E u ro m o n E y m a r k E t s u rv E y

SEPTEMBER 2010

EURO MONEY MARKET SURVEY
S E P T E M B E R 2010

In 2010 all ECB publications feature a motif taken from the €500 banknote.

© European Central Bank, 2010 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 Telex 411 144 ecb d

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 2010 2 2.1 2.2 2.3 2.4 3 3.1 3.2 3.3 3.4 3.5 3.6 4 4.1 4.2 4.3 5 5.1 5.2 6 6.1 6.2 6.3 6.4 THE UNSECURED MARKET Turnover analysis Maturity analysis Market structure Qualitative assessment THE SECURED MARKET Turnover analysis Maturity analysis Market structure Bilateral repos Triparty repos Qualitative assessment THE OTC DERIVATIVES MARKETS Turnover analysis Maturity analysis Qualitative assessment THE SHORT-TERM SECURITIES MARKET Turnover analysis in the secondary market Qualitative assessment CROSS-MARKET ANALYSIS Turnover analysis Maturity analysis Market structure Qualitative assessment 5 6 6 7 8 9 10 10 11 12 13 13 14 15 15 16 21 27 27 28 29 29 30 31 33

Annexes Annex I Credit institutions participating in the 2010 Euro Money Market Survey 34

Annex II Coordination of the 2010 ECB Euro Money Market Survey 36

ECB Euro Money Market Survey September 2010

3

Abbreviations used in the charts CCP FRAs FX swaps IRSs OISs O/N OTC T/N; Tom/next S/N ST-securities Xccys Central Counterparty Forward rate agreements Foreign exchange swaps Other interest rate swaps Overnight index swaps Overnight Over the counter Tomorrow/next (day) Spot/next (day) Short-term securities Cross-currency swaps

Note: The data represented herein refer to the second quarter of each respective year.

4

ECB Euro Money Market Survey September 2010

COUNTRY BREAKDOWN OF PARTICIPATING BANKS IN 2010
1.1 NUMBER OF PARTICIPATING BANKS PER COUNTRY

1
Number of banks 9 3 4 3 8 1 2 9 17 8 3 6 7 4 3 3 4 6 13 14 3 3 3 15 3 1 17 172

AUSTRIA BELGIUM BULGARIA CYPRUS CZECH REPUBLIC DENMARK FINLAND FRANCE GERMANY GREECE HUNGARY IRELAND ITALY LATVIA LITHUANIA LUXEMBOURG MALTA NETHERLANDS POLAND PORTUGAL ROMANIA SLOVAKIA SLOVENIA SPAIN SWEDEN SWITZERLAND UK TOTAL

Note: A detailed list of participating banks can be found in Annex I.

ECB Euro Money Market Survey September 2010

5

2
300 250 200 150 100 50 0

THE UNSECURED MARKET

2.1 TURNOVER ANALYSIS Chart 1 Average daily turnover in unsecured cash lending and borrowing

(index: cash lending volume in 2002 = 100)

Lending Borrowing 300 250 200 150 100 50 0

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.

6

ECB Euro Money Market Survey September 2010

2.2 MATURITY ANALYSIS Chart 2 Maturity breakdown for average daily turnover in unsecured lending (index: cash lending volume in 2002 = 100)
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)

Chart 3 Maturity breakdown for average daily turnover in unsecured borrowing (index: cash borrowing volume in 2002 = 100)
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)

160 140 120 100 80 60 40 20 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

160 160 140 140 120 120 100 100 80 60 40 20 0 80 60 40 20 0 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

160 140 120 100 80 60 40 20 0

Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.

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)

2009 2010 40 35 30 25 20 15 10 5 0 O/N T/N S/N <1w 1w-1m 1m-3m 3m-6m 6m-1y >1y 40 35 30 25 20 15 10 5 0 40 35 30 25 20 15 10 5 0 O/N

2009 2010 40 35 30 25 20 15 10 5 S/N T/N <1w 1w-1m 1m-3m 3m-6m 6m-1y >1y 0

Note: The panel comprised 172 credit institutions.

