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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
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purposes is permitted provided that the
source is acknowledged.

ISSN 1830-7000 (online)


CONTENTS

1 COUNTRY BREAKDOWN OF
PARTICIPATING BANKS IN 2010 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 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 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

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

ECB
Euro Money Market Survey
4 September 2010
COUNTRY BREAKDOWN OF PARTICIPATING BANKS
IN 2010

1.1 NUMBER OF PARTICIPATING BANKS PER COUNTRY


1
Number of banks

AUSTRIA 9
BELGIUM 3
BULGARIA 4
CYPRUS 3
CZECH REPUBLIC 8
DENMARK 1
FINLAND 2
FRANCE 9
GERMANY 17
GREECE 8
HUNGARY 3
IRELAND 6
ITALY 7
LATVIA 4
LITHUANIA 3
LUXEMBOURG 3
MALTA 4
NETHERLANDS 6
POLAND 13
PORTUGAL 14
ROMANIA 3
SLOVAKIA 3
SLOVENIA 3
SPAIN 15
SWEDEN 3
SWITZERLAND 1
UK 17

TOTAL 172

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

ECB
Euro Money Market Survey
September 2010 5
22.1 TURNOVER ANALYSIS
THE UNSECURED MARKET

Chart 1 Average daily turnover in unsecured cash lending and borrowing


(index: cash lending volume in 2002 = 100)

Lending
Borrowing

300 300

250 250

200 200

150 150

100 100

50 50

0 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.

ECB
Euro Money Market Survey
6 September 2010
2.2 MATURITY ANALYSIS

Chart 2 Maturity breakdown for average daily turnover Chart 3 Maturity breakdown for average daily turnover
in unsecured lending (index: cash lending volume in 2002 = 100) in unsecured borrowing (index: cash borrowing volume in 2002 = 100)

Overnight (O/N) 3 months to 1 year (3m-1y) Overnight (O/N) 3 months to 1 year (3m-1y)
Tom/next to 1 month (T/N-1m) More than 1 year (>1y) Tom/next to 1 month (T/N-1m) More than 1 year (>1y)
1 month to 3 months (1m-3m) 1 month to 3 months (1m-3m)

160 160 160 160

140 140 140 140

120 120 120 120

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 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 4 Maturity-weighted breakdown for average daily Chart 5 Maturity-weighted breakdown for average daily
turnover in unsecured lending (percentages of total) turnover in unsecured borrowing (percentages of total)

2009 2009
2010 2010

40 40 40 40

35 35 35 35

30 30 30 30

25 25 25 25

20 20 20 20

15 15 15 15

10 10 10 10

5 5 5 5

0 0 0 0
O/N S/N 1w-1m 3m-6m >1y O/N S/N 1w-1m 3m-6m >1y
T/N <1w 1m-3m 6m-1y T/N <1w 1m-3m 6m-1y

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

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

42.3% euro area


39.3% euro area

Note: The panel comprised 172 credit institutions.

ECB
Euro Money Market Survey
8 September 2010
2.4 QUALITATIVE ASSESSMENT

Chart 8 Is the unsecured segment in your opinion efficient? Chart 9 Has the market liquidity in the unsecured market
(percentages of total) changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

Chart 10 Counterparty structure of unsecured transactions Chart 11 Trading structure of unsecured transactions
(percentages of total) (percentages of total)

National Other Direct trading Electronic trading


Euro area Voice broker

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

ECB
Euro Money Market Survey
September 2010 9
33.I TURNOVER ANALYSIS
THE SECURED MARKET

Chart 12 Average daily turnover in secured cash lending and borrowing


(index: cash lending volume in 2002 = 100)

Lending
Borrowing

300 300

250 250

200 200

150 150

100 100

50 50

0 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.

