimitedlySufficiently
SignificantlyExtremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
Note: The panel comprised 105 credit institutions.
Chart 51 Counterparty structure of FX swap transactions
(percentages of total)
Chart 52 Trading structure of FX swap transactions
(percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
NationalEuro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Direct tradingVoice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
25ECB
Euro Money Market SurveySeptember 2011
Chart 53 Is the Xccy swap segment in your opinion
efficient?(percentages of total)
Chart 54 Has the market liquidity in the Xccy swap market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
LimitedlySufficiently
SignificantlyExtremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
Note: The panel comprised 105 credit institutions.
Chart 55 Counterparty structure of Xccy swap transactions
(percentages of total)
Chart 56 Trading structure of Xccy swap transactions
(percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
NationalEuro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Direct tradingVoice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
26ECBEuro Money Market SurveySeptember 2011
Chart 57 Is the options segment in your opinion efficient?
(percentages of total)
Chart 58 Has the market liquidity in the options market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
LimitedlySufficiently
SignificantlyExtremely
n.a. n.a. n.a. n.a.0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
n.a. n.a. n.a. n.a.
Note: The panel comprised 105 credit institutions.
Chart 59 Is the futures segment in your opinion efficient?
(percentages of total)
Chart 60 Has the market liquidity in the futures market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
LimitedlySufficiently
SignificantlyExtremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
Note: The panel comprised 105 credit institutions.
5THE SHORT-TERM SECURITIES MARKET
5.I TURNOVER ANALYSIS IN THE SECONDARY MARKET
27ECB
Euro Money Market SurveySeptember 2011
Chart 61 Average daily turnover in outright transactions
(index: outright transaction volume in 2002 = 100)
0
50
100
150
200
250
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
50
100
150
200
250
Government issuesCredit institution issues
Non-credit institution issues
Note: The panel comprised 105 credit institutions.
5.2 QUALITATIVE ASSESSMENT
28ECBEuro Money Market SurveySeptember 2011
Chart 62 Is the short-term securities segment in your
opinion efficient? (percentages of total)
Chart 63 Has the market liquidity for short-term securities
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
LimitedlySufficiently
SignificantlyExtremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
Note: The panel comprised 105 credit institutions.
Chart 64 Counterparty structure of short-term
securities transactions (percentages of total)
Chart 65 Trading structure of short-term securities
transactions (percentages of total)
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
NationalEuro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
20
40
60
80
100
Direct tradingVoice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
6CROSS-MARKET ANALYSIS
6.I TURNOVER ANALYSIS
29ECB
Euro Money Market SurveySeptember 2011
Chart 66 Aggregated average daily turnover of the euro money market
(index: aggregated average daily turnover volume in 2002 = 100)
0
50
100
150
200
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
50
100
150
200
UnsecuredSecuredOvernight index swaps (OISs)
Foreign exchange swaps (FX swaps)Other interest rate swaps (other IRSs)Cross-currency swaps (Xccy swaps)
Forward rate agreements (FRAs)Short-term securities (ST-securities)
Note: The panel comprised 105 credit institutions.
Chart 67 Average daily turnover in various money
market segments (index: unsecured transaction volume in 2002 = 100)
Chart 68 Average daily turnover in various money
market segments (index: unsecured transaction volume in 2002 = 100)
0
50
100
150
200
250
300
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
50
100
150
200
250
300
UnsecuredSecured
OISsFX swaps
0
10
20
30
40
50
60
70
80
2002 2003 2004 2005 2006 2007 2008 2009 2010 20110
10
20
30
40
50
60
70
80
FRAsOther IRSs
Xccy swapsST-securities
Note: The panel comprised 105 credit institutions.
6.2 MATURITY ANALYSIS
30ECBEuro Money Market SurveySeptember 2011
Chart 69 Maturity breakdown for various money market segments in 2011
(index: unsecured volume = 100)
0
50
100
150
200
250
300
Unsecured Secured OISs FX swaps FRAs0
50
100
150
200
250
300
Up to 1 week (<1w)1 week to 1 month (1w-1m)
1 month to 3 months (1m-3m)3 months to 6 months (3m-6m)
6 months to 1 year (6m-1y)More than 1 year (>1y)
Note: The panel comprised 170 credit institutions.
