Euro Money Market Survey November 2007...ECB Euro Money Market Survey 4 November 2007 1 The...

RUCTURESEURO MONEY MARKET NOVEMBER 2007

S URVEY

In 2007 all ECB publications

feature a motif taken from the €20 banknote.

EURO MONEY MARKET SURVEY

NOVEMBER 20 07

© European Central Bank 2007

AddressKaiserstrasse 2960311 Frankfurt am Main,Germany

Postal addressPostfach 16 03 1960066 Frankfurt am Main,Germany

Telephone+49 69 1344 0

Websitehttp://www.ecb.europa.eu

Fax+49 69 1344 6000

Telex411 144 ecb d

All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.

ISSN 1830-7000 (online)

ECB Euro Money Market Survey

November 2007 3

CONTENTS

1 The unsecured market 4

1.1 Turnover analysis 4

1.2 Maturity analysis 4

1.3 Market structure 5

2 The secured market 6



2.3 Market structure 7

2.4 Triparty repos 8

3 The OTC derivatives market 9



4 The short-term securities market 13

4.1 Turnover analysis in the secondary market 13

5 Cross-market segment analysis 14



5.3 Market structure

Annexes 18

Annex 1 Euro money market activity in the new EU Member States 18

Annex 2 Banks participating in the 2007 Euro Money Market Survey 20

Note: The data represented herein refer to the second quarter of each respective year. For further technical information please consult

Annex 1 of the Euro Money Market Study 2006, available at http://www.ecb.europa.eu/press/pr/date/2007/html/pr070213.en.html.

15

ECB Euro Money Market Survey November 2007 4

1 The unsecured market

1.1 Turnover analysis

Chart 1 Average daily turnover in unsecured cash borrowing and lending between 2000 and 2007

0

50

100

150

200

250

300

2000 2001 2002 2003 2004 2005 2006 2007

LendingBorrowing

Note: The cash lending volume in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.

1.2 Maturity analysis

Chart 2 Maturity breakdown for unsecured lending and borrowing between 2000 and 2007

Unsecured lending transaction volumes

0

20

40

60

80

100

120

140

2000 2001 2002 2003 2004 2005 2006 2007

Overnight Tom/Next to 1 Month 1 Month to 3 Months3 Months to 1 Year More than 1 Year

Unsecured borrowing transaction volumes

020

4060

80100

120140

160

2000 2001 2002 2003 2004 2005 2006 2007

Overnight Tom/Next to 1 Month 1 Month to 3 Months3 Months to 1 Year More than 1 Year

Note: The cash lending volume in Q2 2002 (left-hand chart) and the cash borrowing volume in Q2 2002 (right-hand chart) are taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.


November 2007 5

Chart 3 Maturity breakdown for (maturity-weighted) unsecured lending and borrowing in 2006 and 2007


0%

5%

10%

15%

20%

25%

30%

Overnight T/N S/N -1W 1W-1M 1M - 3M 3M-6M 6M-1Y >1 Year

20062007


0%

5%

10%

15%

20%

25%


20062007

Note: The panel comprised 158 banks. T/N stands for tomorrow/next and S/N for spot/next.


Chart 4 Geographical counterparty breakdown of unsecured transactions

2006 2007

Unsecured counterparties 2006

25%

55%

20%

NationalEuro areaOthers

Unsecured counterparties 2007

28%

50%

22%

NationalEuro areaOthers

Note: The panel comprised 158 banks.


2 The secured market


Chart 5 Average daily turnover in secured cash lending and borrowing between 2000 and 2007

0

50

100

150

200

250

300

2000 2001 2002 2003 2004 2005 2006 2007

LendingBorrowing

Note: The secured lending volume in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.


