e gouvernance défis enjeux et expériences de la ci
TRANSCRIPT
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European Central Bank, 2012
AddressKaiserstrasse 2960311 Frankfurt am MainGermany
Postal addressPostfach 16 03 1960066 Frankfurt am MainGermany
Telephone+49 69 1344 0
Websitehttp://www ecb europa eu
Fax+49 69 1344 6000
All rights reserved. Reproduction for
educational and non-commercial purposesis permitted provided that the source isacknowledged.
ISSN 1830-7000 (online)
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ECBEuro Money Market Survey3September 2012
CONTENTS
1 COUNTRY BREAKDOWN OF
PARTICIPATING BANKS IN 2012 5
2 THE UNSECURED MARKET 6
2.1 Turnover analysis 6
2.2 Maturity analysis 7
2.3 Market structure 8
2.4 Qualitative assessment 9
3 THE SECURED MARKET 10
3.1 Turnover analysis 10
3.2 Maturity analysis 11
3.3 Market structure 12
3.4 Bilateral repos 13
3.5 Triparty repos 13
3.6 Qualitative assessment 14
4 THE OTC DERIVATIVES MARKETS 15
4.1 Turnover analysis 15
4.2 Maturity analysis 16
4.3 Qualitative assessment 21
5 THE SHORT-TERM SECURITIES MARKET 275.1 Turnover analysis in the secondary market 27
5.2 Qualitative assessment 28
6 CROSS-MARKET ANALYSIS 29
6.1 Turnover analysis 29
6.2 Maturity analysis 30
6.3 Market structure 31
6.4 Qualitative assessment 33
Annexes
Annex I Credit institutions participating in the 2012
Euro Money Market Survey 34
Annex II Coordination of the 2012 ECB Euro Money
Market Survey 36
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ECBEuro Money Market Survey4 September 2012
Note : The data represented herein refer to the second quarter of each respective year.
Abbreviations used for country names
BE Belgium LU Luxembourg
BG Bulgaria HU Hungary
CZ Czech Republic MT Malta
DK Denmark NL Netherlands
DE Germany AT Austria
EE Estonia PL Poland
IE Ireland PT Portugal
GR Greece RO Romania
ES Spain SI Slovenia
FR France SK Slovakia
IT Italy FI Finland
CY Cyprus SE Sweden
LV Latvia UK United Kingdom
LT Lithuania CH Switzerland
Abbreviations used in the charts
CCP central counterparty
FRAs forward rate agreements
FX swaps foreign exchange swaps
IRSs other interest rate swaps
OISs overnight index swaps
O/N overnight
OTC over the counter
T/N tomorrow/next (day)
S/N spot/next (day)
ST securities short-term securities
Xccys cross-currency swaps
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IN 2012
1COUNTRY BREAKDOWN OF PARTICIPATING BANKS
5ECB
Euro Money Market SurveySeptember 2012
1.1 NUMBER OF PARTICIPATING BANKS PER COUNTRY
Number of banks
BELGIUM 3
BULGARIA 4
CZECH REPUBLIC 8
DENMARK 1
GERMANY 17
ESTONIA 3
IRELAND 6 GREECE 7
SPAIN 13
FRANCE 9
ITALY 8
CYPRUS 3
LATVIA 4
LITHUANIA 3
LUXEMBOURG 3
HUNGARY 3
MALTA 5
NETHERLANDS 6
AUSTRIA 8
POLAND 12
PORTUGAL 14
ROMANIA 3
SLOVENIA 3
SLOVAKIA 2
FINLAND 2
SWEDEN 3
UNITED KINGDOM 16
SWITZERLAND 3
TOTAL 172
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 nationallanguage.
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2THE UNSECURED MARKET
2.1 TURNOVER ANALYSIS
6ECBEuro Money Market SurveySeptember 2012
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
350
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
50
100
150
200
250
300
350
lendingborrowing
Note: The panel comprised 105 credit institutions.
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2.2 MATURITY ANALYSIS
7ECB
Euro Money Market SurveySeptember 2012
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
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
120
140
160
O/NT/N to 1 month1 month to 3 months
3 months to 1 yearmore than 1 year
0
20
40
60
80
100
120
140
160
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
120
140
160
O/NT/N to 1 month1 month to 3 months
3 months to 1 yearmore than 1 year
Note: The panel comprised 105 credit institutions.
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
10
20
30
40
50
60
0
10
20
30
40
50
60
20112012
O/N T/N S/N lessthan
1 week
1 week to
1 month
13
months36
months6 months
to1 year
morethan
1 year
0
10
20
30
40
50
60
0
10
20
30
40
50
60
20112012
O/N T/N S/N lessthan
1 week
1 week to
1 month
13
months36
months6 months
to1 year
morethan
1 year
Note: The panel comprised 172 credit institutions.
