Euro Money Market Survey November 2007...ECB Euro Money Market Survey 4 November 2007 1 The...
Transcript of Euro Money Market Survey November 2007...ECB Euro Money Market Survey 4 November 2007 1 The...
RUCTURESEURO MONEY MARKET NOVEMBER 2007
S URVEY
In 2007 all ECB publications
feature a motif taken from the €20 banknote.
EURO MONEY MARKET SURVEY
NOVEMBER 20 07
© European Central Bank 2007
AddressKaiserstrasse 2960311 Frankfurt am Main,Germany
Postal addressPostfach 16 03 1960066 Frankfurt am Main,Germany
Telephone+49 69 1344 0
Websitehttp://www.ecb.europa.eu
Fax+49 69 1344 6000
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All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.
ISSN 1830-7000 (online)
ECB Euro Money Market Survey
November 2007 3
CONTENTS
1 The unsecured market 4
1.1 Turnover analysis 4
1.2 Maturity analysis 4
1.3 Market structure 5
2 The secured market 6
2.1 Turnover analysis 6
2.2 Maturity analysis 6
2.3 Market structure 7
2.4 Triparty repos 8
3 The OTC derivatives market 9
3.1 Turnover analysis 9
3.2 Maturity analysis 9
4 The short-term securities market 13
4.1 Turnover analysis in the secondary market 13
5 Cross-market segment analysis 14
5.1 Turnover analysis 14
5.2 Maturity analysis 15
5.3 Market structure
Annexes 18
Annex 1 Euro money market activity in the new EU Member States 18
Annex 2 Banks participating in the 2007 Euro Money Market Survey 20
Note: The data represented herein refer to the second quarter of each respective year. For further technical information please consult
Annex 1 of the Euro Money Market Study 2006, available at http://www.ecb.europa.eu/press/pr/date/2007/html/pr070213.en.html.
15
ECB Euro Money Market Survey November 2007 4
1 The unsecured market
1.1 Turnover analysis
Chart 1 Average daily turnover in unsecured cash borrowing and lending between 2000 and 2007
0
50
100
150
200
250
300
2000 2001 2002 2003 2004 2005 2006 2007
LendingBorrowing
Note: The cash lending volume in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.
1.2 Maturity analysis
Chart 2 Maturity breakdown for unsecured lending and borrowing between 2000 and 2007
Unsecured lending transaction volumes
0
20
40
60
80
100
120
140
2000 2001 2002 2003 2004 2005 2006 2007
Overnight Tom/Next to 1 Month 1 Month to 3 Months3 Months to 1 Year More than 1 Year
Unsecured borrowing transaction volumes
020
4060
80100
120140
160
2000 2001 2002 2003 2004 2005 2006 2007
Overnight Tom/Next to 1 Month 1 Month to 3 Months3 Months to 1 Year More than 1 Year
Note: The cash lending volume in Q2 2002 (left-hand chart) and the cash borrowing volume in Q2 2002 (right-hand chart) are taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.
ECB Euro Money Market Survey
November 2007 5
Chart 3 Maturity breakdown for (maturity-weighted) unsecured lending and borrowing in 2006 and 2007
Unsecured lending transaction volumes
0%
5%
10%
15%
20%
25%
30%
Overnight T/N S/N -1W 1W-1M 1M - 3M 3M-6M 6M-1Y >1 Year
20062007
Unsecured borrowing transaction volumes
0%
5%
10%
15%
20%
25%
Overnight T/N S/N -1W 1W-1M 1M - 3M 3M-6M 6M-1Y >1 Year
20062007
Note: The panel comprised 158 banks. T/N stands for tomorrow/next and S/N for spot/next.
1.3 Market structure
Chart 4 Geographical counterparty breakdown of unsecured transactions
2006 2007
Unsecured counterparties 2006
25%
55%
20%
NationalEuro areaOthers
Unsecured counterparties 2007
28%
50%
22%
NationalEuro areaOthers
Note: The panel comprised 158 banks.
ECB Euro Money Market Survey November 2007 6
2 The secured market
2.1 Turnover analysis
Chart 5 Average daily turnover in secured cash lending and borrowing between 2000 and 2007
0
50
100
150
200
250
300
2000 2001 2002 2003 2004 2005 2006 2007
LendingBorrowing
Note: The secured lending volume in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.
2.2 Maturity analysis
Chart 6 Maturity breakdown for overall secured lending and borrowing activities from 2003 to 2007
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Overnight Tom/Next to 1Month
1 Month to 3Months
3 Months to 1Year
More than 1 Year
2003 2004 2005
2006 2007
Note: The panel comprised 114 banks.
