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EURO MONEY MARKET SURVEYNOVEMbER 2013
EURO MONEY MARKET SURVEYNOVEMbER 2013
In 2013 all ECB publications
feature a motif taken from the
€5 banknote.
© European Central Bank, 2013
Address Kaiserstrasse 29 60311 Frankfurt am Main Germany
Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany
Telephone +49 69 1344 0
Website http://www.ecb.europa.eu
Fax +49 69 1344 6000
All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.
ISBN 978-92-899-1026-2 (online)ISSN 1830-7000 (online)EU catalogue number QB-YE-13-001-EN-N (online)
3ECB
Euro Money Market SurveyNovember 2013
CONTENTS 1 bREAKDOWN, bY COUNTRY, OF PARTICIPATING bANKS IN 2013 5
2 SUMMARY OF CROSS-MARKET ANALYSIS 62.1 Turnover analysis 62.2 Maturity analysis 82.3 Market structure 92.4 Qualitative assessment and development of the market structure 112.5 Perception of trading changes caused by changes to the risk limits in the reporting period 12
3 THE UNSECURED MARKET 133.1 Turnover analysis 133.2 Maturity analysis 143.3 Market structure 163.4 Qualitative assessment and development of the market structure 17
4 THE SECURED MARKET 184.1 Total secured market: turnover analysis 184.2 Total secured market: maturity analysis 194.3 Total secured market: market structure 214.4 Bilateral repos, including central counterparty (CCP) transactions: turnover analysis 224.5 Bilateral repos, including central counterparty (CCP) transactions: maturity analysis 244.6 Bilateral repos, including central counterparty (CCP) transactions: market structure 264.7 Triparty repos: turnover analysis 274.8 Triparty repos: maturity analysis 284.9 Total secured market: qualitative assessment and development of the market structure 30
5 THE SHORT-TERM SECURITIES MARKET5.1 Turnover analysis in the secondary market 315.2 Qualitative assessment and development of the market structure 32
6 THE OVER-THE-COUNTER DERIVATIVES MARKET6.1 Over-the-counter (OTC) derivatives: turnover analysis 336.2 Overnight index swaps (OISs): turnover analysis 346.3 Overnight index swaps (OISs): qualitative assessment and development of the market structure 366.4 Other interest rate swaps (IRSs): turnover analysis 376.5 Other interest rate swaps (IRSs): qualitative assessment and development of the market structure 396.6 Forward rate agreements (FRAs): turnover analysis 406.7 Forward rate agreements (FRAs): qualitative assessment and development of the market structure 426.8 Foreign exchange (FX) swaps and forwards: turnover analysis 436.9 Foreign exchange (FX) swaps and forwards: qualitative assessment and development of the market structure 466.10 Cross-currency swaps (Xccy swaps): turnover analysis 476.11 Cross-currency swaps (Xccy swaps): qualitative assessment and development of the market structure 496.12 Options and futures: qualitative assessment and development of the market structure 50
ANNExESAnnex I Credit institutions participating in the ECB’s 2013 Euro Money Market Survey 51Annex II Coordination of the ECB’s 2013 Euro Money Market Survey 53
4ECBEuro Money Market SurveyNovember 2013
COUNTRIESBE BelgiumBG BulgariaCZ Czech RepublicDK DenmarkDE GermanyEE EstoniaIE IrelandGR GreeceES SpainFR FranceIT ItalyCY CyprusLV LatviaLT Lithuania
AbbREV IAT IONS
LU LuxembourgHU HungaryMT MaltaNL NetherlandsAT AustriaPL PolandPT PortugalRO RomaniaSI SloveniaSK Slovakia FI FinlandSE SwedenUK United KingdomCH Switzerland
OTHERSCCP central counterpartyFRAs forward rate agreementsFX swaps foreign exchange swapsOther IRSs other interest rate swapsOISs overnight index swapsO/N overnightOTC over the counterT/N tomorrow/next (day)S/N spot/next (day)ST securities short-term securitiesXccy swaps cross-currency swaps
Note: The data represented herein refer to the second quarter of the respective year.
5ECB
Euro Money Market SurveyNovember 2013
BANKS IN 2013 1BREAKDOWN BY COUNTRY OF PARTICIPATING
5ECB
Euro Money Market SurveyNovember 2013
1.1 NUMBER OF PARTICIPATING BANKS PER COUNTRY
Number of banks
BELGIUM 3
BULGARIA 4
CZECH REPUBLIC 8
DENMARK 1
GERMANY 16
ESTONIA 3
IRELAND 6
GREECE 5
SPAIN 11
FRANCE 9
ITALY 8
CYPRUS 2
LATVIA 3
LITHUANIA 3
LUXEMBOURG 2
HUNGARY 3
MALTA 5
NETHERLANDS 5
AUSTRIA 8
POLAND 11
PORTUGAL 14
ROMANIA 3
SLOVENIA 3
SLOVAKIA 2
FINLAND 2
SWEDEN 3
UNITED KINGDOM 16
SWITZERLAND 2
TOTAL 161
Note: A detailed list of participating banks can be found in Annex I. Countries are listed in Protocol order, i.e. the alphabetical order of the country names in the respective national language.
6ECBEuro Money Market SurveyNovember 2013
2 SUMMARY OF CROSS-MARKET ANALYSIS
2.1 TURNOVER ANALYSIS
6ECBEuro Money Market SurveyNovember 2013
Chart 1 Cumulative quarterly turnover in the euro money market
(EUR trillion)
0
10
20
30
40
50
60
70
80
90
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
10
20
30
40
50
60
70
80
90
unsecuredsecured
OISsFX swaps
other IRSsXccy swaps
FRAsST securities
Note: The panel comprised 104 credit institutions.
Chart 2 Cross-segment breakdown of cumulative quarterly turnover in the euro money market
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
unsecuredsecured
OISsFX swaps
other IRSsXccy swaps
FRAsST securities
Note: The panel comprised 104 credit institutions.