ECB
Euro Money Market Survey
10 September 2010
3.2 MATURITY ANALYSIS

Chart 13 Maturity breakdown for average daily turnover Chart 14 Maturity breakdown for average daily turnover
in secured lending and borrowing (percentages of total) in secured lending and borrowing (percentages of total)

1 month to 3 months (1m-3m)


Overnight (O/N)
3 months to 1 year (3m-1y)
Tom/next to 1 month (T/N-1m)
More than 1 year (>1y)
90 90 5 5

80 80

70 70 4 4

60 60
3 3
50 50

40 40
2 2
30 30

20 20 1 1
10 10

0 0 0 0
2003 2004 2005 2006 2007 2008 2009 2010 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

Chart 15 Maturity-weighted breakdown for average daily Chart 16 Maturity-weighted breakdown for average daily
turnover in secured lending (percentages of total) turnover in secured borrowing (percentages of total)

2009 2009
2010 2010

35 35 35 35

30 30 30 30

25 25 25 25

20 20 20 20

15 15 15 15

10 10 10 10

5 5 5 5

0 0 0 0
O/N S/N 1w-1m 3m-6m >1y O/N S/N 1w-1m 3m-6m >1y
T/N <1w 1m-3m 6m-1y T/N <1w 1m-3m 6m-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 Chart 18 Geographical collateral breakdown


for bilateral repos in 2009 (percentages of total) for bilateral repos in 2010 (percentages of total)
4.7% other 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 Bilateral repos, non-CCP transactions only (reporting started in 2009)


Triparty repos Bilateral repos, CCP transactions only (reporting started in 2009)

100 100

80 80

60 60

40 40

20 20

0 0
2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

ECB
Euro Money Market Survey
12 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 2009 CCP


2010 non-CCP 2010 CCP

50 50

40 40

30 30

20 20

10 10

0 0
O/N T/N S/N <1w 1w-1m 1m-3m >3m

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 45

40 40

35 35

30 30

25 25

20 20

15 15

10 10

5 5

0 0
O/N T/N S/N <1w 1w-1m 1m-3m >3m

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? Chart 23 Has the market liquidity in the secured market
(percentages of total) changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

Chart 24 Counterparty structure of secured transactions Chart 25 Trading structure of secured transactions
(percentages of total) (percentages of total)

National Other Direct trading Electronic trading


Euro area Voice broker

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

ECB
Euro Money Market Survey
14 September 2010
THE DERIVATIVES MARKETS
4.I THE OTC DERIVATIVES MARKET: TURNOVER ANALYSIS

Chart 26 Average daily turnover in the various OTC derivatives markets


4
(index: OTC derivatives volume in 2002 = 100)

Overnight index swaps (OISs) Other interest rate swaps (other IRSs) Forward rate agreements (FRAs)
Foreign exchange swaps (FX swaps) Cross-currency swaps (Xccy swaps)

250 250

200 200

150 150

100 100

50 50

0 0
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

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) 3 months to 1 year (3m-1y)


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

300 300

250 250

200 200

150 150

100 100

50 50

0 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 30

25 25

20 20

15 15

10 10

5 5

0 0
<1w 1w-1m 1m-3m 3m-6m 6m-1y >1y

Note: The panel comprised 172 credit institutions.

ECB
Euro Money Market Survey
16 September 2010
Chart 29 Average daily turnover in the other IRS segment
(index: other IRS volume in 2002 = 100)

Up to 2 years (<2y) 5 years to 10 years (5y-10y)


2 years to 5 years (2y-5y) More than 10 years (>10y)

450 450

400 400

350 350

300 300

250 250

200 200

150 150

100 100

50 50

0 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 30 Maturity-weighted breakdown for average daily turnover in the other IRS segment
(percentages of total)

2009
2010

60 60

50 50

40 40

30 30

20 20

10 10

0 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 month to 3 months (1m-3m) 6 months to 1 year (6m-1y)


1 week to 1 month (1w-1m) 3 months to 6 months (3m-6m) More than 1 year (>1y)

450 450

400 400

350 350

300 300

250 250

200 200

150 150

100 100

50 50

0 0
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

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 60

50 50

40 40

30 30

20 20

10 10

0 0
<1w 1w-1m 1m-3m 3m-6m 6m-1y >1y

Note: The panel comprised 172 credit institutions.