ECB Euro Money Market Survey
November 2007 7
Chart 7 Maturity breakdown for (maturity-weighted) secured lending and borrowing in 2006 and 2007
secured lending transaction volumes
0%
5%
10%
15%
20%
25%
Overnight T/N S/N -1W 1W-1M 1M - 3M 3M-6M 6M-1Y >1 Year
20062007
secured borrowing transaction volumes
0%
5%
10%
15%
20%
25%
Overnight T/N S/N -1W 1W-1M 1M - 3M 3M-6M 6M-1Y >1 Year
20062007
Note: The panel comprised 158 banks. T/N stands for tomorrow/next and S/N for spot/next.
2.3 Market structure
Chart 8 Trading structure breakdown between 2002 and 2007
0%10%20%30%40%50%60%70%80%90%
100%
2002 2003 2004 2005 2006 2007
Direct Voice broker Electronic trading
Note: The panel comprised 114 banks.
Chart 9 Geographical collateral breakdown for bilateral repos in 2006 and 2007
2006 2007
36%
61%
3%
National Euro area Other
35%
60%
5%
National Euro area Other
Note: The panel comprised 158 banks.
ECB Euro Money Market Survey November 2007 8
2.4 Triparty repos
Chart 10 Composition of Total Repo (Lending and Borrowing) from 2003 to 2007
0%
20%
40%
60%
80%
100%
2003 2004 2005 2006 2007
Bilateral Repo Triparty Repo
Note: The panel comprised 114 banks. Base of 100 for each year.
Chart 11 Maturity breakdown for triparty repo transactions in 2006 and 2007
0%
10%
20%
30%
40%
50%
60%
70%
80%
O/N, T/N, S/N < 1W 1W - 1M 1M - 3M > 3M
2006
2007
Note: The panel comprised 158 banks. O/N stands for overnight, T/N for tomorrow/next and S/N for spot/next.
ECB Euro Money Market Survey
November 2007 9
3 The OTC derivatives markets
3.1 Turnover analysis
Chart 12 Developments in the market shares of the various OTC derivatives markets
-
50
100
150
200
250
2001 2002 2003 2004 2005 2006 2007
OIS FX IRS Xccy FRA
Note: The volume for OTC derivatives in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2001 and 114 banks thereafter. OIS stands for overnight indexed swaps, FX for foreign exchange swaps, IRS for interest rate swaps, Xccy for cross-currency swaps and FRA for forward rate agreements.
3.2 Maturity analysis
Chart 13 Developments in the OIS segment between 2000 and 2007
0
50
100
150
200
250
2000 2001 2002 2003 2004 2005 2006 2007
Up to 1 Month 1 Month to 3 Months 3 Months to 1 Year More than 1 Year
Note: The volume of overnight indexed swaps (OIS) in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks from 2002 to 2006.
ECB Euro Money Market Survey November 2007 10
Chart 14 Maturity breakdown (maturity-weighted) in the OIS segment for 2006 and 2007
0%
5%
10%
15%
20%
25%
30%
< 1w 1w-1m 1m -3m 3m -6m 6m -1y >1 Year
2006
2007
Note: The panel comprised 158 banks.
Chart 15 Developments in the other IRS segment between 2000 and 2007
0
50
100
150
200
250
300
350
2000 2001 2002 2003 2004 2005 2006 2007
Up to 2 Years > 2 Years to 5 Years (included) > 5 Years to 10 Years (included) > 10 Years
Note: The interest rate swap (IRS) volume Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks from 2002 to 2006.
Chart 16 Maturity breakdown (maturity-weighted) in the other IRS segment for 2006 and 2007
0%
10%
20%
30%
40%
50%
60%
70%
< 1y 1y-2y 2y-5y 5y-10y +10y
2006
2007
Note: The panel comprised 158 banks.
ECB Euro Money Market Survey
November 2007 11
Chart 17 Developments in the FRA segment between 2001 and 2007
0
20
40
60
80
100
120
140
160
180
2001 2002 2003 2004 2005 2006 2007
< 1 Week > 1 Week to 1 Month > 1 Month to 3 Months> 3 Months to 6 Months > 6 Months to 1 Year > 1 Year
Note: The forward rate agreement (FRA) volume in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2001 and 114 banks thereafter.
Chart 18 Maturity breakdown (maturity-weighted) in the FRA segment for 2006 and 2007
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
< 1w 1w -1m 1m-3m 3m-6m 6m-1y >1 Year
2006
2007
Note: The panel comprised 158 banks.