Chart 6 Maturity breakdown for overall secured lending and borrowing activities from 2003 to 2007

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Overnight Tom/Next to 1Month

1 Month to 3Months

3 Months to 1Year

More than 1 Year

2003 2004 2005

2006 2007



November 2007 7

Chart 7 Maturity breakdown for (maturity-weighted) secured lending and borrowing in 2006 and 2007

secured lending transaction volumes

0%

5%

10%

15%

20%

25%


20062007

secured borrowing transaction volumes

0%

5%

10%

15%

20%

25%


20062007



Chart 8 Trading structure breakdown between 2002 and 2007

0%10%20%30%40%50%60%70%80%90%

100%

2002 2003 2004 2005 2006 2007

Direct Voice broker Electronic trading


Chart 9 Geographical collateral breakdown for bilateral repos in 2006 and 2007

2006 2007

36%

61%

3%

National Euro area Other

35%

60%

5%

National Euro area Other



2.4 Triparty repos

Chart 10 Composition of Total Repo (Lending and Borrowing) from 2003 to 2007

0%

20%

40%

60%

80%

100%

2003 2004 2005 2006 2007

Bilateral Repo Triparty Repo

Note: The panel comprised 114 banks. Base of 100 for each year.

Chart 11 Maturity breakdown for triparty repo transactions in 2006 and 2007

0%

10%

20%

30%

40%

50%

60%

70%

80%

O/N, T/N, S/N < 1W 1W - 1M 1M - 3M > 3M

2006

2007

Note: The panel comprised 158 banks. O/N stands for overnight, T/N for tomorrow/next and S/N for spot/next.


November 2007 9

3 The OTC derivatives markets


Chart 12 Developments in the market shares of the various OTC derivatives markets

-

50

100

150

200

250

2001 2002 2003 2004 2005 2006 2007

OIS FX IRS Xccy FRA

Note: The volume for OTC derivatives in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2001 and 114 banks thereafter. OIS stands for overnight indexed swaps, FX for foreign exchange swaps, IRS for interest rate swaps, Xccy for cross-currency swaps and FRA for forward rate agreements.


Chart 13 Developments in the OIS segment between 2000 and 2007

0

50

100

150

200

250

2000 2001 2002 2003 2004 2005 2006 2007

Up to 1 Month 1 Month to 3 Months 3 Months to 1 Year More than 1 Year

Note: The volume of overnight indexed swaps (OIS) in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks from 2002 to 2006.


Chart 14 Maturity breakdown (maturity-weighted) in the OIS segment for 2006 and 2007

0%

5%

10%

15%

20%

25%

30%

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

2006

2007


Chart 15 Developments in the other IRS segment between 2000 and 2007

0

50

100

150

200

250

300

350

2000 2001 2002 2003 2004 2005 2006 2007

Up to 2 Years > 2 Years to 5 Years (included) > 5 Years to 10 Years (included) > 10 Years

Note: The interest rate swap (IRS) volume Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks from 2002 to 2006.

Chart 16 Maturity breakdown (maturity-weighted) in the other IRS segment for 2006 and 2007

0%

10%

20%

30%

40%

50%

60%

70%

< 1y 1y-2y 2y-5y 5y-10y +10y

2006

2007



November 2007 11

Chart 17 Developments in the FRA segment between 2001 and 2007

0

20

40

60

80

100

120

140

160

180

2001 2002 2003 2004 2005 2006 2007

< 1 Week > 1 Week to 1 Month > 1 Month to 3 Months> 3 Months to 6 Months > 6 Months to 1 Year > 1 Year

Note: The forward rate agreement (FRA) volume in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2001 and 114 banks thereafter.

Chart 18 Maturity breakdown (maturity-weighted) in the FRA segment for 2006 and 2007

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

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

2006

2007


Chart 19 Developments in the FX swap segment between 2000 and 2007

020

406080

100

120140160

180200

2000 2001 2002 2003 2004 2005 2006 2007

Up to 1 Month 1 Month to 3 Months 3 Months to 1 Year More than 1 Year

Note: The FX swap volume in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.


Chart 20 Maturity breakdown (maturity-weighted) in the FX swap segment for 2006 and 2007

0%

5%

10%

15%

20%

25%

30%

ON < 1w 1w-1m 1m-3m 3m-6m 6m-1y >1 Year

2006

2007


Chart 21 Developments in the cross-currency swap segment between 2000 and 2007

0

50

100

150

200

250

2000 2001 2002 2003 2004 2005 2006 2007

Up to 2 Years > 2 Years to 5 Years (incl.) > 5 Years to 10 Years (incl.) > 10 Years

Note: The cross-currency swap (Xccy) volume in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.