ECB
Euro Money Market Survey
18 September 2010
Chart 33 Average daily turnover in the FX swap segment
(index: FX swap volume in 2002 = 100)

Up to 1 month (<1m) 3 months to 1 year (3m-1y)


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

250 250

200 200

150 150

100 100

50 50

0 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 34 Maturity-weighted breakdown for average daily turnover in the FX swap segment
(percentages of total)

2009
2010

30 30

25 25

20 20

15 15

10 10

5 5

0 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) 5 years to 10 years (5y-10y)


2 years to 5 years (2y-5y) More than 10 years (>10y)

400 400

350 350

300 300

250 250

200 200

150 150

100 100

50 50

0 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 36 Maturity-weighted breakdown for average daily turnover in the Xccy swap segment
(percentages of total)

2009
2010

40 40

35 35

30 30

25 25

20 20

15 15

10 10

5 5

0 0
<1y 1y-2y 2y-5y 5y-10y >10y

Note: The panel comprised 172 credit institutions.

ECB
Euro Money Market Survey
20 September 2010
4.3 QUALITATIVE ASSESSMENT

Chart 37 Is the OIS segment in your opinion efficient? Chart 38 Has the market liquidity in the OIS market
(percentages of total) changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

Chart 39 Counterparty structure of OIS transactions Chart 40 Trading structure of OIS transactions
(percentages of total) (percentages of total)

National Other Direct trading Electronic trading


Euro area Voice broker

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

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? Chart 42 Has the market liquidity in the other IRS market
(percentages of total) changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

Chart 43 Counterparty structure of other IRS transactions Chart 44 Trading structure of other IRS transactions
(percentages of total) (percentages of total)

National Other Direct trading Electronic trading


Euro area Voice broker

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

ECB
Euro Money Market Survey
22 September 2010
Chart 45 Is the FRA segment in your opinion efficient? Chart 46 Has the market liquidity in the FRA market
(percentages of total) changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

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

Note: The panel comprised 105 credit institutions.

Chart 47 Counterparty structure of FRA transactions Chart 48 Trading structure of FRA transactions
(percentages of total) (percentages of total)

National Other Direct trading Electronic trading


Euro area Voice broker

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

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

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? Chart 50 Has the market liquidity in the FX swap market
(percentages of total) changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

Chart 51 Counterparty structure of FX swap transactions Chart 52 Trading structure of FX swap transactions
(percentages of total) (percentages of total)

National Other Direct trading Electronic trading


Euro area Voice broker

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

ECB
Euro Money Market Survey
24 September 2010
Chart 53 Is the Xccy swap segment in your opinion Chart 54 Has the market liquidity in the Xccy swap market
efficient? (percentages of total) changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

Chart 55 Counterparty structure of Xccy swap transactions Chart 56 Trading structure of Xccy swap transactions
(percentages of total) (percentages of total)

National Other Direct trading Electronic trading


Euro area Voice broker

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

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? Chart 58 Has the market liquidity in the options market
(percentages of total) changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a.


0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

Chart 59 Is the futures segment in your opinion efficient? Chart 60 Has the market liquidity in the futures market
(percentages of total) changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

ECB
Euro Money Market Survey
26 September 2010
THE SHORT-TERM SECURITIES MARKET
5.I TURNOVER ANALYSIS IN THE SECONDARY MARKET

Chart 61 Average daily turnover in outright transactions


5
(index: outright transaction volume in 2002 = 100)

Government issues Non-credit institution issues


Credit institution issues

300 300

250 250

200 200

150 150

100 100

50 50

0 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.

ECB
Euro Money Market Survey
September 2010 27
5.2 QUALITATIVE ASSESSMENT

Chart 62 Is the short-term securities segment in your Chart 63 Has the market liquidity for short-term securities
opinion efficient? (percentages of total) changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

Chart 64 Counterparty structure of short-term Chart 65 Trading structure of short-term securities


securities transactions (percentages of total) transactions (percentages of total)

National Other Direct trading Electronic trading


Euro area Voice broker

100 100 100 100

80 80 80 80

60 60 60 60

40 40 40 40

20 20 20 20

0 0 0 0
2002 2003 2004 2005 2006 2007 2008 2009 2010 2002 2003 2004 2005 2006 2007 2008 2009 2010

Note: The panel comprised 105 credit institutions.