6.3 MARKET STRUCTURE
31ECB
Euro Money Market SurveySeptember 2011
Table 1 Concentration of unsecured market activity in 2011
(percentages of total)
Lending Borrowing
Top 5 credit institutions 36.9 28.7 Top 10 credit institutions 53.7 43.3 Top 20 credit institutions 71.3 63.9
Table 2 Concentration of secured market activity in 2011
(percentages of total)
Bilateral Bilateral Bilateral Bilateral Triparty Triparty Total Totalreverse repos repos reverse repos, repos, reverse repos repos reverse repos repos
CCP only CCP only
Top 5 credit institutions 45.0 37.5 49.7 45.7 84.5 56.0 43.1 37.6 Top 10 credit institutions 66.2 57.9 71.9 64.8 95.6 79.3 63.4 56.8 Top 20 credit institutions 84.8 81.3 91.5 88.9 100.0 97.5 84.5 81.1
Table 3 Concentration of activity in the OTC derivatives markets and short-term securities in 2011
(percentages of total)
ST-securities OISs Other IRSs FRAs FX swaps Xccy swaps
Top 5 credit institutions 63.9 45.4 61.8 47.4 44.2 55.3 Top 10 credit institutions 80.0 68.4 78.9 72.4 62.5 72.4 Top 20 credit institutions 93.0 88.5 92.4 96.0 83.1 94.0
Note: For Tables 1, 2 and 3 the panel comprised 170 credit institutions.
32ECBEuro Money Market SurveySeptember 2011
Chart 70 Lorenz curve: concentration of activity in various market segments in 2011
(x axis: percentage of market participants; y axis: percentage of activity)
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
100
UnsecuredOvernight index swaps (OISs)Forward rate agreements (FRAs)
Cross-currency swaps (Xccy swaps)SecuredForeign exchange swaps (FX swaps)
Other interest rate swaps (other IRSs)Short-term securities (ST-securities)
0 10 20 30 40 50 60 70 80 90 100
Note: The panel comprised 170 credit institutions.
6.4 QUALITATIVE ASSESSMENT
33ECB
Euro Money Market SurveySeptember 2011
Chart 71 Is the euro market (for the different segments) in
your opinion efficient? (percentages of total)
Chart 72 Has the market liquidity in the euro money
market changed with respect to last year? (percentages of total)
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
100
LimitedlySufficiently
SignificantlyExtremely
UnsecuredRepos
FX swapsFRAs
OISsOther IRSs
Xccy swapsST-securities
OptionsFutures
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
100
Has worsenedHas not changed
Has improved slightlyHas improved significantly
UnsecuredRepos
FX swapsFRAs
OISsOther IRSs
Xccy swapsST-securities
OptionsFutures
Note: The panel comprised 170 credit institutions.
Chart 73 Counterparty structure of various money market
segments in 2011 (percentages of total)
Chart 74 Trading structure of various money market
segments in 2011 (percentages of total)
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
100
NationalEuro area
Other
UnsecuredSecured
FX swapsFRAs
OISsOther IRSs
Xccy swapsST-securities
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
100
Direct tradingVoice broker
Electronic trading
UnsecuredSecured
FX swapsFRAs
OISsOther IRSs
Xccy swapsST-securities
Note: The panel comprised 170 credit institutions.
ANNEX I CREDIT INSTITUTIONS PARTICIPATING IN THE 2011 EURO MONEY MARKET SURVEY
BE Dexia Banque Belgique BE Fortis Banque BE KBC Bank NV BG BNP Paribas S.A. BG DSK Bank BG Eurobank EFG Bulgaria BG United Bulgarian Bank CZ Česká spořitelna, a. s. CZ Československá obchodní banka, a. s. CZ Citibank Europe plc CZ HSBC Bank plc CZ ING Bank N.V. CZ Komerční banka, a. s. CZ The Royal Bank of Scotland N.V. CZ UniCredit Bank Czech Republic a. s. DK Danske Bank A/S DE BayernLB DE BHF-BANK AG DE Commerzbank AG DE DekaBank Deutsche Girozentrale DE Deutsche Bank AG DE Deutsche Postbank AG DE DZ BANK AG DE Hamburger Sparkasse AG DE HSH Nordbank AG DE Landesbank Baden-Württemberg DE Landesbank Berlin AG DE Landesbank Hessen-Thüringen Girozentrale DE Landwirtschaftliche Rentenbank DE SEB AG DE UniCredit Bank AG DE WestLB AG DE WGZ BANK AG IE Allied Irish Banks plc IE DePfa-Bank plc IE Irish Life & Permanent plc IE Rabobank Ireland plc IE The Governor and Company of the Bank of
Ireland IE UniCredit Bank Ireland plc GR Alpha Bank S.A. GR ATE Bank S.A. GR BNP Paribas GR EFG Eurobank Ergasias S.A. GR Emporiki Bank of Greece S.A.
GR HSBC Bank plc GR National Bank of Greece S.A. GR Piraeus Bank S.A. ES Banco Bilbao Vizcaya Argentaria S.A.