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2.3 MARKET STRUCTURE
8ECBEuro Money Market SurveySeptember 2012
Chart 6 Geographical counterparty breakdown for unsecured
average daily turnover in 2011 (percentages of total)
Chart 7 Geographical counterparty breakdown for unsecured
average daily turnover in 2012 (percentages of total)
national (30.9%)
euro area (45.2%)
other (23.9%)
national (43.1%)
euro area (33.1%)
other (23.9%)
Note: The panel comprised 172 credit institutions.
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2.4 QUALITATIVE ASSESSMENT
9ECB
Euro Money Market SurveySeptember 2012
Chart 8 Is the unsecured segment in y our 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 2010 2011 20120
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.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 2010 2011 20120
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
direct tradingvoice 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 2012
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
350
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
50
100
150
200
250
300
350
lendingborrowing
Note: The panel comprised 105 credit institutions.
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3.2 MATURITY ANALYSIS
11ECB
Euro Money Market SurveySeptember 2012
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 2010 2011 20120
10
20
30
40
50
60
70
80
90
O/NT/N to 1 month
0
1
2
3
4
5
2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
1
2
3
4
5
1 month to 3 months3 months to 1 yearmore than 1 year
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
0
5
10
15
20
25
20112012
O/N T/N S/N lessthan
1 week
1 week to
1 month
13
months36
months6 months
to1 year
morethan
1 year
0
5
10
15
20
25
30
0
5
10
15
20
25
30
20112012
O/N T/N S/N lessthan
1 week
1 week to
1 month
13
months36
months6 months
to1 year
morethan
1 year
Note: The panel comprised 172 credit institutions.
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3.3 MARKET STRUCTURE
12ECBEuro Money Market SurveySeptember 2012
Chart 17 Geographical collateral breakdown
for bilateral repos in 2011 (percentages of total)
Chart 18 Geographical collateral breakdown
for bilateral repos in 2012 (percentages of total)
national (30.8%)
euro area (65.3%)
other (3.9%)
national (30.0%)
euro area (64.3%)
other (5.7%)
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 2010 2011 20120
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
13ECB
Euro Money Market SurveySeptember 2012
Chart 20 Maturity breakdown for average daily turnover in the bilateral repo market
(percentages of total)
0
10
20
30
40
50
0
10
20
30
40
50
2011 non-CCP 2011 CCP2012 non-CCP 2012 CCP
O/N T/N S/N lessthan
1 week
1 week to
1 month
13months
morethan
3 months
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
3035
40
45
0
5
10
15
20
25
3035
40
45
20112012
O/N T/N S/N lessthan
1 week
1 week to
1 month
13months
morethan
3 months
Note: The panel comprised 172 credit institutions.
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3.6 QUALITATIVE ASSESSMENT
14ECBEuro Money Market SurveySeptember 2012
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 2010 2011 20120
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
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.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 2010 2011 20120
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 105 credit institutions.
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4THE DERIVATIVES MARKETS4.I THE OTC DERIVATIVES MARKET: TURNOVER ANALYSIS
15ECB
Euro Money Market SurveySeptember 2012
Chart 26 Average daily turnover in the various OTC derivatives markets
(index: OTC derivatives volume in 2002 = 100)
0
50
100
150
200
250
300
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
50
100
150
200
250
300
OISsFX swaps
other IRSsXccy swaps
FRAs
Note: The panel comprised 105 credit institutions.
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4.2 THE OTC DERIVATIVES MARKET: MATURITY ANALYSIS
16ECBEuro Money Market SurveySeptember 2012
Chart 27 Average daily turnover in the OIS segment
(index: OIS volume in 2002 = 100)
0
50
100
150
200
250
300
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
50
100
150
200
250
300
up to 1 month1 month to 3 months
3 months to 1 yearmore than 1 year
Note: The panel comprised 105 credit institutions.
Chart 28 Maturity-weighted breakdown for average daily turnover in the OIS segment
(percentages of total)
0
10
20
30
40
50
60
0
10
20
30
40
50
60
20112012
lessthan
1 week
1 week to
1 month
13
months36
months6 months
to1 year
morethan
1 year
Note: The panel comprised 172 credit institutions.
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17ECB
Euro Money Market SurveySeptember 2012
Chart 29 Average daily turnover in the other IRS segment
(index: other IRS volume in 2002 = 100)
0
100
200
300
400
500
600
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
100
200
300
400
500
600
up to 2 years2 years to 5 years
5 years to 10 yearsmore than 10 years
Note: The panel comprised 105 credit institutions.