ECB
Euro Money Market Survey
28 September 2010
CROSS-MARKET ANALYSIS
6.I TURNOVER ANALYSIS

Chart 66 Aggregated average daily turnover of the euro money market


6
(index: aggregated average daily turnover volume in 2002 = 100)

Unsecured Foreign exchange swaps (FX swaps) Forward rate agreements (FRAs)
Secured Other interest rate swaps (other IRSs) Short-term securities (ST-securities)
Overnight index swaps (OISs) Cross-currency swaps (Xccy swaps)
200 200

150 150

100 100

50 50

0 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 67 Average daily turnover in various money Chart 68 Average daily turnover in various money
market segments (index: unsecured transaction volume in 2002 = 100) market segments (index: unsecured transaction volume in 2002 = 100)

Unsecured OISs FRAs Xccy swaps


Secured FX swaps Other IRSs ST-securities

250 250 80 80

70 70
200 200
60 60

150 150 50 50

40 40
100 100
30 30

20 20
50 50
10 10

0 0 0 0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 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.

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 month to 3 months (1m-3m) 6 months to 1 year (6m-1y)


1 week to 1 month (1w-1m) 3 months to 6 months (3m-6m) More than 1 year (>1y)

250 250

200 200

150 150

100 100

50 50

0 0
Unsecured Secured OISs FX swaps FRAs

Note: The panel comprised 172 credit institutions.

ECB
Euro Money Market Survey
30 September 2010
6.3 MARKET STRUCTURE

Table 1 Concentration of unsecured market activity in 2010


(percentages of total)

Lending Borrowing

Top 5 credit institutions 46.0 28.5


Top 10 credit institutions 64.2 44.3
Top 20 credit institutions 77.0 63.2

Table 2 Concentration of secured market activity in 2010


(percentages of total)

Bilateral Bilateral Bilateral Bilateral Triparty Triparty Total Total


reverse repos repos reverse repos, repos, reverse repos repos reverse repos repos
CCP only CCP only
Top 5 credit institutions 39.9 36.7 53.7 44.3 72.1 74.6 38.9 36.4
Top 10 credit institutions 60.7 56.9 75.8 67.9 94.4 94.1 59.4 55.8
Top 20 credit institutions 85.1 81.5 96.1 89.7 100.0 99.9 83.0 83.1

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

ST-securities OISs Other IRSs FRAs FX swaps Xccy swaps


Top 5 credit institutions 68.1 43.2 62.8 49.7 45.4 64.7
Top 10 credit institutions 81.3 68.3 78.7 74.7 62.3 80.9
Top 20 credit institutions 92.7 89.9 91.2 94.4 78.6 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 Cross-currency swaps (Xccy swaps) Other interest rate swaps (other IRSs)
Overnight index swaps (OISs) Secured Short-term securities (ST-securities)
Forward rate agreements (FRAs) Foreign exchange swaps (FX swaps)
100 100

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.

ECB
Euro Money Market Survey
32 September 2010
6.4 QUALITATIVE ASSESSMENT

Chart 71 Is the euro market (for the different segments) in Chart 72 Has the market liquidity in the euro money
your opinion efficient? (percentages of total) market changed with respect to last year? (percentages of total)

Limitedly Significantly Has worsened Has improved slightly


Sufficiently Extremely Has not changed Has improved significantly

100 100 100 100

90 90 90 90

80 80 80 80

70 70 70 70

60 60 60 60

50 50 50 50

40 40 40 40

30 30 30 30

20 20 20 20

10 10 10 10
0 0 0 0
Unsecured FX swaps OISs Xccy swaps Options Unsecured FX swaps OISs Xccy swaps Options
Repos FRAs Other IRSs ST-securities Futures Repos FRAs Other IRSs ST-securities Futures
Note: The panel comprised 172 credit institutions.