(BBVA) ES Banco Cooperativo Español S.A. ES Banco de Sabadell S.A. ES Banco Español de Crédito S.A. ES Banco Pastor S.A. ES Banco Popular Español S.A. ES Banco Santander S.A. ES Bankinter S.A. ES Barclays Bank S.A. ES Caixa d' Estalvis de Catalunya ES Caja de Ahorros del Mediterráneo ES Caja de Ahorros y M.P. de Madrid ES Caja de Ahorros y Pensiones de Barcelona ES Confederación Española de Cajas de
Ahorros ES ING Direct, N.V. S.E FR BNP Paribas FR BPCE FR BRED - Banque Populaire FR Crédit Agricole CIB FR Crédit Agricole S.A. FR Crédit Industriel et Commercial-CIC FR HSBC France FR Natixis FR Société Générale IT Banca IMI Spa IT Banca Monte dei Paschi di Siena Spa IT Banca Nazionale del Lavoro Spa (BNL) IT BNP Paribas S.A. IT Dexia Crediop Spa IT Intesa Sanpaolo Spa IT UniCredit Spa CY Bank of Cyprus Public Company Ltd CY Hellenic Bank Public Company Ltd CY Marfin Popular Bank Public Co Ltd LV AS Citadele banka LV Rietumu Banka LV SEB banka LV Swedbank LT AB bankas SNORAS LT AB SEB bankas LT Akcinė bendrovė Ūkio bankas
ECB
34 Euro Money Market SurveySeptember 2011
LT Swedbank, AB LU Banque et Caisse d'Epargne de l'Etat,
Luxembourg LU KBL European Private Bankers S.A. LU UniCredit Luxembourg S.A. HU ING Bank N.V. Magyarországi Fióktelepe HU K & H Bank Zrt. HU UniCredit Bank Hungary Zrt. MT Bank of Valletta plc MT BAWAG Malta Bank Ltd MT HSBC Bank Malta plc MT Volksbank Malta Ltd NL ABN AMRO Bank N.V. NL Bank Nederlandse Gemeenten N.V. NL Coöperatieve Centrale Raiffeisen-
Boerenleenbank B.A. (Rabobank) NL F. van Lanschot Bankiers N.V. NL ING Bank N.V. NL The Royal Bank of Scotland N.V. AT Allgemeine Sparkasse Oberösterreich Bank
AG AT Erste Group Bank AG AT Oberbank AG AT Österreichische Volksbanken-AG AT Raiffeisen Zentralbank Österreich AG AT Raiffeisenlandesbank Niederösterreich-
Wien AG AT Raiffeisen-Landesbank Steiermark AG AT UniCredit Bank Austria AG PL Bank BPH S.A. PL Bank Handlowy w Warszawie S.A. PL Bank Polska Kasa Opieki S.A. (Bank Pekao
S.A.)PL Bank Zachodni WBK S.A. PL Deutsche Bank Polska S.A. PL Getin Noble Bank S.A. PL ING Bank l ski S.A. PL Invest-Bank S.A. PL Kredyt Bank S.A. PL Powszechna Kasa Oszcz dno ci Bank
Polski S.A. (PKO BP) PL Raiffeisen Bank Polska S.A. PL Societe Generale S.A. Oddzia w Polsce PT Banco BPI SA PT Banco Comercial Português SA PT Banco do Brasil AG - Sucursal em Portugal
PT Banco Espírito Santo SA PT Banco Finantia SA PT Banco Itaú Europa SA PT Banco Santander Totta SA PT BANIF-Banco Internacional do Funchal SA PT Barclays Bank plc PT BPN - Banco Português de Negócios SA PT Caixa Central - Caixa Central de Crédito
Agrícola Mútuo, CRL PT Caixa Económica Montepio Geral PT Caixa Geral de Depósitos SA PT Deutsche Bank (Portugal) SA RO Banca Comerciala Romana S.A. RO BRD - Groupe Societe Generale S.A. RO RBS Bank (Romania) S.A. SI Abanka Vipa D.D. SI Nova Ljubljanska Banka d.d., Ljubljana SI UniCredit Banka Slovenija d.d. SK eskoslovenská obchodná banka, a.s. SK Všeobecná úverová banka, a.s. (VUB) FI Nordea Bank Finland Abp FI Pohjola Pankki Oyj SE Skandinaviska Enskilda Banken AB (publ)
(SEB)SE Svenska Handelsbanken AB (publ) SE Swedbank AB (publ) CH UBS AG GB Abbey National Treasury Services plc GB Banco do Brasil SA GB Banco Espirito Santo SA GB Barclays Bank plc GB BNP Paribas GB Calyon GB Citibank NA GB Credit Suisse GB Deutsche Bank AG GB Goldman Sachs International Bank GB HSBC Bank plc GB JP Morgan Chase Bank GB Lloyds TSB Bank plc GB Merrill Lynch International Bank Limited GB Standard Bank plc GB The Royal Bank of Scotland N.V. GB The Royal Bank of Scotland plc
56
Note: Countries are listed using the alphabetical order of the country names in the national languages.
ECBEuro Money Market Survey 35
September 2011
September 2011
ANNEX II COORDINATION OF THE 2011 ECB EURO MONEY MARKET SURVEY The 2011 ECB Euro Money Market Survey was conducted by a working group comprising staff members from the ECB and NCBs, which reported to the ESCB’s Market Operations Committee.
ECBEuro Money Market Survey 36 September 2011
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