ECB Money Markets Survey Analysis 2008

Transcription

1 ECB Money Market Contact Group ECB Money Markets Survey Analysis 2008 September 11th, 2008 Jean-Michel MEYER Frédéric MOUCHEL (HSBC) (J.P.Morgan) 1

2 Unsecured Market, Turnover Analysis 100 = 2002 Lending level Lending Borrowing /2007: Lending stable (-2%) Borrowing down 19% Borrowing Lending ratio down from 2.13 to

3 Unsecured Market, Maturity Analysis 100 = 2002 Lending level Unsecured lending transaction volumes Unsecured borrowing transaction volumes Overnight Tom/Next to 1 Month 1 Month to 3 Months 3 Months to 1 Year More than 1 Year Overnight Tom/Next to 1 Month 1 Month to 3 Months 3 Months to 1 Year More than 1 Year 2008/2007: Lending: Not material but 3m to 1y down 21% and over 1y down 59% O/N to 1 month represent 97% of lending Borrowing: O/N to 1Month down 21% (96% of borrowings) 1month to 1year up 32% (4% of borrowings) 3

4 Repo Market, Turnover Analysis 100 = 2002 Lending level Lending Borrowing /2007: Lending down 18% Borrowing down 14% Total very close to 2006 level 4

5 Repo Market, Maturity Analysis 100 = 2002 Lending level Secured Lending Secured Borrowing Overnight Tom/ Next to 1 Month 1 Month to 3 Months 3 Months to 1 Year More than 1 Year Overnight Tom/ Next to 1 Month 1 Month to 3 Months 3 Months to 1 Year More than 1 Year 2008/2007: Overall volumes down respectively 18% in Lending and 14% in borrowing But O/N activity up respectively 14% and 51% representing now 25% of total volumes up from 16% in 2007 and 15% in 2006 O/N to 1month volumes represent 94% of lending and 96% of borrowing (very stable over years) 5

6 Repo Market, Maturity Breakdown 80% 70% 60% % 40% 30% 20% 10% 0% O/N T/N S/N <1W 1W-1M 1M-3M >3M 2008/2007: Transactions are shortening with 1 business trade up 5% to 74% Other trades within a week down 5% to 15% Unchanged share for transactions beyond 1 month 6

7 Repo Market, Triparty Maturity Breakdown 80% 70% 60% % 40% 30% 20% 10% 0% O/N, T/N, S/N < 1W 1W - 1M 1M - 3M > 3M 2008/2007: Similar pattern with total secured market trade population Transactions are shortening with 1 business trade up 3% to 73% Other trades within a week down 4% to 19% Marginal share increase for transactions beyond 1 month 7

8 Repo Market, Maturity Weighted transaction volumes secured lending transaction volumes secured borrowing transaction volumes 25% % % 20% 15% 15% 10% 10% 5% 5% 0% Overnight T/N S/N -1W 1W-1M 1M - 3M 3M-6M 6M-1Y >1 Year 0% Overnight T/N S/N -1W 1W-1M 1M - 3M 3M-6M 6M-1Y >1 Year 2008/2007: Lending: Material decrease (-11%) in over 1 year share Offset in 1m to 6 m buckets Overall numbers down 12% Borrowing: Overall numbers down 26% Material decrease as well (-12%) in over 1 year share O/N up from 2% to 5% 8

9 Repo Market, Bilateral versus Triparty 100% 80% 60% 40% 20% 0% Q Q Q Q Q Q Bilateral Repo Triparty Repo 2008/2007: Share of Triparty continues to rise reaching 15% (13% in 07, 11% in 06) 9

10 Bilateral Repo market, Counterparty Geographical Analysis 4% % 4% 31% 61% 65% National Euro area Other National Euro area Other 2008/2007: Business with Euro Zone Counterparties suffered less than domestic business share growing from 61% to 65%. Activity with other domestic counterparts went down 28%. 10

11 Unsecured market, Counterparty Geographical Analysis Unsecured counterparties 2007 Unsecured counterparties % 28% 21% 32% 51% National Euro area Others 47% National Euro area Others 2008/2007: Opposite phenomenon to secured markets as share of business done with domestic counterparts grew from 28% to 32%. Share of business done with Non-Euro Zone counterparts is stable at 21%. 11