7ECB
Euro Money Market SurveyNovember 2013 7
ECBEuro Money Market Survey
November 2013
Chart 3 Cumulative quarterly turnover in various money market segments
(index: total segment volume in 2003 = 100)
0
50
100
150
200
250
300
350
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
250
300
350
unsecured secured ST securities FX swaps
Note: The panel comprised 104 credit institutions.
Chart 4 Cumulative quarterly turnover in various money market segments
(index: total segment volume in 2003 = 100)
0
50
100
150
200
250
300
350
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
250
300
350
other IRSs Xccy swaps FRAs OISs
Note: The panel comprised 104 credit institutions.
8ECBEuro Money Market SurveyNovember 2013
2.2 MATURITY ANALYSIS
8ECBEuro Money Market SurveyNovember 2013
Chart 5 Maturity breakdown for various money market
segments in 2012 (percentages of total)
Chart 6 Maturity breakdown for various money market
segments in 2013 (percentages of total)
0
20
40
60
80
100
Unsecured OISs FRAsSecured FX swaps
0
20
40
60
80
100
up to 1 week1 week to 1 month
1 month to 3 months 3 to 6 months
6 months to 1 yearmore than 1 year
0
20
40
60
80
100
Unsecured OISs FRAsSecured FX swaps
0
20
40
60
80
100
up to 1 week1 week to 1 month
1 month to 3 months 3 to 6 months
6 months to 1 yearmore than 1 year
Note: The panel comprised 161 credit institutions.
Chart 7 Maturity breakdown for various money market
segments in 2012 (percentages of total)
Chart 8 Maturity breakdown for various money market
segments in 2013 (percentages of total)
0
20
40
60
80
100
Other IRS Xccy0
20
40
60
80
100
up to 1 year1 to 2 years
1 to 5 years 5 to 10 years
more than 10 years
0
20
40
60
80
100
Other IRS Xccy0
20
40
60
80
100
up to 1 year1 to 2 years
1 to 5 years 5 to 10 years
more than 10 years
Note: The panel comprised 161 credit institutions.
9ECB
Euro Money Market SurveyNovember 2013
2.3 MARKET STRUCTURE
9ECB
Euro Money Market SurveyNovember 2013
Table 1 Concentration of unsecured market activity in 2013
(percentages of total)
Lending Borrowing
Top 5 credit institutions 56.5 43.3 Top 10 credit institutions 73.2 61.6 Top 20 credit institutions 86.3 80.3
Table 2 Concentration of secured market activity in 2013
(percentages of total)
Bilateral Bilateral Bilateral Bilateral Triparty Triparty Total Totalreverse repos repos reverse repos, repos, reverse repos repos reverse repos repos
CCP only CCP only
Top 5 credit institutions 40.7 34.3 41.4 41.7 79.1 64.4 39.9 36.1 Top 10 credit institutions 63.2 56.2 66.7 66.9 94.6 87.7 62.1 57.3 Top 20 credit institutions 89.0 80.7 91.2 88.4 100.0 99.1 88.2 82.4
Table 3 Concentration of activity in OTC derivatives and short-term securities in 2013
(percentages of total)
ST securities OISs Other IRSs FRAs FX swaps Xccy swaps
Top 5 credit institutions 52.5 48.3 78.6 65.7 42.7 76.1 Top 10 credit institutions 74.3 75.8 91.9 84.7 63.9 88.6 Top 20 credit institutions 90.0 94.1 97.3 98.0 83.4 96.9
Note: For Tables 1, 2 and 3, the panel comprised 161 credit institutions.
10ECBEuro Money Market SurveyNovember 2013 10ECBEuro Money Market SurveyNovember 2013
Chart 9 Lorenz curve: concentration of activity in various market segments in 2013
(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
unsecuredOISs
FRAsXccy swaps
securedFX swaps
other IRSsST securities
0 10 20 30 40 50 60 70 80 90 100
Note: The panel comprised 161 credit institutions.
11ECB
Euro Money Market SurveyNovember 2013
2.4 QUALITATIVE ASSESSMENT AND DEVELOPMENT OF THE MONEY MARKET STRUCTURE
11ECB
Euro Money Market SurveyNovember 2013
Chart 10 Is the euro money market (i.e. the different
segments) efficient? (percentages of total)
Chart 11 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
not efficientlimitedly efficient
sufficiently efficientsignificantly efficientextremely efficient
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 significantlyhas worsened slightly
has not changedhas improved slightlyhas improved significantly
UnsecuredRepos
FX swapsFRAs
OISsOther IRSs
Xccy swapsST securities
OptionsFutures
Note: The panel comprised 161 credit institutions.
Chart 12 Counterparty structure of various money market
segments in 2013 (percentages of total)
Chart 13 Trading structure of various money market
segments in 2013 (percentages of total)
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
100
nationaleuro area
other
UnsecuredSecured
FX swapsFRAs
OISsOther IRSs
Xccy swapsST securities
0
10
20
30
40
50
60
70
80
90
100
0
10
20
30
40
50
60
70
80
90
100
direct tradingvoice broker
electronic trading
UnsecuredSecured
FX swapsFRAs
OISsOther IRSs
Xccy swapsST securities
Note: The panel comprised 161 credit institutions.