ECB Euro Money Market Survey September 2010

7

2.3 MARKET STRUCTURE Chart 6 Geographical counterparty breakdown for unsecured average daily turnover in 2009 (percentages of total) Chart 7 Geographical counterparty breakdown for unsecured average daily turnover in 2010 (percentages of total)

24.0% other 28.6% other 32.1% national 33.7% national

42.3% euro area Note: The panel comprised 172 credit institutions.

39.3% euro area

8

ECB Euro Money Market Survey September 2010

2.4 QUALITATIVE ASSESSMENT 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)
Has worsened Has not changed Has improved slightly Has improved significantly 100

Limitedly Sufficiently 100

Significantly Extremely 100 100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

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)

National Euro area 100

Other

Direct trading Voice broker 100 100

Electronic trading

100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 105 credit institutions.

ECB Euro Money Market Survey September 2010

9

3
3.I
300 250 200 150 100 50 0

THE SECURED MARKET

TURNOVER ANALYSIS

Chart 12 Average daily turnover in secured cash lending and borrowing
(index: cash lending volume in 2002 = 100)

Lending Borrowing 300 250 200 150 100 50 0

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.

10

ECB Euro Money Market Survey September 2010

3.2 MATURITY ANALYSIS Chart 13 Maturity breakdown for average daily turnover in secured lending and borrowing (percentages of total)
Overnight (O/N) Tom/next to 1 month (T/N-1m) 90 80 70 60 50 40 30 20 10 0 2003 2004 2005 2006 2007 2008 2009 2010 90 80 70 60 50 40 30 20 10 0 0 2003 2004 2005 2006 2007 2008 2009 2010 0 1 1 3 3 4 4 5

Chart 14 Maturity breakdown for average daily turnover in secured lending and borrowing (percentages of total)
1 month to 3 months (1m-3m) 3 months to 1 year (3m-1y) More than 1 year (>1y) 5

2

2

Note: The panel comprised 105 credit institutions.

Chart 15 Maturity-weighted breakdown for average daily turnover in secured lending (percentages of total)
2009 2010 35 30 25 20 15 10 5 0 35 30 25 20 15 10 5 0

Chart 16 Maturity-weighted breakdown for average daily turnover in secured borrowing (percentages of total)
2009 2010 35 30 25 20 15 10 5 0 35 30 25 20 15 10 5 0

O/N T/N

S/N <1w

1w-1m 1m-3m

3m-6m 6m-1y

>1y

O/N T/N

S/N <1w

1w-1m 1m-3m

3m-6m 6m-1y

>1y

Note: The panel comprised 172 credit institutions.

ECB Euro Money Market Survey September 2010

11

3.3 MARKET STRUCTURE Chart 17 Geographical collateral breakdown for bilateral repos in 2009 (percentages of total)
4.7% other

Chart 18 Geographical collateral breakdown for bilateral repos in 2010 (percentages of total)
4.2% other

31.7% national 36.2% national

59.1% euro area 64.1% euro area

Note: The panel comprised 172 credit institutions.

Chart 19 Total repo market breakdown
(percentages of total)

Bilateral Triparty repos 100

Bilateral repos, non-CCP transactions only (reporting started in 2009) Bilateral repos, CCP transactions only (reporting started in 2009) 100

80

80

60

60

40

40

20

20

0

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 105 credit institutions.

12

ECB Euro Money Market Survey September 2010

3.4 BILATERAL REPOS Chart 20 Maturity breakdown for average daily turnover in the bilateral repo market
(percentages of total)

2009 non-CCP 2010 non-CCP 50

2009 CCP 2010 CCP 50

40

40

30

30

20

20

10

10

0

O/N

T/N

S/N

<1w

1w-1m

1m-3m

>3m

0

Note: The panel comprised 172 credit institutions.

3.5 TRIPARTY REPOS Chart 21 Maturity breakdown for average daily turnover in the triparty repo market
(percentages of total)

2009 2010 45 40 35 30 25 20 15 10 5 0 O/N T/N S/N <1w 1w-1m 1m-3m >3m 45 40 35 30 25 20 15 10 5 0

Note: The panel comprised 172 credit institutions.