Chart 19 Developments in the FX swap segment between 2000 and 2007
020
406080
100
120140160
180200
2000 2001 2002 2003 2004 2005 2006 2007
Up to 1 Month 1 Month to 3 Months 3 Months to 1 Year More than 1 Year
Note: The FX swap volume in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.
ECB Euro Money Market Survey November 2007 12
Chart 20 Maturity breakdown (maturity-weighted) in the FX swap segment for 2006 and 2007
0%
5%
10%
15%
20%
25%
30%
ON < 1w 1w-1m 1m-3m 3m-6m 6m-1y >1 Year
2006
2007
Note: The panel comprised 158 banks.
Chart 21 Developments in the cross-currency swap segment between 2000 and 2007
0
50
100
150
200
250
2000 2001 2002 2003 2004 2005 2006 2007
Up to 2 Years > 2 Years to 5 Years (incl.) > 5 Years to 10 Years (incl.) > 10 Years
Note: The cross-currency swap (Xccy) volume in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.
Chart 22 Maturity breakdown (maturity-weighted) in the cross-currency swap segment for 2006 and 2007
0%
10%
20%
30%
40%
50%
60%
70%
< 1y 1y-2y 2y-5y 5y-10y +10y
2006
2007
Note: The panel comprised 158 banks.
ECB Euro Money Market Survey
November 2007 13
4 The short-term securities market
4.1 Turnover analysis in the secondary market
Chart 23 Developments in outright transactions between 2000 and 2007
0
50
100
150
200
250
2000 2001 2002 2003 2004 2005 2006 2007
Government Issues Bank Issues Non-Bank Issues
Note: The volume of outright transactions in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.
ECB Euro Money Market Survey November 2007 14
5 Cross-market segment analysis
5.1 Turnover analysis
Chart 24 Aggregated turnover of the euro money market between 2000 and 2007
0
50
100
150
200
2000 2001 2002 2003 2004 2005 2006 2007
Unsecured Secured OISFX sw aps Other IRS Xccy sw apsFRA Short-term securities
Note: The volume of aggregated euro money market transactions in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.
Chart 25 Average daily turnover in each money market segment between 2000 and 2007
0
50
100
150
200
250
Unsecured Secured OIS FX swaps Other IRS Xccy swaps FRA Short -termsecurit ies
2000 2001 2002 2003 2004 2005 2006 2007
Note: The volume of unsecured transactions in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.
ECB Euro Money Market Survey
November 2007 15
5.2 Maturity analysis
5.3 Market structure
Table 1 Concentration of unsecured market activity in Q2 2007
Lending Borrowing
Top 5 banks 24.2% 30.3% Top 10 banks 37.6% 47.9% Top 20 banks 56.6% 65.5%
Table 2 Concentration of secured market activity in Q2 2007 Bilateral Repo Triparty Repo Total Repo
Rev repo Repo Rev repo Repo Rev repo Repo Top 5 banks 35.8% 37.7% 61.7% 81.7% 32.6% 38.9% Top 10 banks 54.3% 58.1% 89.8% 98.0% 50.9% 60.9% Top 20 banks 80.7% 82.6% 99.7% 100.0% 77.1% 83.6%
Table 3 Concentration of activity in the OTC derivative markets and Short-term Securities in Q2 2007
Short-term
Securities OIS Other IRS FRAs FX swaps Xccy
Top 5 banks 50.2% 36.7% 53.4% 50.5% 44.9% 58.2% Top 10 banks 74.1% 62.3% 72.4% 75.1% 64.9% 75.2% Top 20 banks 91.7% 83.3% 85.9% 93.4% 84.9% 90.0%
Note: Table 1, 2, 3; Panel of 158 banks.
Chart 26 Total unsecured, secured, OIS, FX swaps and FRA turnover for the different maturity bands in 2007
0
25
50
75
100
125
150
175
200
Unsecured Secured OIS FX swaps FRA
Up to 1 week 1 week to 1 month 1 month to 3 months3 months to 6 months 6 months to 1 year More than 1 year
Note: The unsecured volume in Q2 2007 is taken as the base (100). The panel comprised158 banks.
ECB Euro Money Market Survey November 2007 16
Chart 27 Lorenz curves showing the concentration of activity in the different market segments in 2007
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
% of market participants
% o
f act
ivity
Unsecured SecuredOIS F X swapsFRA IRSXccy swaps Short-term securities
Note: Panel of 158 banks.