Chart 30 Maturity-weighted breakdown for average daily turnover in the other IRS segment
(percentages of total)
0
10
20
30
40
50
60
70
80
0
10
20
30
40
50
60
70
80
20112012
up to1 year
12years
25years
510years
more than10 years
Note: The panel comprised 172 credit institutions.
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18ECBEuro Money Market SurveySeptember 2012
Chart 31 Average daily turnover in the FRA segment
(index: FRA volume in 2002 = 100)
0
100
200
300
400
500
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
100
200
300
400
500
up to 1 week 1 week to 1 month
1 month to 3 months3 months to 6 months
6 months to 1 yearmore than 1 year
Note: The panel comprised 105 credit institutions.
Chart 32 Maturity-weighted breakdown for average daily turnover in the FRA segment
(percentages of total)
0
10
20
30
40
0
10
20
30
40
20112012
lessthan
1 week
1 week to
1 month
13months
36months
6 monthsto
1 year
morethan
1 year
Note: The panel comprised 172 credit institutions.
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19ECB
Euro Money Market SurveySeptember 2012
Chart 33 Average daily turnover in the FX swap segment
(index: FX swap volume in 2002 = 100)
0
50
100
150
200
250
300
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
50
100
150
200
250
300
up to 1 month1 month to 3 months
3 months to 1 yearmore than 1 year
Note: The panel comprised 105 credit institutions.
Chart 34 Maturity-weighted breakdown for average daily turnover in the FX swap segment
(percentages of total)
0
5
10
15
20
25
30
0
5
10
15
20
25
30
20112012
O/N lessthan
1 week
1 week to
1 month
13months
36months
6 monthsto
1 year
morethan
1 year
Note: The panel comprised 172 credit institutions.
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20ECBEuro Money Market SurveySeptember 2012
Chart 35 Average daily turnover in the Xccy swap segment
(index: Xccy swap volume in 2002 = 100)
0
100
200
300
400
500
600
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
100
200
300
400
500
600
up to 2 years2 years to 5 years
5 years to 10 yearsmore than 10 years
Note: The panel comprised 105 credit institutions.
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
0
5
10
15
20
25
30
35
20112012
up to1 year
12years
25years
510years
more than10 years
Note: The panel comprised 172 credit institutions.
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4.3 QUALITATIVE ASSESSMENT
21ECB
Euro Money Market SurveySeptember 2012
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 2010 2011 20120
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.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 2010 2011 20120
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 105 credit institutions.
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22ECBEuro Money Market SurveySeptember 2012
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 2010 2011 20120
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.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 2010 2011 20120
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 105 credit institutions.
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23ECB
Euro Money Market SurveySeptember 2012
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 2010 2011 20120
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
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
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 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 2010 2011 20120
20
40
60
80
100
nationaleuro area
other
n.a.0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
direct tradingvoice broker
electronic trading
n.a.
Note: The panel comprised 105 credit institutions.
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24ECBEuro Money Market SurveySeptember 2012
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 2010 2011 20120
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.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 2010 2011 20120
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 105 credit institutions.
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25ECB
Euro Money Market SurveySeptember 2012
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 2010 2011 20120
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.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 2010 2011 20120
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 105 credit institutions.
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26ECBEuro Money Market SurveySeptember 2012
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 2010 2011 20120
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
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
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 105 credit institutions.
Chart 59 Is the futures segment in y our 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 2010 2011 20120
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.Note: The panel comprised 105 credit institutions.
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5THE SHORT-TERM SECURITIES MARKET5.I TURNOVER ANALYSIS IN THE SECONDARY MARKET
27ECB
Euro Money Market SurveySeptember 2012
Chart 61 Average daily turnover in outright transactions
(index: outright transaction volume in 2002 = 100)
0
50
100
150
200
250
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
50
100
150
200
250
government issuescredit institution issues
non-credit institution issues
Note: The panel comprised 105 credit institutions.
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5.2 QUALITATIVE ASSESSMENT
28ECBEuro Money Market SurveySeptember 2012
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 2010 2011 20120
20
40
60
80
100
limitedly and not efficient
not efficient* limitedly efficient*
sufficiently efficientsignificantly efficientextremely efficient
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
has worsened
significantly* slightly*
has not changedhas improved slightlyhas improved significantly
* Reporting started in 2012.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 2010 2011 20120
20
40
60
80
100
nationaleuro area
other
0
20
40
60
80
100
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
20
40
60
80
100
direct tradingvoice broker
electronic trading
Note: The panel comprised 105 credit institutions.