12ECBEuro Money Market SurveyNovember 2013
2.5 PERCEPTION OF TRADING CHANGES CAUSED BY CHANGES TO THE RISK LIMITS IN THE REPORTING PERIOD
12ECBEuro Money Market SurveyNovember 2013
Table 4 Perceived impact of limit changes on turnover
(number of banks)
2012 2013
Will Will Will No opinion Total Will Will Will No opinion Totalcontract not change expand contract not change expand
Contracted 36 34 0 0 70 23 16 2 0 41 Has not changed 4 67 3 0 74 8 94 3 3 108 Expanded 1 3 2 0 6 2 4 4 0 10 No opinion 0 0 0 11 11 0 0 0 2 2
Total 41 104 5 11 161 33 114 9 5 161
Table 5 Perceived impact of limit changes on turnover
(percentages of turnover reported)
2012 2013
Will Will Will No opinion Total Will Will Will No opinion Totalcontract not change expand contract not change expand
Contracted 17.6 10.0 0.0 0.0 27.6 7.8 6.4 0.3 0.0 14.5 Has not changed 16.2 38.0 3.3 0.0 57.5 14.2 55.9 0.1 5.9 76.2 Expanded 0.0 1.2 0.0 0.0 1.2 7.7 0.1 1.6 0.0 9.3 No opinion 0.0 0.0 0.0 13.7 13.7 0.0 0.0 0.0 0.0 0.0
Total 33.8 49.2 3.3 13.7 100.0 29.7 62.4 2.0 5.9 100.0
Table 6 Perceived impact of limit changes on the number of participants
(number of banks)
2012 2013
Will Will Will No opinion Total Will Will Will No opinion Totalcontract not change expand contract not change expand
Contracted 48 46 0 0 94 30 21 2 0 53 Has not changed 2 48 4 0 54 4 84 4 3 95 Expanded 0 0 2 0 2 2 4 4 0 10 No opinion 0 0 0 11 11 0 0 0 3 3
Total 50 94 6 11 161 36 109 10 6 161
Table 7 Perceived impact of limit changes on the number of participants
(percentages of turnover reported)
2012 2013
Will Will Will No opinion Total Will Will Will No opinion Totalcontract not change expand contract not change expand
Contracted 31.4 13.2 0.0 0.0 44.6 25.2 5.0 0.3 0.0 30.5 Has not changed 0.4 38.0 3.3 0.0 41.7 0.2 50.5 0.1 5.9 56.7 Expanded 0.0 0.0 0.0 0.0 0.0 7.7 3.5 1.6 0.0 12.7 No opinion 0.0 0.0 0.0 13.7 13.7 0.0 0.0 0.0 0.0 0.0
Total 31.8 51.2 3.3 13.7 100.0 33.1 58.9 2.0 5.9 100.0
13ECB
Euro Money Market SurveyNovember 2013
3THE UNSECURED MARKET
3.1 TURNOVER ANALYSIS
13ECB
Euro Money Market SurveyNovember 2013
Chart 14 Cumulative quarterly turnover in unsecured cash lending and borrowing
(index: cash lending volume in 2003 = 100)
0
50
100
150
200
250
300
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
250
300
lendingborrowing
Note: The panel comprised 104 credit institutions.
14ECBEuro Money Market SurveyNovember 2013
3.2 MATURITY ANALYSIS
14ECBEuro Money Market SurveyNovember 2013
Chart 15 Maturity breakdown for cumulative quarterly turnover in unsecured lending
(index: cash lending volume in 2003 = 100)
0
20
40
60
80
100
120
140
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
120
140
O/NT/N
S/Nless than 1 week
1 week to 1 month1 to 3 months
3 to 6 months6 months to 1 year
more than 1 year
Note: The panel comprised 104 credit institutions.
Chart 16 Maturity breakdown for cumulative quarterly turnover in unsecured borrowing
(index: cash borrowing volume in 2003 = 100)
0
20
40
60
80
100
120
140
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
120
140
O/NT/N
S/Nless than 1 week
1 week to 1 month1 to 3 months
3 to 6 months6 months to 1 year
more than 1 year
Note: The panel comprised 104 credit institutions.
15ECB
Euro Money Market SurveyNovember 2013 15
ECBEuro Money Market Survey
November 2013
Chart 17 Breakdown, by maturity, of cumulative quarterly
turnover in unsecured lending (percentages of total)
Chart 18 Breakdown, by maturity, of cumulative quarterly
turnover in unsecured borrowing (percentages of total)
0
20
40
60
80
100
0
20
40
60
80
100
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
0
20
40
60
80
100
0
20
40
60
80
100
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 yearNote: The panel comprised 161 credit institutions.
Chart 19 Maturity-weighted breakdown of cumulative
quarterly turnover in unsecured lending (percentages of total)
Chart 20 Maturity-weighted breakdown of cumulative
quarterly turnover in unsecured borrowing (percentages of total)
0
5
10
15
20
25
30
0
5
10
15
20
25
30
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
0
5
10
15
20
25
30
0
5
10
15
20
25
30
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
16ECBEuro Money Market SurveyNovember 2013
3.3 MARKET STRUCTURE
16ECBEuro Money Market SurveyNovember 2013
Chart 21 Breakdown, by geographical counterparty, of
unsecured market in 2012 (percentages of total)
Chart 22 Breakdown, by geographical counterparty, of
unsecured market in 2013 (percentages of total)
National (46.7%)
Euro area (32.8%)
Other (20.5%)
National (49.8%)
Euro area (26.8%)
Other (23.3%)
Note: The panel comprised 161 credit institutions.
17ECB
Euro Money Market SurveyNovember 2013
3.4 QUALITATIVE ASSESSMENT AND DEVELOPMENT OF THE MARKET STRUCTURE
17ECB
Euro Money Market SurveyNovember 2013
Chart 23 Is the unsecured market efficient?
(percentages of total)
Chart 24 Has the market liquidity in the unsecured market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.Note: The panel comprised 104 credit institutions.
Chart 25 Counterparty structure of unsecured transactions
(percentages of total)
Chart 26 Trading structure of unsecured transactions
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 104 credit institutions.
18ECBEuro Money Market SurveyNovember 2013
4 THE SECURED MARKET
4.1 TOTAL SECURED MARKET: TURNOVER ANALYSIS
18ECBEuro Money Market SurveyNovember 2013
Chart 27 Cumulative quarterly turnover in secured cash lending and borrowing
(index: cash lending volume in 2003 = 100)
0
50
100
150
200
250
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
250
lendingborrowing
Note: The panel comprised 104 credit institutions.
Chart 28 Breakdown of total secured market
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
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 104 credit institutions.
19ECB
Euro Money Market SurveyNovember 2013
4.2 TOTAL SECURED MARKET: MATURITY ANALYSIS
19ECB
Euro Money Market SurveyNovember 2013
Chart 29 Maturity breakdown for cumulative quarterly ternover in secured lending
(index: secured lending volume in 2003 = 100)
0
50
100
150
200
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
O/NT/N
S/Nless than 1 week
1 week to 1 month1 to 3 months
3 to 6 months6 months to 1 year
more than 1 year
Note: The panel comprised 104 credit institutions.