ECB Euro Money Market Survey September 2010

13

3.6 QUALITATIVE ASSESSMENT 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)
Has worsened Has not changed Has improved slightly Has improved significantly 100

Limitedly Sufficiently 100

Significantly Extremely 100 100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

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)

National Euro area 100

Other

Direct trading Voice broker 100 100

Electronic trading

100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 105 credit institutions.

14

ECB Euro Money Market Survey September 2010

THE DERIVATIVES MARKETS
4.I THE OTC DERIVATIVES MARKET: TURNOVER ANALYSIS Chart 26 Average daily turnover in the various OTC derivatives markets
(index: OTC derivatives volume in 2002 = 100)

4
Forward rate agreements (FRAs) 250 200 150 100 50 2006 2007 2008 2009 2010 0

Overnight index swaps (OISs) Foreign exchange swaps (FX swaps) 250

Other interest rate swaps (other IRSs) Cross-currency swaps (Xccy swaps)

200

150

100

50

0

2001

2002

2003

2004

2005

Note: The panel comprised 85 credit institutions in 2001 and 105 credit institutions thereafter.

ECB Euro Money Market Survey September 2010

15

4.2 THE OTC DERIVATIVES MARKET: MATURITY ANALYSIS Chart 27 Average daily turnover in the OIS segment
(index: OIS volume in 2002 = 100)

Up to 1 month (<1m) 1 month to 3 months (1m-3m) 300 250 200 150 100 50 0

3 months to 1 year (3m-1y) More than 1 year (>1y) 300 250 200 150 100 50 0

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.

Chart 28 Maturity-weighted breakdown for average daily turnover in the OIS segment
(percentages of total)

2009 2010 30 25 20 15 10 5 0 30 25 20 15 10 5 0

<1w

1w-1m

1m-3m

3m-6m

6m-1y

>1y

Note: The panel comprised 172 credit institutions.

16

ECB Euro Money Market Survey September 2010

Chart 29 Average daily turnover in the other IRS segment
(index: other IRS volume in 2002 = 100)

Up to 2 years (<2y) 2 years to 5 years (2y-5y) 450 400 350 300 250 200 150 100 50 0 2000 2001 2002

5 years to 10 years (5y-10y) More than 10 years (>10y) 450 400 350 300 250 200 150 100 50 2003 2004 2005 2006 2007 2008 2009 2010 0

Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.

Chart 30 Maturity-weighted breakdown for average daily turnover in the other IRS segment
(percentages of total)

2009 2010 60 50 40 30 20 10 0 60 50 40 30 20 10 0

<1y

1y-2y

2y-5y

5y-10y

>10y

Note: The panel comprised 172 credit institutions.

ECB Euro Money Market Survey September 2010

17

Chart 31 Average daily turnover in the FRA segment
(index: FRA volume in 2002 = 100)

Up to 1 week (<1w) 1 week to 1 month (1w-1m) 450 400 350 300 250 200 150 100 50 0 2001 2002 2003

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) 450 400 350 300 250 200 150 100 50

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 85 credit institutions in 2001 and 105 credit institutions thereafter.

Chart 32 Maturity-weighted breakdown for average daily turnover in the FRA segment
(percentages of total)

2009 2010 60 50 40 30 20 10 0 60 50 40 30 20 10 0

<1w

1w-1m

1m-3m

3m-6m

6m-1y

>1y

Note: The panel comprised 172 credit institutions.

18

ECB Euro Money Market Survey September 2010

Chart 33 Average daily turnover in the FX swap segment
(index: FX swap volume in 2002 = 100)

Up to 1 month (<1m) 1 month to 3 months (1m-3m) 250

3 months to 1 year (3m-1y) More than 1 year (>1y) 250

200

200

150

150

100

100

50

50

0

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.

Chart 34 Maturity-weighted breakdown for average daily turnover in the FX swap segment
(percentages of total)

2009 2010 30 25 20 15 10 5 0 30 25 20 15 10 5 0

O/N

<1w

1w-1m

1m-3m

3m-6m

6m-1y

>1y

Note: The panel comprised 172 credit institutions.