Chart 22 Maturity breakdown (maturity-weighted) in the cross-currency swap segment for 2006 and 2007

0%

10%

20%

30%

40%

50%

60%

70%

< 1y 1y-2y 2y-5y 5y-10y +10y

2006

2007



November 2007 13

4 The short-term securities market

4.1 Turnover analysis in the secondary market

Chart 23 Developments in outright transactions between 2000 and 2007

0

50

100

150

200

250

2000 2001 2002 2003 2004 2005 2006 2007

Government Issues Bank Issues Non-Bank Issues

Note: The volume of outright transactions in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.


5 Cross-market segment analysis


Chart 24 Aggregated turnover of the euro money market between 2000 and 2007

0

50

100

150

200

2000 2001 2002 2003 2004 2005 2006 2007

Unsecured Secured OISFX sw aps Other IRS Xccy sw apsFRA Short-term securities

Note: The volume of aggregated euro money market transactions in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.

Chart 25 Average daily turnover in each money market segment between 2000 and 2007

0

50

100

150

200

250

Unsecured Secured OIS FX swaps Other IRS Xccy swaps FRA Short -termsecurit ies

2000 2001 2002 2003 2004 2005 2006 2007

Note: The volume of unsecured transactions in Q2 2002 is taken as the base (100). The panel comprised 85 banks in 2000 and 2001 and 114 banks thereafter.


November 2007 15



Table 1 Concentration of unsecured market activity in Q2 2007

Lending Borrowing

Top 5 banks 24.2% 30.3% Top 10 banks 37.6% 47.9% Top 20 banks 56.6% 65.5%

Table 2 Concentration of secured market activity in Q2 2007 Bilateral Repo Triparty Repo Total Repo

Rev repo Repo Rev repo Repo Rev repo Repo Top 5 banks 35.8% 37.7% 61.7% 81.7% 32.6% 38.9% Top 10 banks 54.3% 58.1% 89.8% 98.0% 50.9% 60.9% Top 20 banks 80.7% 82.6% 99.7% 100.0% 77.1% 83.6%

Table 3 Concentration of activity in the OTC derivative markets and Short-term Securities in Q2 2007

Short-term

Securities OIS Other IRS FRAs FX swaps Xccy

Top 5 banks 50.2% 36.7% 53.4% 50.5% 44.9% 58.2% Top 10 banks 74.1% 62.3% 72.4% 75.1% 64.9% 75.2% Top 20 banks 91.7% 83.3% 85.9% 93.4% 84.9% 90.0%

Note: Table 1, 2, 3; Panel of 158 banks.

Chart 26 Total unsecured, secured, OIS, FX swaps and FRA turnover for the different maturity bands in 2007

0

25

50

75

100

125

150

175

200

Unsecured Secured OIS FX swaps FRA

Up to 1 week 1 week to 1 month 1 month to 3 months3 months to 6 months 6 months to 1 year More than 1 year

Note: The unsecured volume in Q2 2007 is taken as the base (100). The panel comprised158 banks.


Chart 27 Lorenz curves showing the concentration of activity in the different market segments in 2007

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%

% of market participants

% o

f act

ivity

Unsecured SecuredOIS F X swapsFRA IRSXccy swaps Short-term securities

Note: Panel of 158 banks.