Chart 30 Maturity breakdown for cumulative quarterly ternover in secured borrowing
(index: secured borrowing volume in 2003 = 100)
0
50
100
150
200
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
O/NT/N
S/Nless than 1 week
1 week to 1 month1 to 3 months
3 to 6 months6 months to 1 year
more than 1 year
Note: The panel comprised 104 credit institutions.
20ECBEuro Money Market SurveyNovember 2013 20ECBEuro Money Market SurveyNovember 2013
Chart 31 Breakdown, by maturity, of cumulative quarterly
turnover in secured lending (percentages of total)
Chart 32 Breakdown, by maturity, of cumulative quarterly
turnover in secured borrowing (percentages of total)
0
10
20
30
40
50
0
10
20
30
40
50
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
0
10
20
30
40
50
0
10
20
30
40
50
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 yearNote: The panel comprised 104 credit institutions.
Chart 33 Maturity-weighted breakdown of cumulative
quarterly turnover in secured lending (percentages of total)
Chart 34 Maturity-weighted breakdown of cumulative
quarterly turnover in secured borrowing (percentages of total)
0
5
10
15
20
25
30
0
5
10
15
20
25
30
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
0
5
10
15
20
25
30
0
5
10
15
20
25
30
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
21ECB
Euro Money Market SurveyNovember 2013
4.3 TOTAL SECURED MARKET: MARKET STRUCTURE
21ECB
Euro Money Market SurveyNovember 2013
Chart 35 Breakdown, by geographical counterparty, of the
secured market in 2012 (percentages of total)
Chart 36 Breakdown, by geographical counterparty, of the
secured market in 2013 (percentages of total)
National (30.9%)
Euro area (50.0%)
Other (19.0%)
National (30.8%)
Euro area (50.3%)
Other (18.9%)
Note: The panel comprised 161 credit institutions.
22ECBEuro Money Market SurveyNovember 2013
4.4 BILATERAL REPOS, INCLUDING CCP TRANSACTIONS: TURNOVER ANALYSIS
22ECBEuro Money Market SurveyNovember 2013
Chart 37 Cumulative quarterly turnover in bilateral repo cash lending and borrowing
(index: cash lending volume in 2003 = 100)
0
50
100
150
200
250
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
250
lendingborrowing
Note: The panel comprised 104 credit institutions.
23ECB
Euro Money Market SurveyNovember 2013
Chart 38 Quarterly turnover in bilateral repo lending that is indexed on a floating rate
(percentages of total volume in the maturity bucket)
0
5
10
15
20
25
30
35
40
45
0
5
10
15
20
25
30
35
40
45
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 yearNote: The panel comprised 161 credit institutions.
Chart 39 Quarterly turnover in bilateral repo borrowing that is indexed on a floating rate
(percentages of total volume in the maturity bucket)
0
5
10
15
20
25
30
35
0
5
10
15
20
25
30
35
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
24ECBEuro Money Market SurveyNovember 2013
4.5 BILATERAL REPOS, INCLUDING CCP TRANSACTIONS: MATURITY ANALYSIS
24ECBEuro Money Market SurveyNovember 2013
Chart 40 Maturity breakdown for cumulative quarterly turnover in bilateral repo lending
(index: bilateral repo lending volume in 2003 = 100)
0
50
100
150
200
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
O/NT/N
S/Nless than 1 week
1 week to 1 month1-3 months
3-6 months6 months to 1 year
more than 1 year
Note: The panel comprised 104 credit institutions.
Chart 41 Maturity breakdown for cumulative quarterly turnover in bilateral repo borrowing
(index: bilateral repo borrowing volume in 2003 = 100)
0
20
40
60
80
100
120
140
160
180
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
120
140
160
180
O/NT/N
S/Nless than 1 week
1 week to 1 month1-3 months
3-6 months6 months to 1 year
more than 1 year
Note: The panel comprised 104 credit institutions.
25ECB
Euro Money Market SurveyNovember 2013 25
ECBEuro Money Market Survey
November 2013
Chart 42 Breakdown, by maturity, of cumulative quarterly
turnover in bilateral repo lending (percentages of total)
Chart 43 Breakdown, by maturity, of cumulative quarterly
turnover in bilateral repo borrowing (percentages of total)
0
10
20
30
40
50
0
10
20
30
40
50
2012 non-CCP 2012 CCP2013 non-CCP 2013 CCP
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
0
10
20
30
40
50
0
10
20
30
40
50
2012 non-CCP 2012 CCP2013 non-CCP 2013 CCP
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 yearNote: The panel comprised 161 credit institutions.
Chart 44 Maturity-weighted breakdown of cumulative
turnover in bilateral repo lending (percentages of total)
Chart 45 Maturity-weighted breakdown of cumulative
turnover in bilateral repo borrowing (percentages of total)
0
10
20
30
40
50
0
10
20
30
40
50
2012 non-CCP 2012 CCP2013 non-CCP 2013 CCP
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
0
10
20
30
40
50
0
10
20
30
40
50
2012 non-CCP 2012 CCP2013 non-CCP 2013 CCP
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
26ECBEuro Money Market SurveyNovember 2013
4.6 BILATERAL REPOS, INCLUDING CCP TRANSACTIONS: MARKET STRUCTURE
26ECBEuro Money Market SurveyNovember 2013
Chart 46 Geographical breakdown of collateral
in the bilateral repo market in 2012 (percentages of total)
Chart 47 Geographical breakdown of collateral
in the bilateral repo market in 2013 (percentages of total)
national (38.0%)
euro area (59.0%)
other (3.0%)
national (36.5%)
euro area (61.0%)
other (2.5%)
Note: The panel comprised 161 credit institutions.