ECB Euro Money Market Survey September 2010

19

Chart 35 Average daily turnover in the Xccy swap segment
(index: Xccy swap volume in 2002 = 100)

Up to 2 years (<2y) 2 years to 5 years (2y-5y) 400 350 300 250 200 150 100 50 0 2000 2001 2002

5 years to 10 years (5y-10y) More than 10 years (>10y) 400 350 300 250 200 150 100 50 2003 2004 2005 2006 2007 2008 2009 2010 0

Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.

Chart 36 Maturity-weighted breakdown for average daily turnover in the Xccy swap segment
(percentages of total)

2009 2010 40 35 30 25 20 15 10 5 0 <1y 1y-2y 2y-5y 5y-10y >10y 40 35 30 25 20 15 10 5 0

Note: The panel comprised 172 credit institutions.

20

ECB Euro Money Market Survey September 2010

4.3 QUALITATIVE ASSESSMENT 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)
Has worsened Has not changed 100 100 Has improved slightly Has improved significantly 100

Limitedly Sufficiently 100

Significantly Extremely

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

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)

National Euro area 100

Other

Direct trading Voice broker 100 100

Electronic trading

100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 105 credit institutions.

ECB Euro Money Market Survey September 2010

21

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)
Has worsened Has not changed Has improved slightly Has improved significantly 100

Limitedly Sufficiently 100

Significantly Extremely 100 100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

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)

National Euro area 100

Other

Direct trading Voice broker 100 100

Electronic trading

100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 105 credit institutions.

22

ECB Euro Money Market Survey September 2010

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)
Has worsened Has not changed 100 100 Has improved slightly Has improved significantly 100

Limitedly Sufficiently 100

Significantly Extremely

80

80

80

80

60

60

60

60

40

40

40

40

20 n.a. 0 2002 2003 2004 2005 2006 2007 2008 2009 2010

20

20 n.a.

20

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

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)

National Euro area 100

Other

Direct trading Voice broker 100 100

Electronic trading

100

80

80

80

80

60

60

60

60

40

40

40

40

20 n.a. 0 2002 2003 2004 2005 2006 2007 2008 2009 2010

20

20 n.a.

20

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 105 credit institutions.

ECB Euro Money Market Survey September 2010

23

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)
Has worsened Has not changed Has improved slightly Has improved significantly 100

Limitedly Sufficiently 100

Significantly Extremely 100 100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

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)

National Euro area 100

Other

Direct trading Voice broker 100 100

Electronic trading

100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 105 credit institutions.

24

ECB Euro Money Market Survey September 2010

Chart 53 Is the Xccy swap segment in your opinion efficient? (percentages of total)
Limitedly Sufficiently 100 Significantly Extremely

Chart 54 Has the market liquidity in the Xccy swap market changed with respect to last year? (percentages of total)
Has worsened Has not changed 100 100 Has improved slightly Has improved significantly 100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

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)

National Euro area 100

Other

Direct trading Voice broker 100 100

Electronic trading

100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 105 credit institutions.

ECB Euro Money Market Survey September 2010

25

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)
Has worsened Has not changed Has improved slightly Has improved significantly 100

Limitedly Sufficiently 100

Significantly Extremely 100 100

80

80

80

80

60

60

60

60

40

40

40

40

20 n.a. 0 2002 n.a. 2003 n.a. 2004 n.a. 2005 2006 2007 2008 2009 2010

20

20 n.a. n.a. 2003 n.a. 2004 n.a. 2005 2006 2007 2008 2009 2010

20

0

0

2002

0

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)

Limitedly Sufficiently 100

Significantly Extremely 100 100

Has worsened Has not changed

Has improved slightly Has improved significantly 100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 105 credit institutions.

26

ECB Euro Money Market Survey September 2010

THE SHORT-TERM SECURITIES MARKET
5.I TURNOVER ANALYSIS IN THE SECONDARY MARKET Chart 61 Average daily turnover in outright transactions
(index: outright transaction volume in 2002 = 100)

5
300 250 200 150 100 50 0 2007 2008 2009 2010

Government issues Credit institution issues 300 250 200 150 100 50 0

Non-credit institution issues

2000

2001

2002

2003

2004

2005

2006

Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.