Chart 28 Geographical counterparty structure of the different market segments in 2006 and 2007

0%

20%

40%

60%

80%

100%

2006

2007

2006

2007

2006

2007

2006

2007

2006

2007

2006

2007

2006

2007

2006

2007

Unsecured Secured FX sw aps FRA OIS IRSXccy

sw apsShort-termsecurities

National Euro area Others



November 2007 17

Chart 29 Trading structure of the different market segments in 2006 and 2007

0%

20%

40%

60%

80%

100%

2006

2007

2006

2007

2006

2007

2006

2007

2006

2007

2006

2007

2006

2007

2006

2007

Unsecured Secured FX sw aps FRA OIS IRSXccy

sw apsShort-termsecurities

Direct via Voice Broker via Electronic Broker



Annex 1 Euro money market activity in the new EU Member States1

Chart 1 Market structure

0

20

40

60

80

100

Shor t ter m & Der ivati ves 8.7 2.8 3.3 4.5

FX Swaps 35.5 22.8 21.6 30.9

Secur ed 0.2 0.8 0.5 0.3

Unsecur ed 55.6 73.6 74.65 64.3

2004 2005 2006 2007

Note: Panel of 32 banks. Base of 100 for each year.

Chart 2 The unsecured market

0

20

40

60

80

100

120

140

160

180

2004 2005 2006 2007

Lending

Bor rowing

Note: Panel of 32 banks. Lending in Q2 2004 is the base (100).

Chart 3 Maturity breakdown for unsecured lending and borrowing between 2004 and 2007


0

50

100

150

200

2004 2005 2006 2007

Overnight Tom/Next to 1 Month 1 Month to 3 Months3 Months to 1 Year > 1 Year


0

50

100

150

200

2004 2005 2006 2007

Overnight Tom/Next to 1 Month 1 Month to 3 Months3 Months to 1 Year > 1 Year

Note: Panel of 32 banks. The cash lending volume in Q2 2004 (left-hand chart) and the cash borrowing volume in Q2 2004 (right-hand chart) are taken as the base (100).

1 Chart 1, 2, 3: Panel comprised banks from New Member States as of May 1st 2004; Cyprus, Czech Republic, Hungary, Latvia,

Lithuania, Malta, Poland, Slovenia and Slovakia.

Chart 4: As Charts 1-3, along with banks from Bulgaria.


November 2007 19

Chart 4 Maturity breakdown for (maturity-weighted) unsecured lending and borrowing in 2006 and 2007


0%

5%

10%

15%

20%

25%

30%


2006

2007


0%

10%

20%

30%

40%

50%

60%


2006

2007



Annex 2 Banks participating in the 2007 Euro Money Market Survey

AT Allgemeine Sparkasse Oberösterreich Bank AG ES Banco Popular Español, S.A.

AT Bank Austria-Creditanstalt AG ES Bankinter, S.A.

AT Erste Bank der oesterr. Sparkassen AG ES Barclays Bank, S.A.

AT Oberbank AG ES Banco Bilbao Vizcaya Argentaria, S.A.

AT Österreichische Volksbanken-AG ES Caixa d' Estalvis de Catalunya

AT Raiffeisen Zentralbank Oesterreich AG ES Caja de Ahorros del Mediterráneo

BE Dexia Banque Belgique ES Caja de Ahorros de Galicia

BE Fortis Banque ES Caja de Ahorros y Monte de Piedad de Madrid

BE KBC Bank NV ES Caja de Ahorros y Pensiones de Barcelona

BG BNP Paribas, Bulgaria ES Confederación Española de Cajas de Ahorros

BG Bulgarian Post Bank ES Banco Santander Central Hispano, S.A.

BG DSK Bank FI OKO Pankki Oyj

BG United Bulgarian Bank FI Sampo Pankki Oyj

CH UBS AG FI Nordea Bank Finland Abp

CY Bank of Cyprus Public Company Ltd FR BNP Paribas

CY Hellenic Bank Public Company Ltd FR BRED

CY Marfin Popular Bank Public Co Ltd FR Calyon

CZ ABN AMRO Bank N. V. FR Crédit Industriel et Commercial - Cic

CZ Česká spořitelna, a. s. FR Crédit Agricole S.a.