Chart 48 Geographical breakdown of collateral in bilateral
secured lending (percentages of total)
Chart 49 Geographical breakdown of collateral in bilateral
secured borrowing (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
nationaleuro area
other
Note: The panel comprised 104 credit institutions.
27ECB
Euro Money Market SurveyNovember 2013
4.7 TRIPARTY REPOS MARKET: TURNOVER ANALYSIS
27ECB
Euro Money Market SurveyNovember 2013
Chart 50 Cumulative quarterly turnover in triparty repo cash lending and borrowing
(index: cash lending volume in 2003 = 100)
0
200
400
600
800
1000
1200
1400
1600
1800
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
200
400
600
800
1000
1200
1400
1600
1800
lendingborrowing
Note: The panel comprised 104 credit institutions.
28ECBEuro Money Market SurveyNovember 2013
4.8 TRIPARTY REPOS: MATURITY ANALYSIS
28ECBEuro Money Market SurveyNovember 2013
Chart 51 Breakdown, by maturity, of cumulative quarterly turnover in triparty repo lending
(index: triparty repo lending volume in 2003 = 100)
0
100
200
300
400
500
600
700
800
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
100
200
300
400
500
600
700
800
O/NT/N
S/Nless than 1 week
1 week to 1 month1-3 months
3-6 months6 months to 1 year
more than 1 year
Note: The panel comprised 104 credit institutions.
Chart 52 Breakdown, by maturity, of cumulative quarterly turnover in triparty repo borrowing
(index: triparty repo borrowing volume in 2003 = 100)
0
50
100
150
200
250
300
350
400
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
250
300
350
400
O/NT/N
S/Nless than 1 week
1 week to 1 month1-3 months
3-6 months6 months to 1 year
more than 1 year
Note: The panel comprised 104 credit institutions.
29ECB
Euro Money Market SurveyNovember 2013 29
ECBEuro Money Market Survey
November 2013
Chart 53 Breakdown, by maturity, of cumulative quarterly
turnover in triparty repo lending (percentages of total)
Chart 54 Breakdown, by maturity, of cumulative quarterly
turnover in triparty repo borrowing (percentages of total)
0
10
20
30
40
50
60
70
0
10
20
30
40
50
60
70
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
0
10
20
30
40
50
60
70
0
10
20
30
40
50
60
70
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 yearNote: The panel comprised 161 credit institutions.
Chart 55 Maturity-weighted breakdown of cumulative
quarterly turnover in triparty repo lending (percentages of total)
Chart 56 Maturity-weighted breakdown of cumulative
quarterly turnover in triparty repo borrowing (percentages of total)
0
10
20
30
40
50
60
70
0
10
20
30
40
50
60
70
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
0
10
20
30
40
50
60
70
0
10
20
30
40
50
60
70
20122013
O/N T/N S/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
30ECBEuro Money Market SurveyNovember 2013
4.9 TOTAL SECURED MARKET: QUALITATIVE ASSESSMENT AND DEVELOPMENT OF THE MARKET STRUCTURE
30ECBEuro Money Market SurveyNovember 2013
Chart 57 Is the secured market opinion efficient?
(percentages of total)
Chart 58 Has the market liquidity in the secured market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficient significantly efficient extremely efficient
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.Note: The panel comprised 104 credit institutions.
Chart 59 Counterparty structure of secured transactions
(percentages of total)
Chart 60 Trading structure of secured transactions
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 104 credit institutions.
31ECB
Euro Money Market SurveyNovember 2013
5THE SHORT-TERM SECURITIES MARKET
5.1 TURNOVER ANALYSIS IN THE SECONDARY MARKET
31ECB
Euro Money Market SurveyNovember 2013
Chart 61 Cumulative quarterly turnover in outright transactions
(index: outright transaction volume in 2003 = 100)
0
50
100
150
200
250
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
250
government issuescredit institution issues
non-credit institution issues
Note: The panel comprised 104 credit institutions.
32ECBEuro Money Market SurveyNovember 2013
5.2 QUALITATIVE ASSESSMENT AND DEVELOPMENT OF THE MARKET STRUCTURE
32ECBEuro Money Market SurveyNovember 2013
Chart 62 Is the short-term securities market 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
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.Note: The panel comprised 104 credit institutions.
Chart 64 Counterparty structure of short-term
securities transactions (percentages of total)
Chart 65 Trading structure of short-term securities
transactions (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 104 credit institutions.
33ECB
Euro Money Market SurveyNovember 2013
6THE OVER-THE-COUNTER DERIVATIVES MARKET
6.1 THE OVER-THE-COUNTER (OTC) DERIVATIVES: TURNOVER ANALYSIS
33ECB
Euro Money Market SurveyNovember 2013
Chart 66 Cumulative quarterly turnover in various OTC derivatives markets
(index: OTC derivatives volume in 2003 = 100)
0
20
40
60
80
100
120
140
160
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
120
140
160
OISsFX swaps
other IRSsXccy swaps
FRAs
Note: The panel comprised 104 credit institutions.
Chart 67 Breakdown of total OTC derivatives market
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
OISsFX swaps
other IRSsXccy swaps
FRAs
Note: The panel comprised 104 credit institutions.
34ECBEuro Money Market SurveyNovember 2013
6.2 OVERNIGHT INDEX SWAPS (OISs): TURNOVER ANALYSIS
34ECBEuro Money Market SurveyNovember 2013
Chart 68 Cumulative quarterly turnover in the OIS segment
(index: OIS volume in 2003 = 100)
0
20
40
60
80
100
120
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
120
less than 1 week1 week to 1 month
1 to 3 months3 to 6 months
6 months to 1 yearmore than 1 year
Note: The panel comprised 104 credit institutions.
Chart 69 Maturity breakdown for cumulative quarterly turnover in the OIS segment
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
less than 1 week1 week to 1 month
1 to 3 months3 to 6 months
6 months to 1 yearmore than 1 year
Note: The panel comprised 104 credit institutions.