Chart 28 Geographical counterparty structure of the different market segments in 2006 and 2007
0%
20%
40%
60%
80%
100%
2006
2007
2006
2007
2006
2007
2006
2007
2006
2007
2006
2007
2006
2007
2006
2007
Unsecured Secured FX sw aps FRA OIS IRSXccy
sw apsShort-termsecurities
National Euro area Others
Note: Panel of 158 banks.
ECB Euro Money Market Survey
November 2007 17
Chart 29 Trading structure of the different market segments in 2006 and 2007
0%
20%
40%
60%
80%
100%
2006
2007
2006
2007
2006
2007
2006
2007
2006
2007
2006
2007
2006
2007
2006
2007
Unsecured Secured FX sw aps FRA OIS IRSXccy
sw apsShort-termsecurities
Direct via Voice Broker via Electronic Broker
Note: Panel of 158 banks.
ECB Euro Money Market Survey November 2007 18
Annex 1 Euro money market activity in the new EU Member States1
Chart 1 Market structure
0
20
40
60
80
100
Shor t ter m & Der ivati ves 8.7 2.8 3.3 4.5
FX Swaps 35.5 22.8 21.6 30.9
Secur ed 0.2 0.8 0.5 0.3
Unsecur ed 55.6 73.6 74.65 64.3
2004 2005 2006 2007
Note: Panel of 32 banks. Base of 100 for each year.
Chart 2 The unsecured market
0
20
40
60
80
100
120
140
160
180
2004 2005 2006 2007
Lending
Bor rowing
Note: Panel of 32 banks. Lending in Q2 2004 is the base (100).
Chart 3 Maturity breakdown for unsecured lending and borrowing between 2004 and 2007
Unsecured lending transaction volumes
0
50
100
150
200
2004 2005 2006 2007
Overnight Tom/Next to 1 Month 1 Month to 3 Months3 Months to 1 Year > 1 Year
Unsecured borrowing transaction volumes
0
50
100
150
200
2004 2005 2006 2007
Overnight Tom/Next to 1 Month 1 Month to 3 Months3 Months to 1 Year > 1 Year
Note: Panel of 32 banks. The cash lending volume in Q2 2004 (left-hand chart) and the cash borrowing volume in Q2 2004 (right-hand chart) are taken as the base (100).
1 Chart 1, 2, 3: Panel comprised banks from New Member States as of May 1st 2004; Cyprus, Czech Republic, Hungary, Latvia,
Lithuania, Malta, Poland, Slovenia and Slovakia.
Chart 4: As Charts 1-3, along with banks from Bulgaria.
ECB Euro Money Market Survey
November 2007 19
Chart 4 Maturity breakdown for (maturity-weighted) unsecured lending and borrowing in 2006 and 2007
Unsecured lending transaction volumes
0%
5%
10%
15%
20%
25%
30%
Overnight T/N S/N -1W 1W-1M 1M - 3M 3M-6M 6M-1Y >1 Year
2006
2007
Unsecured borrowing transaction volumes
0%
10%
20%
30%
40%
50%
60%
Overnight T/N S/N -1W 1W-1M 1M - 3M 3M-6M 6M-1Y >1 Year
2006
2007
Note: The panel comprised 39 banks. T/N stands for tomorrow/next and S/N for spot/next.
ECB Euro Money Market Survey November 2007 20
Annex 2 Banks participating in the 2007 Euro Money Market Survey
AT Allgemeine Sparkasse Oberösterreich Bank AG ES Banco Popular Español, S.A.
AT Bank Austria-Creditanstalt AG ES Bankinter, S.A.
AT Erste Bank der oesterr. Sparkassen AG ES Barclays Bank, S.A.
AT Oberbank AG ES Banco Bilbao Vizcaya Argentaria, S.A.
AT Österreichische Volksbanken-AG ES Caixa d' Estalvis de Catalunya
AT Raiffeisen Zentralbank Oesterreich AG ES Caja de Ahorros del Mediterráneo
BE Dexia Banque Belgique ES Caja de Ahorros de Galicia
BE Fortis Banque ES Caja de Ahorros y Monte de Piedad de Madrid
BE KBC Bank NV ES Caja de Ahorros y Pensiones de Barcelona
BG BNP Paribas, Bulgaria ES Confederación Española de Cajas de Ahorros
BG Bulgarian Post Bank ES Banco Santander Central Hispano, S.A.
BG DSK Bank FI OKO Pankki Oyj
BG United Bulgarian Bank FI Sampo Pankki Oyj
CH UBS AG FI Nordea Bank Finland Abp
CY Bank of Cyprus Public Company Ltd FR BNP Paribas
CY Hellenic Bank Public Company Ltd FR BRED
CY Marfin Popular Bank Public Co Ltd FR Calyon
CZ ABN AMRO Bank N. V. FR Crédit Industriel et Commercial - Cic
CZ Česká spořitelna, a. s. FR Crédit Agricole S.a.
