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Euro monEy markEt survEy
SEPTEMBER 2010
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EURO MONEY MARKET SURVEY
S EPTEMBER
In 2010 all ECBpublications
feature a motiftaken from the
500 banknote.
2010
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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 thesource is acknowledged.
ISSN 1830-7000 (online)
European Central Bank, 2010
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ECB
Euro Money Market SurveySeptember 2010 3
CONTENTS
1 COUNTRY BREAKDOWN OFPARTICIPATING BANKS IN 2010 5
2 THE UNSECURED MARK ET 62.1 Turnover analysis 62.2 Maturity analysis 72.3 Market structure 82.4 Qualitative assessment 93 THE SECURED MARK ET 103.1 Turnover analysis 103.2 Maturity analysis 113.3 Market structure 123.4 Bilateral repos 133.5 Triparty repos 133.6 Qualitative assessment 144 THE OTC DERIVATIVES MARK ETS 154.1 Turnover analysis 154.2 Maturity analysis 164.3 Qualitative assessment 215 THE SHORT-TERM SECURITIES MARKET 275.1 Turnover analysis in the secondary market 275.2 Qualitative assessment 286 CROSS-MARKET ANALYSIS 296.1 Turnover analysis 296.2 Maturity analysis 306.3 Market structure 316.4 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
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Note: The data represented herein refer to the second quarter of each respective year.
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 OvernightOTC Over the counter
T/N; Tom/next Tomorrow/next (day)
S/N Spot/next (day)
ST-securities Short-term securities
Xccys Cross-currency swaps
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IN 2010
1COUNTRY BREAKDOWN OF PARTICIPATING BANKS
5
1.1 NUMBER OF PARTICIPATING BANKS PER COUNTRY
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.
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2THE UNSECURED MARKET
2.1 TURNOVER ANALYSIS
6ECBEuro Money Market SurveySeptember 2010
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
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
50
100
150
200
250
300
Lending
Borrowing
Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.
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2.2 MATURITY ANALYSIS
7
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
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
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
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
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 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)
0
5
10
15
20
25
30
35
40
O/N S/N 1w-1m 3m-6m >1y
T/N 1y
T/N
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2.3 MARKET STRUCTURE
8ECBEuro Money Market SurveySeptember 2010
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)
33.7% national
42.3% euro area
24.0% other
32.1% national
39.3% euro area
28.6% other
Note: The panel comprised 172 credit institutions.
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2.4 QUALITATIVE ASSESSMENT
9
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 20100
20
40
60
80
100
Limitedly
Sufficiently
Significantly
Extremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Has worsened
Has not changed
Has improved slightly
Has 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 20100
20
40
60
80
100
National
Euro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Direct trading
Voice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
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3THE SECURED MARKET
3.I TURNOVER ANALYSIS
10ECBEuro Money Market SurveySeptember 2010
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
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
50
100
150
200
250
300
Lending
Borrowing
Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.
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3.2 MATURITY ANALYSIS
11
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 20100
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 20100
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
30
35
O/N S/N 1w-1m 3m-6m >1y
T/N 1y
T/N
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3.3 MARKET STRUCTURE
12ECBEuro Money Market SurveySeptember 2010
Chart 17 Geographical collateral breakdown
for bilateral repos in 2009 (percentages of total)
Chart 18 Geographical collateral breakdown
for bilateral repos in 2010 (percentages of total)
36.2% national
59.1% euro area
4.7% other
31.7% national
64.1% euro area
4.2% other
Note: The panel comprised 172 credit institutions.
Chart 19 Total repo market breakdown
(percentages of total)
0
20
40
60
80
100
2004 2005 2006 2007 2008 2009 20100
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.
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3.4 BILATERAL REPOS
13
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 3m0
10
20
30
40
50
2009 non-CCP 2009 CCP
2010 non-CCP 2010 CCP
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)
0
5
10
15
20
25
30
35
40
45
O/N T/N S/N 3m0
5
10
15
20
25
30
35
40
45
2009
2010
Note: The panel comprised 172 credit institutions.
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3.6 QUALITATIVE ASSESSMENT
14ECBEuro Money Market SurveySeptember 2010
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 20100
20
40
60
80
100
Limitedly
Sufficiently
Significantly
Extremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Has worsened
Has not changed
Has improved slightly
Has 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 20100
20
40
60
80
100
National
Euro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Direct trading
Voice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
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4THE DERIVATIVES MARKETS4.I THE OTC DERIVATIVES MARKET: TURNOVER ANALYSIS
15
Chart 26 Average daily turnover in the various OTC derivatives markets
(index: OTC derivatives volume in 2002 = 100)
0
50
100
150
200
250
2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
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 85 credit institutions in 2001 and 105 credit institutions thereafter.