35ECB
Euro Money Market SurveyNovember 2013 35
ECBEuro Money Market Survey
November 2013
Chart 70 Breakdown, by maturity, of cumulative quarterly turnover in the OIS segment
(percentages of total)
0
5
10
15
20
25
30
0
5
10
15
20
25
30
20122013
Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
Chart 71 Maturity-weighted breakdown of cumulative quarterly turnover in the OIS segment
(percentages of total)
0
5
10
15
20
25
30
35
40
0
5
10
15
20
25
30
35
40
20122013
Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
36ECBEuro Money Market SurveyNovember 2013
6.3 OVERNIGHT INDEX SWAPS (OISs): QUALITATIVE ASSESSMENT AND DEVELOPMENT OF THE MARKET STRUCTURE
36ECBEuro Money Market SurveyNovember 2013
Chart 72 Is the OIS segment efficient?
(percentages of total)
Chart 73 Has the market liquidity in the OIS segment
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.Note: The panel comprised 104 credit institutions.
Chart 74 Counterparty structure of OIS transactions
(percentages of total)
Chart 75 Trading structure of OIS transactions
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 104 credit institutions.
37ECB
Euro Money Market SurveyNovember 2013
6.4 OTHER INTEREST RATE SWAPS (IRSs): TURNOVER ANALYSIS
37ECB
Euro Money Market SurveyNovember 2013
Chart 76 Cumulative quarterly turnover in the IRS segment
(index: IRS volume in 2003 = 100)
0
50
100
150
200
250
300
350
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
250
300
350
up to 1 year1 to 2 years
2 to 5 years5 to 10 years
more than 10 years
Note: The panel comprised 104 credit institutions.
Chart 77 Development of maturity breakdown of cumulative quarterly turnover in the IRS segment
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
up to 1 year1 to 2 years
2 to 5 years5 to 10 years
more than 10 years
Note: The panel comprised 104 credit institutions.
38ECBEuro Money Market SurveyNovember 2013 38ECBEuro Money Market SurveyNovember 2013
Chart 78 Breakdown, by maturity, of cumulative quarterly turnover in the IRS segment
(percentages of total)
0
5
10
15
20
25
30
0
5
10
15
20
25
30
20122013
Up to1 year
1 yearto
2 years
2 to 5years
5 to 10years
More than10 years
Note: The panel comprised 161 credit institutions.
Chart 79 Maturity-weighted breakdown of cumulative quarterly turnover in the IRS segment
(percentages of total)
0
10
20
30
40
50
60
0
10
20
30
40
50
60
20122013
Up to1 year
1 yearto
2 years
2 to 5years
5 to 10years
More than10 years
Note: The panel comprised 161 credit institutions.
39ECB
Euro Money Market SurveyNovember 2013
6.5 OTHER INTEREST RATE SWAPS (IRSs): QUALITATIVE ASSESSMENT AND DEVELOPMENT OF THE MARKET STRUCTURE
39ECB
Euro Money Market SurveyNovember 2013
Chart 80 Is the other IRS segment efficient?
(percentages of total)
Chart 81 Has the market liquidity in the other IRS segment
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.Note: The panel comprised 104 credit institutions.
Chart 82 Counterparty structure of other IRS transactions
(percentages of total)
Chart 83 Trading structure of other IRS transactions
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 104 credit institutions.
40ECBEuro Money Market SurveyNovember 2013
6.6 FORWARD RATE AGREEMENTS (FRAs): TURNOVER ANALYSIS
40ECBEuro Money Market SurveyNovember 2013
Chart 84 Cumulative quarterly turnover in the FRA segment
(index: FRA volume in 2003 = 100)
0
50
100
150
200
250
300
350
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
250
300
350
less than 1 week1 week to 1 month
1 to 3 months3 to 6 months
6 months to 1 yearmore than 1 year
Note: The panel comprised 104 credit institutions.
Chart 85 Development of the maturity breakdown of the cumulative quarterly turnover in the FRA segment
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
less than 1 week1 week to 1 month
1 to 3 months3 to 6 months
6 months to 1 yearmore than 1 year
Note: The panel comprised 104 credit institutions.
41ECB
Euro Money Market SurveyNovember 2013 41
ECBEuro Money Market Survey
November 2013
Chart 86 Breakdown, by maturity, of cumulative quarterly turnover in the FRA segment
(percentages of total)
0
5
10
15
20
25
30
35
40
45
0
5
10
15
20
25
30
35
40
45
20122013
Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
Chart 87 Maturity-weighted breakdown of cumulative quarterly turnover in the FRA segment
(percentages of total)
0
10
20
30
40
50
60
0
10
20
30
40
50
60
20122013
Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
42ECBEuro Money Market SurveyNovember 2013
6.7 FORWARD RATE AGREEMENTS (FRAs): QUALITATIVE ASSESSMENT AND DEVELOPMENT OF THE MARKET STRUCTURE
42ECBEuro Money Market SurveyNovember 2013
Chart 88 Is the FRA segment efficient?
(percentages of total)
Chart 89 Has the market liquidity in the FRA segment
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
n.a.0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
n.a.
* Reporting started in 2012.Note: The panel comprised 104 credit institutions.
Chart 90 Counterparty structure of FRA transactions
(percentages of total)
Chart 91 Trading structure of FRA transactions
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
nationaleuro area
other
n.a.0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
direct tradingvoice broker
electronic trading
n.a.
Note: The panel comprised 104 credit institutions.
43ECB
Euro Money Market SurveyNovember 2013
6.8 FOREIGN EXCHANGE (FX) SWAPS AND FOREIGN EXCHANGE (FX) FORWARDS: TURNOVER ANALYSIS
43ECB
Euro Money Market SurveyNovember 2013
Chart 92 Cumulative quarterly turnover in the FX swaps and forwards segment
(index: FX swaps volume in 2003 = 100)
0
20
40
60
80
100
120
140
160
180
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
120
140
160
180
O/Nless than 1 week
1 week to 1 month1 to 3 months
3 to 6 months6 months to 1 year
more than 1 year
Note: The panel comprised 104 credit institutions.