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6CROSS-MARKET ANALYSIS6 .I TURNOVER ANALYSIS
29ECB
Euro Money Market SurveySeptember 2012
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
250
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
50
100
150
200
250
unsecuredsecured
OISsFX swaps
other IRSsXccy swaps
FRAsST securities
Note: The panel comprised 105 credit institutions.
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
300
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
50
100
150
200
250
300
unsecuredsecured
OISsFX swaps
0
10
20
30
40
50
60
70
80
90
2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 20120
10
20
30
40
50
60
70
80
90
FRAsother IRSs
Xccy swapsST securities
Note: The panel comprised 105 credit institutions.
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6.2 MATURITY ANALYSIS
30ECBEuro Money Market SurveySeptember 2012
Chart 69 Maturity breakdown for various money market segments in 2012
(index: unsecured volume = 100)
0
50
100
150
200
250
300350
400
unsecured secured OISs FX swaps FRAs0
50
100
150
200
250
300350
400
up to 1 week 1 week to 1 month
1 month to 3 months3 months to 6 months
6 months to 1 yearmore than 1 year
Note: The panel comprised 172 credit institutions.
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6.3 MARKET STRUCTURE
31ECB
Euro Money Market SurveySeptember 2012
Table 1 Concentration of unsecured market activity in 2012
(percentages of total)
Lending Borrowing
Top 5 credit institutions 45.5 32.2 Top 10 credit institutions 64.6 49.1 Top 20 credit institutions 79.0 69.5
Table 2 Concentration of secured market activity in 2012
(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 43.5 36.3 49.5 46.8 85.7 57.6 41.5 34.5 Top 10 credit institutions 66.6 58.1 73.1 64.6 94.6 84.4 64.4 55.2 Top 20 credit institutions 88.2 79.0 92.8 85.2 99.8 97.3 87.1 79.4
Table 3 Concentration of activity in the OTC derivatives markets and short-term securities in 2012
(percentages of total)
ST securities OISs Other IRSs FRAs FX swaps Xccy swaps
Top 5 credit institutions 62.3 48.2 67.8 53.3 41.5 61.4 Top 10 credit institutions 77.2 75.5 84.1 76.1 63.2 81.0 Top 20 credit institutions 90.8 93.5 94.2 93.9 82.6 95.9
Note: For Tables 1, 2 and 3 the panel comprised 172 credit institutions.
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32ECBEuro Money Market SurveySeptember 2012
Chart 70 Lorenz curve: concentration of activity in various market segments in 2012
(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 172 credit institutions.
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6.4 QUALITATIVE ASSESSMENT
33ECB
Euro Money Market SurveySeptember 2012
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
7080
90
100
0
10
20
30
40
50
60
7080
90
100
not efficientlimitedly efficient
sufficiently efficientsignificantly efficientextremely efficient
unsecured
repos
FX swaps
FRAs
OISs
other IRSs
Xccy swaps
ST-securities
options
futures
0
10
20
30
40
50
60
7080
90
100
0
10
20
30
40
50
60
7080
90
100
has worsened significantlyhas worsened slightly
has not changedhas improved slightlyhas improved significantly
unsecured
repos
FX swaps
FRAs
OISs
other IRSs
Xccy swaps
ST securities
options
futures
Note: The panel comprised 172 credit institutions.
Chart 73 Counterparty structure of various money marketsegments in 2012 (percentages of total)
Chart 74 Trading structure of vari ous money market
segments in 2012 (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
unsecured
secured
FX swaps
FRAs
OISs
other IRSs
Xccy swaps
ST 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
unsecured
secured
FX swaps
FRAs
OISs
other IRSs
Xccy swaps
ST securities
Note: The panel comprised 172 credit institutions.