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4.2 THE OTC DERIVATIVES MARKET: MATURITY ANALYSIS
16ECBEuro Money Market SurveySeptember 2010
Chart 27 Average daily turnover in the OIS segment
(index: OIS volume in 2002 = 100)
0
50
100
150
200
250
300
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
50
100
150
200
250
300
Up to 1 month (1y)
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)
0
5
10
15
20
25
30
1y0
5
10
15
20
25
30
2009
2010
Note: The panel comprised 172 credit institutions.
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17
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
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
50
100
150
200
250
300
350
400
450
Up to 2 years (10y)
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)
0
10
20
30
40
50
60
10y0
10
20
30
40
50
60
2009
2010
Note: The panel comprised 172 credit institutions.
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18ECBEuro Money Market SurveySeptember 2010
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
2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
50
100
150
200
250
300
350
400
450
Up to 1 week (1y)
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)
0
10
20
30
40
50
60
1y0
10
20
30
40
50
60
2009
2010
Note: The panel comprised 172 credit institutions.
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19
Chart 33 Average daily turnover in the FX swap segment
(index: FX swap volume in 2002 = 100)
0
50
100
150
200
250
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
50
100
150
200
250
Up to 1 month (1y)
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)
0
5
10
15
20
25
30
O/N 1y0
5
10
15
20
25
30
2009
2010
Note: The panel comprised 172 credit institutions.
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20ECBEuro Money Market SurveySeptember 2010
Chart 35 Average daily turnover in the Xccy swap segment
(index: Xccy swap volume in 2002 = 100)
0
50
100
150
200
250
300
350
400
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
50
100
150
200
250
300
350
400
Up to 2 years (10y)
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)
0
5
10
15
20
25
30
35
40
10y0
5
10
15
20
25
30
35
40
2009
2010
Note: The panel comprised 172 credit institutions.
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4.3 QUALITATIVE ASSESSMENT
21
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 20100
20
40
60
80
100
Limitedly
Sufficiently
Significantly
Extremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Has worsened
Has not changed
Has improved slightly
Has 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 20100
20
40
60
80
100
National
Euro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Direct trading
Voice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
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22ECBEuro Money Market SurveySeptember 2010
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 20100
20
40
60
80
100
Limitedly
Sufficiently
Significantly
Extremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Has worsened
Has not changed
Has improved slightly
Has 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 20100
20
40
60
80
100
National
Euro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Direct trading
Voice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
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23
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 20100
20
40
60
80
100
Limitedly
Sufficiently
Significantly
Extremely
n.a.0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Has worsened
Has not changed
Has improved slightly
Has 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 20100
20
40
60
80
100
National
Euro area
Other
n.a.0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Direct trading
Voice broker
Electronic trading
n.a.
Note: The panel comprised 105 credit institutions.
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24ECBEuro Money Market SurveySeptember 2010
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 20100
20
40
60
80
100
Limitedly
Sufficiently
Significantly
Extremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Has worsened
Has not changed
Has improved slightly
Has 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 20100
20
40
60
80
100
National
Euro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Direct trading
Voice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
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25
Chart 53 Is the Xccy swap segment in your opinionefficient? (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 20100
20
40
60
80
100
Limitedly
Sufficiently
Significantly
Extremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Has worsened
Has not changed
Has improved slightly
Has 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 20100
20
40
60
80
100
National
Euro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Direct trading
Voice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
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26ECBEuro Money Market SurveySeptember 2010
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 20100
20
40
60
80
100
Limitedly
Sufficiently
Significantly
Extremely
n.a. n.a. n.a. n.a.0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Has worsened
Has not changed
Has improved slightly
Has 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 20100
20
40
60
80
100
Limitedly
Sufficiently
Significantly
Extremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Has worsened
Has not changed
Has improved slightly
Has improved significantly
Note: The panel comprised 105 credit institutions.
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5THE SHORT-TERM SECURITIES MARKET5.I TURNOVER ANALYSIS IN THE SECONDARY MARKET
27
Chart 61 Average daily turnover in outright transactions
(index: outright transaction volume in 2002 = 100)
0
50
100
150
200
250
300
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
50
100
150
200
250
300
Government issues
Credit institution issues
Non-credit institution issues
Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.
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5.2 QUALITATIVE ASSESSMENT
28ECBEuro Money Market SurveySeptember 2010
Chart 62 Is the short-term securities segment in youropinion 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 20100
20
40
60
80
100
Limitedly
Sufficiently
Significantly
Extremely
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Has worsened
Has not changed
Has improved slightly
Has improved significantly
Note: The panel comprised 105 credit institutions.