Chart 93 Development of the maturity breakdown of the cumulative quarterly turnover in the FX swaps and forwards
segment (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
O/Nless than 1 week
1 week to 1 month1 to 3 months
3 to 6 months6 months to 1 year
more than 1 year
Note: The panel comprised 104 credit institutions.
44ECBEuro Money Market SurveyNovember 2013 44ECBEuro Money Market SurveyNovember 2013
Chart 94 Breakdown, by maturity, of cumulative quarterly turnover in the FX swaps and forwards segment
(percentages of total)
0
5
10
15
20
25
30
35
40
45
0
5
10
15
20
25
30
35
40
45
20122013
O/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
Chart 95 Maturity-weighted breakdown of cumulative quarterly turnover in the FX swaps and forwards segment
(percentages of total)
0
5
10
15
20
25
30
35
0
5
10
15
20
25
30
35
20122013
O/N Lessthan
1 week
1 weekto
1 month
1 monthto
3 months
3 to 6months
6 monthsto
1 year
Morethan
1 year
Note: The panel comprised 161 credit institutions.
45ECB
Euro Money Market SurveyNovember 2013 45
ECBEuro Money Market Survey
November 2013
Chart 96 Breakdown, by currency, of transaction in the
FX swaps and forwards segment in 2012 (percentages of total)
Chart 97 Breakdown, by currency, of transaction in the
FX swaps and forwards segment in 2013 (percentages of total)
EUR/USD (76.4%)
EUR/CHF (4.7%)
EUR/JPY (3.5%)
EUR/GBP (8.0%)
Other (7.4%)
EUR/USD (76.5%)
EUR/CHF (4.2%)
EUR/JPY (2.8%)
EUR/GBP (6.6%)
Other (9.9%)
Note: The panel comprised 161 credit institutions.
46ECBEuro Money Market SurveyNovember 2013
6.9 FOREIGN EXCHANGE (FX) SWAPS AND FOREIGN EXCHANGE (FX) FORWARDS: QUALITATIVE ASSESSMENT AND DEVELOPMENT OF THE MARKET STRUCTURE
46ECBEuro Money Market SurveyNovember 2013
Chart 98 Is the FX swaps segment efficient?
(percentages of total)
Chart 99 Has the market liquidity in the FX swaps segment
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.Note: The panel comprised 104 credit institutions.
Chart 100 Counterparty structure of FX swap transactions
(percentages of total)
Chart 101 Trading structure of FX swap transactions
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 104 credit institutions.
47ECB
Euro Money Market SurveyNovember 2013
6.10 CROSS-CURRENCY SWAPS (Xccy swaps): TURNOVER ANALYSIS
47ECB
Euro Money Market SurveyNovember 2013
Chart 102 Cumulative quarterly turnover in the Xccy swaps segment
(index: Xccy swaps volume in 2003 = 100)
0
50
100
150
200
250
300
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
50
100
150
200
250
300
up to 1 year1 to 2 years
2 to 5 years5 to 10 years
more than 10 years
Note: The panel comprised 104 credit institutions.
Chart 103 Development of the maturity breakdown of the cumulative quarterly turnover in the Xccy swaps
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
up to 1 year1 to 2 years
2 to 5 years5 to 10 years
more than 10 years
Note: The panel comprised 104 credit institutions.
48ECBEuro Money Market SurveyNovember 2013 48ECBEuro Money Market SurveyNovember 2013
Chart 104 Breakdown, by maturity, of cumulative quarterly turnover in the Xccy swaps segment
(percentages of total)
0
5
10
15
20
25
30
0
5
10
15
20
25
30
20122013
Up to1 year
1 yearto
2 years
2 to 5years
5 to 10years
More than10 years
Note: The panel comprised 161 credit institutions.
Chart 105 Maturity-weighted breakdown of cumulative quarterly turnover in the Xccy swaps segment
(percentages of total)
0
10
20
30
40
50
60
0
10
20
30
40
50
60
20122013
Up to1 year
1 yearto
2 years
2 to 5years
5 to 10years
More than10 years
Note: The panel comprised 161 credit institutions.
49ECB
Euro Money Market SurveyNovember 2013
6.11 CROSS-CURRENCY SWAPS (Xccy swaps): QUALITATIVE ASSESSMENT AND DEVELOPMENT OF THE MARKET STRUCTURE
49ECB
Euro Money Market SurveyNovember 2013
Chart 106 Is the Xccy swaps segment efficient?
(percentages of total)
Chart 107 Has the market liquidity in the Xccy swaps
segment changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.Note: The panel comprised 104 credit institutions.
Chart 108 Counterparty structure of Xccy swap transactions
(percentages of total)
Chart 109 Trading structure of Xccy swap transactions
(percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 104 credit institutions.
50ECBEuro Money Market SurveyNovember 2013
6.12 OPTIONS AND FUTURES: QUALITATIVE ASSESSMENT AND DEVELOPMENT OF THE MARKET STRUCTURE
50ECBEuro Money Market SurveyNovember 2013
Chart 110 Is the options segment efficient?
(percentages of total)
Chart 111 Has the market liquidity in the options market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
n.a.n.a. n.a. n.a.0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
n.a.n.a. n.a. n.a.
* Reporting started in 2012.Note: The panel comprised 104 credit institutions.
Chart 112 Is the futures segment efficient?
(percentages of total)
Chart 113 Has the market liquidity in the futures market
changed with respect to last year? (percentages of total)
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 20130
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.Note: The panel comprised 104 credit institutions.