ECB Euro Money Market Survey September 2010

27

5.2 QUALITATIVE ASSESSMENT Chart 62 Is the short-term securities segment in your opinion efficient? (percentages of total)
Limitedly Sufficiently 100 Significantly Extremely 100 100

Chart 63 Has the market liquidity for short-term securities changed with respect to last year? (percentages of total)
Has worsened Has not changed Has improved slightly Has improved significantly 100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

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)

National Euro area 100

Other

Direct trading Voice broker 100 100

Electronic trading

100

80

80

80

80

60

60

60

60

40

40

40

40

20

20

20

20

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

0

2002

2003

2004

2005

2006

2007

2008

2009

2010

0

Note: The panel comprised 105 credit institutions.

28

ECB Euro Money Market Survey September 2010

CROSS-MARKET ANALYSIS
6.I TURNOVER ANALYSIS Chart 66 Aggregated average daily turnover of the euro money market
(index: aggregated average daily turnover volume in 2002 = 100) Unsecured Secured Overnight index swaps (OISs) 200 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)

6
200 150 100 50 2004 2005 2006 2007 2008 2009 2010 0

150

100

50

0

2000

2001

2002

2003

Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.

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)

Unsecured Secured 250

OISs FX swaps 250 80 70

FRAs Other IRSs

Xccy swaps ST-securities 80 70 60 50 40 30 20 10

200

200 60

150

150

50 40

100

100

30 20

50

50 10

0

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

0

0

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

0

Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.

ECB Euro Money Market Survey September 2010

29

6.2 MATURITY ANALYSIS Chart 69 Maturity breakdown for various money market segments in 2010
(index: unsecured volume = 100)

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)

250

250

200 150 100 50

200 150 100 50

0

Unsecured

Secured

OISs

FX swaps

FRAs

0

Note: The panel comprised 172 credit institutions.

30

ECB Euro Money Market Survey September 2010

6.3 MARKET STRUCTURE Table 1 Concentration of unsecured market activity in 2010
(percentages of total)

Lending Top 5 credit institutions Top 10 credit institutions Top 20 credit institutions 46.0 64.2 77.0

Borrowing 28.5 44.3 63.2

Table 2 Concentration of secured market activity in 2010
(percentages of total)

Bilateral reverse repos Top 5 credit institutions Top 10 credit institutions Top 20 credit institutions 39.9 60.7 85.1

Bilateral repos 36.7 56.9 81.5

Bilateral reverse repos, CCP only 53.7 75.8 96.1

Bilateral repos, CCP only 44.3 67.9 89.7

Triparty reverse repos 72.1 94.4 100.0

Triparty repos 74.6 94.1 99.9

Total reverse repos 38.9 59.4 83.0

Total repos 36.4 55.8 83.1

Table 3 Concentration of activity in the OTC derivatives markets and short-term securities in 2010
(percentages of total)

ST-securities Top 5 credit institutions Top 10 credit institutions Top 20 credit institutions 68.1 81.3 92.7

OISs 43.2 68.3 89.9

Other IRSs 62.8 78.7 91.2

FRAs 49.7 74.7 94.4

FX swaps 45.4 62.3 78.6

Xccy swaps 64.7 80.9 94.6

Note: For Tables 1, 2 and 3 the panel comprised 172 credit institutions.

ECB Euro Money Market Survey September 2010

31

Chart 70 Lorenz curve: concentration of activity in various market segments in 2010
(x axis: percentage of market participants; y axis: percentage of activity) Unsecured Overnight index swaps (OISs) Forward rate agreements (FRAs) 100 Cross-currency swaps (Xccy swaps) Secured Foreign exchange swaps (FX swaps) Other interest rate swaps (other IRSs) Short-term securities (ST-securities) 100

90

90

80

80

70

70

60

60

50

50

40

40

30

30

20

20

10

10

0

0

0

10

20

30

40

50

60

70

80

90

100

Note: The panel comprised 172 credit institutions.