Chart 64 Counterparty structure of short-termsecurities 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 20100
20
40
60
80
100
National
Euro area
Other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 20100
20
40
60
80
100
Direct trading
Voice broker
Electronic trading
Note: The panel comprised 105 credit institutions.
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6CROSS-MARKET ANALYSIS6.I TURNOVER ANALYSIS
29
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
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
50
100
150
200
Unsecured
Secured
Overnight 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 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)
0
50
100
150
200
250
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
50
100
150
200
250
Unsecured
Secured
OISs
FX swaps
0
10
20
30
40
50
60
70
80
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 20100
10
20
30
40
50
60
70
80
FRAs
Other IRSs
Xccy swaps
ST-securities
Note: The panel comprised 85 credit institutions in 2000 and 2001 and 105 credit institutions thereafter.
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6.2 MATURITY ANALYSIS
30ECBEuro Money Market SurveySeptember 2010
Chart 69 Maturity breakdown for various money market segments in 2010
(index: unsecured volume = 100)
0
50
100
150
200
250
Unsecured Secured OISs FX swaps FRAs0
50
100
150
200
250
Up to 1 week (1y)
Note: The panel comprised 172 credit institutions.
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6.3 MARKET STRUCTURE
31
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.
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32ECBEuro Money Market SurveySeptember 2010
Chart 70 Lorenz curve: concentration of activity in various market segments in 2010
(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
Unsecured
Overnight index swaps (OISs)
Forward rate agreements (FRAs)
Cross-currency swaps (Xccy swaps)
Secured
Foreign 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 172 credit institutions.
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6.4 QUALITATIVE ASSESSMENT
33
Chart 71 Is the euro market (for the different segments) inyour 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
Limitedly
Sufficiently
Significantly
Extremely
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 worsened
Has not changed
Has improved slightly
Has improved significantly
UnsecuredRepos
FX swapsFRAs
OISsOther IRSs
Xccy swapsST-securities
OptionsFutures
Note: The panel comprised 172 credit institutions.
Chart 73 Counterparty structure of various money marketsegments in 2010 (percentages of total)
Chart 74 Trading structure of various money market
segments in 2010 (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
National
Euro 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 trading
Voice broker
Electronic trading
UnsecuredSecured
FX swapsFRAs
OISsOther IRSs
Xccy swapsST-securities
Note: The panel comprised 172 credit institutions.
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ANNEX I
CREDIT INSTITUTIONS PARTICIPATING IN THE 2010 EURO MONEY MARKET
SURVEY
AT Allgemeine Sparkasse Obersterreich BankAG
AT Erste Group Bank AGAT Oberbank AGAT sterreichische Volksbanken-AGAT Raiffeisen Zentralbank sterreich AGAT Raiffeisenlandesbank Niedersterreich-
Wien AGAT Raiffeisen-Landesbank Steiermark AGAT UniCredit Bank Austria AG
AT UniCredit CAIB AGBE Dexia Banque BelgiqueBE Fortis BanqueBE KBC Bank NVBG BNP Paribas S.A.BG DSK BankBG Eurobank EFG BulgariaBG United Bulgarian BankCH UBS AGCY Bank of Cyprus Public Company LtdCY Hellenic Bank Public Company LtdCY Marfin Popular Bank Public Co Ltd
CZ ABN AMRO Bank N.V.CZ esk spoitelna, a. s.CZ eskoslovensk obchodn banka, a. s.CZ Citibank Europe plcCZ HSBC Bank plcCZ ING Bank N.V.CZ Komern banka, a. s.CZ UniCredit Bank Czech Republic a. s.DE Bayerische LandesbankDE BHF-BANK AGDE Commerzbank AGDE DekaBank Deutsche Girozentrale
DE Deutsche Bank AGDE Deutsche Postbank AGDE DZ BANK AG Deutsche Zentral-
GenossenschaftsbankDE Hamburger Sparkasse AGDE HSH Nordbank AGDE Landesbank Baden-WrttembergDE Landesbank Berlin AGDE Landesbank Hessen-Thringen GirozentraleDE Landwirtschaftliche RentenbankDE SEB AGDE UniCredit Bank AG
DE WestLB AGDE WGZ BANK AG Westdeutsche
Genossenschafts-ZentralbankDK Danske Bank A/SES Banco Bilbao Vizcaya Argentaria S.A.
(BBVA)ES Banco Cooperativo Espaol S.A.ES Banco de Sabadell S.A.ES Banco Espaol de Crdito S.A.ES Banco Pastor S.A.