51ECB
Euro Money Market SurveyNovember 2013
BE Belfius Banque S.A. ES Banco Bilbao Vizcaya Argentaria S.A. (BBVA)BE BNP Paribas Fortis S.A. ES Banco Cooperativo Español S.A.BE KBC Bank N.V. ES Banco de Sabadell S.A.BG BNP Paribas S.A. ES Banco Popular Español S.A.BG DSK Bank ES Banco Santander S.A.BG Eurobank Bulgaria ES Bankia S.A.BG United Bulgarian Bank ES Bankinter S.A.CZ Česká spořitelna, a.s. ES Caixa Bank S.A.CZ Československá obchodní banka, a.s. ES Catalunya Banc S.A.CZ Citibank Europe plc ES Cecabank S.A.CZ HSBC Bank plc ES ING Direct, N.V. S.E.CZ ING Bank N.V. FR BNP paribasCZ Komerční banka, a.s. FR BPCECZ The Royal Bank of Scotland plc FR Bred – Banque PopulaireCZ UniCredit Bank Czech Republic a.s. FR Crédit Agricole CIBDK Danske Bank A/S FR Crédit Agricole S.A.DE BayernLB FR Crédit Industriel et Commercial – CicDE BHF-BANK AG FR HSBC FranceDE Commerzbank AG FR NATIXISDE DekaBank Deutsche Girozentrale FR Société GénéraleDE Deutsche Bank AG IT Banca IMI SpaDE Deutsche Postbank AG IT Banca Monte dei Paschi di Siena SpaDE DZ BANK AG IT Banca Nazionale del Lavoro Spa (BNL)DE Hamburger Sparkasse AG IT BNP Paribas S.A.DE HSH Nordbank AG IT Dexia Crediop SpaDE Landesbank Baden-Württemberg IT Intesa Sanpaolo SpaDE Landesbank Berlin AG IT UBI Banca (Unione di Banche Italiane Scpa)DE Landesbank Hessen-Thüringen Girozentrale IT UniCredit SpaDE Landwirtschaftliche Rentenbank CY Bank of Cyprus Public Company LtdDE SEB AG CY Hellenic Bank Public Company LtdDE UniCredit Bank AG LV AS Rietumu BankaDE WGZ BANK AG LV AS SEB bankaEE AS Bigbank LV AS SwedbankEE AS Eesti Krediidipank LT AB DNB bankasEE AS LHV Pank LT AB SEB bankasIE Allied Irish Banks plc LT Swedbank, ABIE Permanent tsb plc LU Banque et Caisse d’Épargne de l’État, LuxembourgIE Rabobank Ireland plc LU KBL European Private Bankers S.A.IE The Governor and Company of the Bank of Ireland HU ING Bank N.V. Magyarországi FióktelepeIE Ulster Bank Ireland Limited HU K and H Bank Zrt.IE UniCredit Bank Ireland plc HU UniCredit Bank Hungary Zrt.GR Alpha Bank S.A. MT Akbank TASGR EFG Eurobank Ergasias S.A. MT Bank of Valletta plcGR HSBC Bank plc MT FIMBank plcGR National Bank of Greece S.A. MT HSBC Bank Malta plcGR Piraeus Bank S.A. MT Turkiye Garanti Bankasi AS
ANNEx I
CREDIT INSTITUTIONS PARTICIPATING IN THE ECb’S 2013 EURO MONEY MARKET SURVEY
52ECBEuro Money Market SurveyNovember 2013
NL ABN AMRO Bank N.V. PT Deutsche Bank (Portugal) SANL Bank Nederlandse Gemeenten N.V. PT Itaú BBA International PLCNL Coöperatieve Centrale Raiffeisen-Boerenleenbank
B.A. (Rabobank)RO Banca Comerciala Romana S.A.RO BRD – Groupe Société Générale S.A.
NL F. van Lanschot Bankiers N.V. RO RBS Bank (Romania) S.A.NL ING Bank N.V. SI Abanka vipa D.D.AT Allgemeine Sparkasse Oberösterreich Bank AG SI Nova ljubljanska banka D.D., LjubljanaAT Erste Group Bank AG SI Unicredit banka slovenija D.D.AT Oberbank AG SK Československá obchodná banka, A.S.AT Österreichische Volksbanken-AG SK Všeobecná úverová banka, A.S. (VUB)AT Raiffeisen Bank International AG FI Nordea Bank Finland AbpAT Raiffeisenlandesbank Niederösterreich-Wien AG FI Pohjola Pankki OyjAT Raiffeisen-Landesbank Steiermark AG SE Skandinaviska Enskilda Banken AB (publ) (SEB)AT UniCredit Bank Austria AG SE Svenska Handelsbanken AB (publ)PL Bank BPH S.A. SE Swedbank AB (publ)PL Bank Handlowy w Warszawie S.A. UK Abbey National Treasury Services plcPL Bank Polska Kasa Opieki S.A. (Bank Pekao S.A.) UK Banco do Brasil SAPL Bank Zachodni WBK S.A. UK Banco Espirito Santo SAPL Deutsche Bank Polska S.A. UK Barclays Bank plcPL Getin Noble Bank S.A. UK BNP ParibasPL ING Bank Śląski S.A. UK Citibank NAPL Invest-Bank S.A. UK Credit Agricole Corporate and Investment BankPL Powszechna Kasa Oszczędności Bank Polski S.A.
(PKO BP)UK Credit Suisse AGUK Deutsche Bank AG
PL Raiffeisen Bank Polska S.A. UK Goldman Sachs International BankPL Société Générale S.A. Oddział w Polsce UK HSBC Bank plcPT Banco BIC Português SA UK JP Morgan Chase BankPT Banco BPI SA UK Lloyds TSB Bank plcPT Banco Comercial Português SA UK Merrill Lynch International Bank LimitedPT Banco do Brasil AG – Sucursal em Portugal UK Standard Bank plcPT Banco Espírito Santo SA UK The Royal Bank of Scotland plcPT Banco Finantia SA CH UBS AGPT Banco Santander Totta SA CH Zuercher Kantonalbank AG (ZKB)PT BANIF-Banco Internacional do Funchal SAPT Barclays Bank plcPT Caixa Central – Caixa Central de Crédito Agrícola
Mútuo, CRLPT Caixa Económica Montepio GeralPT Caixa Geral de Depósitos SA
53ECB
Euro Money Market SurveyNovember 2013
The ECB’s 2013 Euro Money Market Survey was conducted by a working group, comprising staff members from the ECB and the national central banks (NCBs), which reported to the ESCB’s Market Operations Committee.
ANNEx I I
COORDINATION OF THE ECb’S 2013 EURO MONEY MARKET SURVEY