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ECB
34Euro Money Market Survey
Sep ember 2012
ANNEX ICREDIT INSTITUTIONS PARTICIPATING IN THE 2012 EURO MONEY MARKETSURVEY
BE Belfius Banque SABE Fortis BanqueBE KBC Bank NVBG BNP Paribas S.A.BG DSK BankBG Eurobank EFG BulgariaBG United Bulgarian BankCZ esk spoitelna, a. s.CZ eskoslovensk obchodn banka, a. s.CZ Citibank Europe plc
CZ HSBC Bank plcCZ ING Bank N.V.CZ Komern banka, a. s.CZ The Royal Bank of Scotland N.V.CZ UniCredit Bank Czech Republic a. s.DK Danske Bank A/SDE Bayerische LandesbankDE BHF-BANK AGDE Commerzbank AGDE DekaBank Deutsche GirozentraleDE Deutsche Bank AGDE Deutsche Postbank AGDE DZ BANK AGDE Hamburger Sparkasse AGDE HSH Nordbank AGDE Landesbank Baden-WrttembergDE Landesbank Berlin AGDE Landesbank Hessen-Thringen GirozentraleDE Landwirtschaftliche RentenbankDE SEB AGDE UniCredit Bank AGDE WestLB AGDE WGZ BANK AGEE AS Eesti KrediidipankEE AS LHV PankEE Bigbank ASIE Allied Irish Banks plcIE Depfa Bank plcIE permanent tsb plcIE Rabobank Ireland plcIE The Governor and Company of the Bank
of IrelandIE UniCredit Bank Ireland plcGR Alpha Bank S.A.GR BNP Paribas
GR 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.ES Banco Bilbao Vizcaya Argentaria S.A. (BBVA)ES Banco CAM S.A.ES Banco Cooperativo Espaol S.A.ES Banco de Sabadell S.A.ES Banco Espaol de Crdito S.A.ES Banco Popular Espaol S.A.
ES Banco Santander S.A.ES Bankia S.A.ES Bankinter S.A.ES Caixa Bank S.AES Catalunya Banc S.A.ES Confederacin Espaola de Cajas de AhorrosES ING Direct, N.V. S.EFR BNP ParibasFR BPCEFR Bred - Banque PopulaireFR Crdit Agricole CIBFR Crdit Agricole S.A.FR Crdit Industriel et Commercial-CICFR HSBC FranceFR NatixisFR Socit GnraleIT 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 SpaIT UBI Banca (Unione di Banche Italiane Scpa)IT UniCredit SpaCY Bank of Cyprus Public Company LtdCY Cyprus Popular Bank Public Co LtdCY Hellenic Bank Public Company LtdLV Citadele bankaLV Rietumu BankaLV SEB bankaLV SwedbankLT AB SEB bankasLT AB kio bankasLT Swedbank, AB
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ECBEuro Money Market Survey 35September 2012
LU Banque et Caisse d'Epargne del'Etat, Luxembourg
LU KBL European Private Bankers S.A.LU UniCredit Luxembourg S.A.HU ING Bank N.V. Magyarorszgi FiktelepeHU K&H Bank Zrt.HU UniCredit Bank Hungary Zrt.MT Akbank TASMT Bank of Valletta plcMT FIMBank plcMT Garanti Bank MaltaMT HSBC Bank Malta plcNL 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.
AT Allgemeine Sparkasse Obersterreich Bank AG
AT Erste Group Bank AG AT Oberbank AG AT sterreichische Volksbanken-AG AT Raiffeisen Bank International AG AT Raiffeisenlandesbank Niedersterreich-Wien
AG AT Raiffeisen-Landesbank Steiermark AG AT UniCredit Bank Austria AGPL Bank BPH S.A.PL 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 PolskiS.A. (PKO BP)
PL Raiffeisen Bank Polska S.A.PL Societe Generale S.A. Oddzia w PolscePT Banco BPI SAPT Banco Comercial Portugus SAPT Banco do Brasil AG Sucursal em Portugal
PT 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.SI Abanka Vipa D.D.SI Nova Ljubljanska Banka d.d., LjubljanaSI UniCredit Banka Slovenija d.d.SK eskoslovensk obchodn banka, a.s.SK Veobecn verov banka, a.s. (VUB)FI Nordea Bank Finland AbpFI Pohjola Pankki OyjSE Skandinaviska Enskilda Banken AB (publ)
(SEB)SE Svenska Handelsbanken AB (publ)SE Swedbank AB (publ)
UK Abbey National Treasury Services plcUK Banco do Brasil SAUK Banco Espirito Santo SAUK Barclays Bank plcUK BNP ParibasUK Citibank NAUK Crdit Agricole CIBUK Credit SuisseUK Deutsche Bank AGUK Goldman Sachs International BankUK HSBC Bank plcUK JP Morgan Chase BankUK Lloyds TSB Bank plcUK Merrill Lynch International Bank LimitedUK Standard Bank plcUK The Royal Bank of Scotland plcCH Credit SuisseCH UBS AGCH Zrcher Kantonalbank AG (ZKB)
Note : Countries are listed in Protocol order, i.e. the alphabetical order of the country names in the respectivenational language.
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ECBEuro Money Market Survey 36September 2012
ANNEX IICOORDINATION OF THE 2012 ECB EURO MONEY MARKET SURVEY
The 2012 ECB Euro Money Market Survey was conducted by a working group, comprising staffmembers from the ECB and the national central banks (NCBs), which reported to the ESCBs
Market Operations Committee.
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