ES Banco Popular Espaol S.A.ES Banco Santander S.A.ES Bankinter S.A.ES Barclays Bank S.A.ES Caixa d' Estalvis de CatalunyaES Caja de Ahorros del MediterrneoES Caja de Ahorros y M.P. de MadridES Caja de Ahorros y Pensiones de BarcelonaES Confederacin Espaola de Cajas de
AhorrosES ING Direct, N.V. S.EFI Nordea Bank Finland Abp
FI Pohjola Pankki OyjFR BNP ParibasFR BPCEFR BRED - Banque PopulaireFR Crdit Agricole CIBFR Crdit Agricole S.A.FR Crdit Industriel et Commercial-CICFR HSBC FranceFR NatixisFR Socit GnraleGB Abbey National Treasury Services plcGB Banco do Brasil SA
GB Banco Espirito Santo SAGB Barclays Bank plcGB BNP ParibasGB CalyonGB Citibank NAGB Credit SuisseGB Deutsche Bank AGGB Goldman Sachs International BankGB HSBC Bank plcGB JP Morgan Chase BankGB Lloyds TSB Bank plcGB Merrill Lynch International Bank Limited
ECB
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GB Standard Bank plcGB The Royal Bank of Scotland N.V.GB The Royal Bank of Scotland plc
GR Alpha Bank S.A.GR ATE Bank S.A.GR BNP ParibasGR EFG Eurobank Ergasias S.A.GR Emporiki Bank of Greece S.A.GR HSBC Bank plcGR National Bank of Greece S.A.GR Piraeus Bank S.A.HU ING Bank N.V. Magyarorszgi FiktelepeHU K & H Bank Zrt.HU UniCredit Bank Hungary Zrt.IE Allied Irish Banks plc
IE DePfa-Bank plcIE Irish Life & Permanent plcIE Rabobank Ireland plcIE The Governor and Company of the Bank of
IrelandIE UniCredit Bank Ireland plcIT Banca IMI SpaIT Banca Monte dei Paschi di Siena SpaIT Banca Nazionale del Lavoro Spa (BNL)IT BNP Paribas S.A.IT Dexia Crediop SpaIT Intesa Sanpaolo Spa
IT UniCredit SpaLT AB bankas SNORASLT AB SEB bankasLT Swedbank, ABLU Banque et Caisse d'Epargne de l'Etat,
LuxembourgLU KBL European Private Bankers S.A.LU UniCredit Luxembourg S.A.LV Parex bankaLV Rietumu BankaLV SEB bankaLV Swedbank
MT Bank of Valletta plcMT BAWAG Malta Bank LtdMT HSBC Bank Malta plcMT Volksbank Malta LtdNL ABN AMRO Bank N.V.NL Bank Nederlandse Gemeenten N.V.NL Coperatieve 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.
PL Bank Gospodarstwa KrajowegoPL 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 lski S.A.PL Invest-Bank S.A.PL Kredyt Bank S.A.PL Powszechna Kasa Oszczdnoci Bank
Polski S.A. (PKO BP)PL Raiffeisen Bank Polska S.A.PL Societe Generale S.A. Oddzia w PolscePT Banco BPI SA
PT Banco Comercial Portugus SAPT Banco do Brasil AG - Sucursal em PortugalPT Banco Esprito Santo SAPT Banco Finantia SAPT Banco Ita Europa SAPT Banco Santander Totta SAPT BANIF-Banco Internacional do Funchal SAPT Barclays Bank plcPT BPN - Banco Portugus de Negcios SAPT Caixa Central - Caixa Central de Crdito
Agrcola Mtuo, CRLPT Caixa Econmica Montepio GeralPT Caixa Geral de Depsitos SAPT Deutsche Bank (Portugal) SARO Banca Comerciala Romana S.A.RO BRD - Groupe Societe Generale S.A.RO RBS Bank (Romania) S.A.SE Skandinaviska Enskilda Banken AB (publ)
(SEB)SE Svenska Handelsbanken AB (publ)SE Swedbank AB (publ)SI Abanka Vipa D.D.SI Nova Ljubljanska Banka d.d., LjubljanaSI UniCredit Banka Slovenija d.d.SK eskoslovensk obchodn banka, a.s.
SK Slovensk sporitea, a.s.SK Veobecn verov banka, a.s. (VUB)
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ANNEX I I
COORDINATION OF THE 2010 ECB EURO MONEY MARK ET SURVEY
The 2010 ECB Euro Money Market Survey was conducted by a working group comprisingstaff members from the ECB and NCBs, which reported to the ESCBs Market OperationsCommittee.
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