CZ Československá obchodní banka, a. s. FR HSBC France
CZ Citibank a. s. FR Ixis corporate & investment bank
CZ HSBC Bank plc - pobočka Praha FR La Banque Postale
CZ HVB Bank Czech Republic a. s. FR Natexis Banques Populaires
CZ ING Bank N. V. FR Société Générale
CZ Komerční banka, a. s. GB Abbey National Treasury Services plc
DE Landesbank Berlin AG GB ABN Amro Bank NV
DE Bayerische Hypo- und Vereinsbank AG GB Barclays Bank plc
DE BayernLB GB BNP Paribas
DE BHF-Bank Aktiengesellschaft GB Citibank NA
DE Commerzbank AG GB Credit Suisse
DE Dekabank -Deutsche Girozentrale- GB Deutsche Bank AG
DE Deutsche Bank AG GB Goldman Sachs International Bank
DE Deutsche Postbank AG GB HBOS Treasury Services plc
DE Dresdner Bank AG GB HSBC Bank plc
DE DZ Bank AG GB JP Morgan Securities Limited
DE HSH Nordbank AG GB Lloyds TSB Bank plc
DE Landesbank Baden-Württemberg GB Royal Bank of Scotland
DE Landesbank Hessen -Thüringen Girozentrale GR HSBC Bank plc
DE Landesbank Sachsen Girozentrale GR Agricultural Bank of Greece, S.A.
DE Landwirtschaftliche Rentenbank GR Alpha Bank, S.A.
DE SEB AG GR BNP Paribas
DE WestLB AG GR EFG Eurobank Ergasias, S.A.
ES Banco de Sabadell, S.A. GR Emporiki Bank of Greece SA.
ES Banco Cooperativo Español, S.A. GR National Bank of Greece, S.A. ES Banco de Crédito Local de España, S.A. GR Piraeus Bank, S.A. ES Banco Pastor, S.A. HU ING Bank (Magyarország) Rt.
ECB Euro Money Market Survey
November 2007 21
HU K&H Bank Nyrt. PT Banco Santander Totta, SA HU Unicredit Bank Hungary Zrt PT Barclays Bank, plc IE Allied Irish Banks plc PT Banco Português de Investimento, SA IE Bank of Ireland PT BPN - Banco Português de Negócios, SA IE DEPFA Bank plc PT Caixa Central de Crédito Agrícola Mútuo, CRL IE Irish Life and Permanent Group Treasury PT Caixa Económica Montepio Geral IE Rabobank Ireland plc PT Caixa Geral de Depósitos, SA IE Ulster Bank Ireland Limited PT Deutsche Bank (Portugal), SA IE UniCredito Italiano Bank (Ireland) plc SE Nordea Bank AB IT Capitalia Spa SE Skandinaviska Enskilda Banken AB IT Banca IMI SE Svenska Handelsbanken AB IT Banca Monte dei Paschi di Siena Spa SE Swedbank AB IT Banca Nazionale del Lavoro Spa SI Abanka Vipa d.d. IT BNP Paribas SA SI Bank Austria Creditanstalt d.d. Ljubljana IT Dexia Crediop Spa SI Nova Ljubljanska Banka d.d., Ljubljana IT Intesa SanPaolo SK Slovenská sporiteľňa, a.s. IT Sanpaolo Imi Spa SK Všeobecná úverová banka, a.s. IT Unicredit Banca Spa LT AB Bankas „Hansabankas” LT AB bankas „Snoras” LT SEB Vilniaus bankas LU Banque et Caisse d'Epargne de l'Etat LU HVB Banque Luxembourg S.A. LU Kredietbank S.A. Luxembourgeoise LV HANSABANKA LV SEB Latvijas Unibanka LV Parex banka LV Rietumu Banka 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 ING Bank N.V. NL Bank Nederlandse Gemeenten N.V. NL Rabobank International Utrecht NL F. van Lanschot Bankiers N.V. PL Bank BPH S.A. PL Bank Zachodni WBK SA PL Bank Handlowy w Warszawie SA PL Deutsche Bank Polska SA PL Kredyt Bank SA PT Banco Bilbao Vizcaya Argentaria (Portugal), SA PT Banco Comercial Português, SA PT Banco do Brasil, SA PT Banco Espírito Santo, SA PT Banco Finantia, SA PT Banco Internacional do Funchal, SA PT Banco Itaú Europa, SA