Chart 73 Counterparty structure of various money market Chart 74 Trading structure of various money market
segments in 2010 (percentages of total) segments in 2010 (percentages of total)

National Other Direct trading Electronic trading


Euro area Voice broker

100 100 100 100

90 90 90 90

80 80 80 80

70 70 70 70

60 60 60 60

50 50 50 50

40 40 40 40

30 30 30 30

20 20 20 20

10 10 10 10
0 0 0 0
Unsecured FX swaps OISs Xccy swaps Unsecured FX swaps OISs Xccy swaps
Secured FRAs Other IRSs ST-securities Secured FRAs 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 Allgemeine Sparkasse Oberösterreich Bank DE WestLB AG


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

ECB
Euro Money Market Survey
34 September 2010
GB Standard Bank plc PL Bank Gospodarstwa Krajowego
GB The Royal Bank of Scotland N.V. PL Bank Handlowy w Warszawie S.A.
GB The Royal Bank of Scotland plc PL Bank Polska Kasa Opieki S.A. (Bank Pekao
GR Alpha Bank S.A. S.A.)
GR ATE Bank S.A. PL Bank Zachodni WBK S.A.
GR BNP Paribas PL Deutsche Bank Polska S.A.
GR EFG Eurobank Ergasias S.A. PL Getin Noble Bank S.A.
GR Emporiki Bank of Greece S.A. PL ING Bank Śląski S.A.
GR HSBC Bank plc PL Invest-Bank S.A.
GR National Bank of Greece S.A. PL Kredyt Bank S.A.
GR Piraeus Bank S.A. PL Powszechna Kasa Oszczędności Bank
HU ING Bank N.V. Magyarországi Fióktelepe Polski S.A. (PKO BP)
HU K & H Bank Zrt. PL Raiffeisen Bank Polska S.A.
PL Societe Generale S.A. Oddział w Polsce
HU UniCredit Bank Hungary Zrt.
IE Allied Irish Banks plc PT Banco BPI SA
PT Banco Comercial Português SA
IE DePfa-Bank plc
IE Irish Life & Permanent plc PT Banco do Brasil AG - Sucursal em Portugal
IE Rabobank Ireland plc PT Banco Espírito Santo SA
IE The Governor and Company of the Bank of PT Banco Finantia SA
Ireland PT Banco Itaú Europa SA
IE UniCredit Bank Ireland plc PT Banco Santander Totta SA
IT Banca IMI Spa PT BANIF-Banco Internacional do Funchal SA
IT Banca Monte dei Paschi di Siena Spa PT Barclays Bank plc
IT Banca Nazionale del Lavoro Spa (BNL) PT BPN - Banco Português de Negócios SA
IT BNP Paribas S.A. PT Caixa Central - Caixa Central de Crédito
IT Dexia Crediop Spa Agrícola Mútuo, CRL
IT Intesa Sanpaolo Spa PT Caixa Económica Montepio Geral
PT Caixa Geral de Depósitos SA
IT UniCredit Spa
LT AB bankas SNORAS PT Deutsche Bank (Portugal) SA
LT AB SEB bankas RO Banca Comerciala Romana S.A.
LT Swedbank, AB RO BRD - Groupe Societe Generale S.A.
RO RBS Bank (Romania) S.A.
LU Banque et Caisse d'Epargne de l'Etat,
Luxembourg SE Skandinaviska Enskilda Banken AB (publ)
LU KBL European Private Bankers S.A. (SEB)
LU UniCredit Luxembourg S.A. SE Svenska Handelsbanken AB (publ)
LV Parex banka SE Swedbank AB (publ)
SI Abanka Vipa D.D.
LV Rietumu Banka
LV SEB banka SI Nova Ljubljanska Banka d.d., Ljubljana
SI UniCredit Banka Slovenija d.d.
LV Swedbank
MT Bank of Valletta plc SK Československá obchodná banka, a.s.
MT BAWAG Malta Bank Ltd SK Slovenská sporiteľňa, a.s.
MT HSBC Bank Malta plc SK Všeobecná úverová banka, a.s. (VUB)
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.
PL Bank BPH S.A.

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.

ECB
Euro Money Market Survey
36 September 2010