CZ Československá obchodní banka, a. s. FR HSBC France

CZ Citibank a. s. FR Ixis corporate & investment bank

CZ HSBC Bank plc - pobočka Praha FR La Banque Postale

CZ HVB Bank Czech Republic a. s. FR Natexis Banques Populaires

CZ ING Bank N. V. FR Société Générale

CZ Komerční banka, a. s. GB Abbey National Treasury Services plc

DE Landesbank Berlin AG GB ABN Amro Bank NV

DE Bayerische Hypo- und Vereinsbank AG GB Barclays Bank plc

DE BayernLB GB BNP Paribas

DE BHF-Bank Aktiengesellschaft GB Citibank NA

DE Commerzbank AG GB Credit Suisse

DE Dekabank -Deutsche Girozentrale- GB Deutsche Bank AG

DE Deutsche Bank AG GB Goldman Sachs International Bank

DE Deutsche Postbank AG GB HBOS Treasury Services plc

DE Dresdner Bank AG GB HSBC Bank plc

DE DZ Bank AG GB JP Morgan Securities Limited

DE HSH Nordbank AG GB Lloyds TSB Bank plc

DE Landesbank Baden-Württemberg GB Royal Bank of Scotland

DE Landesbank Hessen -Thüringen Girozentrale GR HSBC Bank plc

DE Landesbank Sachsen Girozentrale GR Agricultural Bank of Greece, S.A.

DE Landwirtschaftliche Rentenbank GR Alpha Bank, S.A.

DE SEB AG GR BNP Paribas

DE WestLB AG GR EFG Eurobank Ergasias, S.A.

ES Banco de Sabadell, S.A. GR Emporiki Bank of Greece SA.

ES Banco Cooperativo Español, S.A. GR National Bank of Greece, S.A. ES Banco de Crédito Local de España, S.A. GR Piraeus Bank, S.A. ES Banco Pastor, S.A. HU ING Bank (Magyarország) Rt.


November 2007 21

HU K&H Bank Nyrt. PT Banco Santander Totta, SA HU Unicredit Bank Hungary Zrt PT Barclays Bank, plc IE Allied Irish Banks plc PT Banco Português de Investimento, SA IE Bank of Ireland PT BPN - Banco Português de Negócios, SA IE DEPFA Bank plc PT Caixa Central de Crédito Agrícola Mútuo, CRL IE Irish Life and Permanent Group Treasury PT Caixa Económica Montepio Geral IE Rabobank Ireland plc PT Caixa Geral de Depósitos, SA IE Ulster Bank Ireland Limited PT Deutsche Bank (Portugal), SA IE UniCredito Italiano Bank (Ireland) plc SE Nordea Bank AB IT Capitalia Spa SE Skandinaviska Enskilda Banken AB IT Banca IMI SE Svenska Handelsbanken AB IT Banca Monte dei Paschi di Siena Spa SE Swedbank AB IT Banca Nazionale del Lavoro Spa SI Abanka Vipa d.d. IT BNP Paribas SA SI Bank Austria Creditanstalt d.d. Ljubljana IT Dexia Crediop Spa SI Nova Ljubljanska Banka d.d., Ljubljana IT Intesa SanPaolo SK Slovenská sporiteľňa, a.s. IT Sanpaolo Imi Spa SK Všeobecná úverová banka, a.s. IT Unicredit Banca Spa LT AB Bankas „Hansabankas” LT AB bankas „Snoras” LT SEB Vilniaus bankas LU Banque et Caisse d'Epargne de l'Etat LU HVB Banque Luxembourg S.A. LU Kredietbank S.A. Luxembourgeoise LV HANSABANKA LV SEB Latvijas Unibanka LV Parex banka LV Rietumu Banka MT Bank of Valletta plc MT BAWAG Malta Bank Ltd MT HSBC Bank Malta plc MT Volksbank Malta Ltd NL ABN AMRO Bank N.V. NL ING Bank N.V. NL Bank Nederlandse Gemeenten N.V. NL Rabobank International Utrecht NL F. van Lanschot Bankiers N.V. PL Bank BPH S.A. PL Bank Zachodni WBK SA PL Bank Handlowy w Warszawie SA PL Deutsche Bank Polska SA PL Kredyt Bank SA PT Banco Bilbao Vizcaya Argentaria (Portugal), SA PT Banco Comercial Português, SA PT Banco do Brasil, SA PT Banco Espírito Santo, SA PT Banco Finantia, SA PT Banco Internacional do Funchal, SA PT Banco Itaú Europa, SA

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