12 Repo Market, Trading structure Repo Market 2008 Repo Market 100% 31% 80% 60% 48% 40% 20% 0% % Direct Voice broker Electronic trading Direct Voice broker Electronic trading Repo Market: Electronic Trading down for the second year running (48% from 50% in 2007) Direct Trading up to 31% from 27% in 2007 Voice Broker continues to slowly trend down at 21% (from 23% in 2007) 12

13 OTC derivatives turnover breakdown by maturity 100 = 2002 level OIS FX IRS Xccy FRA 13

14 OIS, turnover breakdown by maturity 100 = 2002 level Up to 1 Month 1 Month to 3 Months 3 Months to 1 Year More than 1 Year 14

15 OIS turnover, Maturity Weighted 30% 25% 20% % 10% % 0% < 1w 1w-1m 1m-3m 3m-6m 6m-1y >1 Year 15

16 IRS, turnover breakdown by maturity 100 = 2002 level Up to 2 Years > 2 Years to 5 Years (included) > 5 Years to 10 Years (included) > 10 Years 16

17 IRS turnover, Maturity Weighted 50% 45% 40% 35% 30% % 20% 15% % 5% 0% < 1y 1y-2y 2y-5y 5y-10y +10y 17

18 FRA, turnover breakdown by maturity 100 = 2002 level < 1 Week > 1 Week to 1 Month > 1 Month to 3 Months > 3 Months to 6 Months > 6 Months to 1 Year > 1 Year 18

19 FRA turnover, Maturity Weighted 50% 45% 40% 35% 30% % 20% 15% % 5% 0% < 1w 1w-1m 1m-3m 3m-6m 6m-1y >1 Year 19

20 FX Swaps, turnover breakdown by maturity 100 = 2002 level Up to 1 Month 1 Month to 3 Months 3 Months to 1 Year More than 1 Year 20

21 FX Swaps, Maturity Weighted 30% 25% 20% % 10% % 0% ON < 1w 1w-1m 1m-3m 3m-6m 6m-1y >1 Year 21

22 Xccy Swaps, turnover breakdown by maturity 100 = 2002 level Up to 2 Years > 2 Years to 5 Years (incl.) > 5 Years to 10 Years (incl.) > 10 Years 22

23 Xccy Swaps, Maturity Weighted 40% 35% 30% 25% % 15% 10% % 0% < 1y 1y-2y 2y-5y 5y-10y +10y 23

24 Short Term Securities, distribution analysis 100 = 2002 level Government Issues Bank Issues Non-Bank Issues 24

25 Concentration of Money Market Derivatives Products Lorentz Curve % of activity 100% 90% 80% 70% 60% 50% 40% 30% Unsecured Secured 20% OIS FX swaps 10% FRA IRS Xccy swaps Short-term securities 0% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% % of market participants Market shares of 20% players OIS FRAs IRS CCIRS % 99% 94% 97% % 92% 99% 97% 25

26 Total turnover all products 100 = 2002 level Q Q Q Q Q Q Q Q Q Unsecured Secured OIS FX Sw ap Other IRS Xccy sw aps FRA Short-term securities 26

27 Counterparty split by product 100% 90% 80% 70% 60% 50% Others Euro area National 40% 30% 20% 10% 0% Unsecured Secured FX swaps FRA OIS IRS Xccy sw a ps Short-term se curitie s 27

28 Method of trade execution 100% 90% 80% 70% 60% 50% via Electronic Broker via Voice Broker Dire ct 40% 30% 20% 10% 0% Unsecured Secured FX swaps FRA OIS IRS Xccy sw a ps Short-term securitie s 28

29 QUALITATIVE INFORMATION ON THE EURO MONEY MARKET 1. Is the EURO market (for the different segments) in your opinion efficient? Options Future s Short-term Papers FRA X-ccy Sw aps IRS extremely significantly sufficiently limitedly FX Sw aps and Forw ard OIS Re po Deposits 0% 20% 40% 60% 80% 100% 29

30 QUALITATIVE INFORMATION ON THE EURO MONEY MARKET 2. Has the market liquidity in EURO changed with respect to last year? Options Futures Short-term Papers FRA improved significantly improved slightly not changed worsened slightly X-ccy Swaps IRS FX Swaps and Forward OIS Repo Deposits 0% 20% 40% 60% 80% 100% 30