32

ECB Euro Money Market Survey September 2010

6.4 QUALITATIVE ASSESSMENT Chart 71 Is the euro market (for the different segments) in your opinion efficient? (percentages of total)
Limitedly Sufficiently 100 90 80 70 60 50 40 30 20 10 0 Unsecured FX swaps OISs Xccy swaps Options Repos FRAs Other IRSs ST-securities Futures Note: The panel comprised 172 credit institutions. Significantly Extremely 100 100 90 80 70 60 50 40 30 20 10 0 90 80 70 60 50 40 30 20 10 0 Unsecured FX swaps OISs Xccy swaps Options Repos FRAs Other IRSs ST-securities Futures

Chart 72 Has the market liquidity in the euro money market changed with respect to last year? (percentages of total)
Has worsened Has not changed Has improved slightly Has improved significantly 100 90 80 70 60 50 40 30 20 10 0

Chart 73 Counterparty structure of various money market segments in 2010 (percentages of total)
National Euro area 100 90 80 70 60 50 40 30 20 10 0 Unsecured Secured FX swaps FRAs OISs Other

Chart 74 Trading structure of various money market segments in 2010 (percentages of total)
Direct trading Voice broker Electronic trading

100 100 90 80 70 60 50 40 30 20 10 0 Xccy swaps Other IRSs ST-securities 90 80 70 60 50 40 30 20 10 0 Unsecured Secured FX swaps FRAs OISs

100 90 80 70 60 50 40 30 20 10 0 Xccy swaps Other IRSs ST-securities

Note: The panel comprised 172 credit institutions.

ECB Euro Money Market Survey September 2010

33

ANNEX I CREDIT INSTITUTIONS PARTICIPATING IN THE 2010 EURO MONEY MARKET SURVEY
AT AT AT AT AT AT AT AT AT BE BE BE BG BG BG BG CH CY CY CY CZ CZ CZ CZ CZ CZ CZ CZ DE DE DE DE DE DE DE DE DE DE DE DE DE DE DE Allgemeine Sparkasse Oberösterreich Bank AG Erste Group Bank AG Oberbank AG Österreichische Volksbanken-AG Raiffeisen Zentralbank Österreich AG Raiffeisenlandesbank NiederösterreichWien AG Raiffeisen-Landesbank Steiermark AG UniCredit Bank Austria AG UniCredit CAIB AG Dexia Banque Belgique Fortis Banque KBC Bank NV BNP Paribas S.A. DSK Bank Eurobank EFG Bulgaria United Bulgarian Bank UBS AG Bank of Cyprus Public Company Ltd Hellenic Bank Public Company Ltd Marfin Popular Bank Public Co Ltd ABN AMRO Bank N.V. Česká spořitelna, a. s. Československá obchodní banka, a. s. Citibank Europe plc HSBC Bank plc ING Bank N.V. Komerční banka, a. s. UniCredit Bank Czech Republic a. s. Bayerische Landesbank BHF-BANK AG Commerzbank AG DekaBank Deutsche Girozentrale Deutsche Bank AG Deutsche Postbank AG DZ BANK AG Deutsche ZentralGenossenschaftsbank Hamburger Sparkasse AG HSH Nordbank AG Landesbank Baden-Württemberg Landesbank Berlin AG Landesbank Hessen-Thüringen Girozentrale Landwirtschaftliche Rentenbank SEB AG UniCredit Bank AG DE DE DK ES ES ES ES ES ES ES ES ES ES ES ES ES ES ES FI FI FR FR FR FR FR FR FR FR FR GB GB GB GB GB GB GB GB GB GB GB GB GB GB WestLB AG WGZ BANK AG Westdeutsche Genossenschafts-Zentralbank Danske Bank A/S Banco Bilbao Vizcaya Argentaria S.A. (BBVA) Banco Cooperativo Español S.A. Banco de Sabadell S.A. Banco Español de Crédito S.A. Banco Pastor S.A. Banco Popular Español S.A. Banco Santander S.A. Bankinter S.A. Barclays Bank S.A. Caixa d' Estalvis de Catalunya Caja de Ahorros del Mediterráneo Caja de Ahorros y M.P. de Madrid Caja de Ahorros y Pensiones de Barcelona Confederación Española de Cajas de Ahorros ING Direct, N.V. S.E Nordea Bank Finland Abp Pohjola Pankki Oyj BNP Paribas BPCE BRED - Banque Populaire Crédit Agricole CIB Crédit Agricole S.A. Crédit Industriel et Commercial-CIC HSBC France Natixis Société Générale Abbey National Treasury Services plc Banco do Brasil SA Banco Espirito Santo SA Barclays Bank plc BNP Paribas Calyon Citibank NA Credit Suisse Deutsche Bank AG Goldman Sachs International Bank HSBC Bank plc JP Morgan Chase Bank Lloyds TSB Bank plc Merrill Lynch International Bank Limited

34

ECB Euro Money Market Survey September 2010

GB GB GB GR GR GR GR GR GR GR GR HU HU HU IE IE IE IE IE IE IT IT IT IT IT IT IT LT LT LT LU LU LU LV LV LV LV MT MT MT MT NL NL NL NL NL NL PL

Standard Bank plc The Royal Bank of Scotland N.V. The Royal Bank of Scotland plc Alpha Bank S.A. ATE Bank S.A. BNP Paribas EFG Eurobank Ergasias S.A. Emporiki Bank of Greece S.A. HSBC Bank plc National Bank of Greece S.A. Piraeus Bank S.A. ING Bank N.V. Magyarországi Fióktelepe K & H Bank Zrt. UniCredit Bank Hungary Zrt. Allied Irish Banks plc DePfa-Bank plc Irish Life & Permanent plc Rabobank Ireland plc The Governor and Company of the Bank of Ireland UniCredit Bank Ireland plc Banca IMI Spa Banca Monte dei Paschi di Siena Spa Banca Nazionale del Lavoro Spa (BNL) BNP Paribas S.A. Dexia Crediop Spa Intesa Sanpaolo Spa UniCredit Spa AB bankas SNORAS AB SEB bankas Swedbank, AB Banque et Caisse d'Epargne de l'Etat, Luxembourg KBL European Private Bankers S.A. UniCredit Luxembourg S.A. Parex banka Rietumu Banka SEB banka Swedbank Bank of Valletta plc BAWAG Malta Bank Ltd HSBC Bank Malta plc Volksbank Malta Ltd ABN AMRO Bank N.V. Bank Nederlandse Gemeenten N.V. Coöperatieve Centrale RaiffeisenBoerenleenbank B.A. (Rabobank) F. van Lanschot Bankiers N.V. ING Bank N.V. The Royal Bank of Scotland N.V. Bank BPH S.A.

PL PL PL PL PL PL PL PL PL PL PL PL PT PT PT PT PT PT PT PT PT PT PT PT PT PT RO RO RO SE SE SE SI SI SI SK SK SK

Bank Gospodarstwa Krajowego Bank Handlowy w Warszawie S.A. Bank Polska Kasa Opieki S.A. (Bank Pekao S.A.) Bank Zachodni WBK S.A. Deutsche Bank Polska S.A. Getin Noble Bank S.A. ING Bank Śląski S.A. Invest-Bank S.A. Kredyt Bank S.A. Powszechna Kasa Oszczędności Bank Polski S.A. (PKO BP) Raiffeisen Bank Polska S.A. Societe Generale S.A. Oddział w Polsce Banco BPI SA Banco Comercial Português SA Banco do Brasil AG - Sucursal em Portugal Banco Espírito Santo SA Banco Finantia SA Banco Itaú Europa SA Banco Santander Totta SA BANIF-Banco Internacional do Funchal SA Barclays Bank plc BPN - Banco Português de Negócios SA Caixa Central - Caixa Central de Crédito Agrícola Mútuo, CRL Caixa Económica Montepio Geral Caixa Geral de Depósitos SA Deutsche Bank (Portugal) SA Banca Comerciala Romana S.A. BRD - Groupe Societe Generale S.A. RBS Bank (Romania) S.A. Skandinaviska Enskilda Banken AB (publ) (SEB) Svenska Handelsbanken AB (publ) Swedbank AB (publ) Abanka Vipa D.D. Nova Ljubljanska Banka d.d., Ljubljana UniCredit Banka Slovenija d.d. Československá obchodná banka, a.s. Slovenská sporiteľňa, a.s. Všeobecná úverová banka, a.s. (VUB)

ECB Euro Money Market Survey September 2010

35

ANNEX II COORDINATION OF THE 2010 ECB EURO MONEY MARKET SURVEY The 2010 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.

36

ECB Euro Money Market Survey September 2010

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