In 2008 all ECB publications feature a motif taken from the 10 banknote.

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1 E U RO M O N E Y M A R K E T S U RV E Y S E P T E M B E R 2 8

2 In 28 all publications feature a motif taken from the 1 banknote. EURO MONEY MARKET SURVEY SEPTEMBER 28

3 European Central Bank, 28 Address Kaiserstrasse Frankfurt am Main, Germany Postal address Postfach Frankfurt am Main, Germany Telephone Website Fax All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. ISSN (online)

CONTENTS 1 The unsecured market 4 1.1 Turnover analysis 4 1.2 Maturity analysis 1.3 Market structure 6 2 The secured market 7 2.1 Turnover analysis 7 2.2 Maturity analysis 8 2.3 Market structure 9 2.

4 CONTENTS 1 The unsecured market Turnover analysis Maturity analysis 1.3 Market structure 6 2 The secured market Turnover analysis Maturity analysis Market structure Triparty repos 1 3 The OTC derivatives market Turnover analysis Maturity analysis 12 4 The short-term securities market Turnover analysis in the secondary market 17 Cross-market analysis 18.1 Turnover analysis 18.2 Maturity analysis 19.3 Market structure 2 Annexes 23 ABBREVIATIONS USED IN THE CHARTS 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; Tom/next Tomorrow/next (day) S/N Spot/next (day) ST-securities Short-term securities Xccys Cross-currency swaps 2 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 26, available at September 28 3

5 1 THE I.1 TURNOVER ANALYSIS UNSECURED MARKET Chart 1 Average daily turnover in unsecured cash lending and borrowing (index: cash lending volume in 22 = 1) Lending Borrowing Note: The panel comprised 8 credit institutions in 2 and 21 and 19 credit institutions thereafter. 4 September 28

6 I.2 MATURITY ANALYSIS Chart 2 Maturity breakdown for average daily turnover in unsecured lending (index: cash lending volume in 22 = 1) Chart 3 Maturity breakdown for average daily turnover in unsecured borrowing (index: cash borrowing volume in 22 = 1) Overnight (O/N) Tom/next to 1 month (T/N-1m) 1 month to 3 months (1m-3m) 3 months to 1 year (3m-1y) More than 1 year (>1y) Overnight (O/N) Tom/next to 1 month (T/N-1m) 1 month to 3 months (1m-3m) 3 months to 1 year (3m-1y) More than 1 year (>1y) Note: The panel comprised 8 credit institutions in 2 and 21 and 19 credit institutions thereafter. Chart 4 Maturity-weighted breakdown for average daily turnover in unsecured lending (percentages of total) Chart Maturity-weighted breakdown for average daily turnover in unsecured borrowing (percentages of total) O/N S/N 1w-1m 3m-6m >1y T/N <1w 1m-3m 6m-1y O/N S/N 1w-1m 3m-6m >1y T/N <1w 1m-3m 6m-1y Note: The panel comprised 19 credit institutions. September 28

7 I.3 MARKET STRUCTURE Chart 6 Geographical counterparty breakdown for unsecured average daily turnover in 27 (percentages of total) Chart 7 Geographical counterparty breakdown for unsecured average daily turnover in 28 (percentages of total) 21.1% other 27.7% national 2.8% other 31.8% national 1.2% euro area 47.4% euro area Note: The panel comprised 19 credit institutions. 6 September 28

8 THE SECURED MARKET 2 2.I TURNOVER ANALYSIS Chart 8 Average daily turnover in secured cash lending and borrowing (index: cash lending volume in 22 = 1) Lending Borrowing Note: The panel comprised 8 credit institutions in 2 and 21 and 19 credit institutions thereafter. September 28 7

9 2.2 MATURITY ANALYSIS Chart 9 Maturity breakdown for average daily turnover in secured lending and borrowing (percentages of total) Chart 1 Maturity breakdown for average daily turnover in secured lending and borrowing (percentages of total) 9 Overnight (O/N) Tom/next to 1 month (T/N-1m) 9 1 month to 3 months (1m-3m) 3 months to 1 year (3m-1y) More than 1 year (>1y) Note: The panel comprised 19 credit institutions. Chart 11 Maturity-weighted breakdown for average daily turnover in secured lending (percentages of total) Chart 12 Maturity-weighted breakdown for average daily turnover in secured borrowing (percentages of total) O/N S/N 1w-1m 3m-6m >1y T/N <1w 1m-3m 6m-1y O/N S/N 1w-1m 3m-6m >1y T/N <1w 1m-3m 6m-1y Note: The panel comprised 19 credit institutions. 8 September 28

10 2.3 MARKET STRUCTURE Chart 13 Trading structure breakdown (percentages of total) 1 Direct trading Voice broker Electronic trading Note: The panel comprised 19 credit institutions. Chart 14 Geographical collateral breakdown for bilateral repos in 27 (percentages of total) Chart 1 Geographical collateral breakdown for bilateral repos in 28 (percentages of total) 3.9% other 3.% national 4.% other 3.7% national 6.6% euro area 6.3% euro area Note: The panel comprised 19 credit institutions. September 28 9

11 Chart 16 Total repo market breakdown (percentages of total) Bilateral repos Triparty repos Note: The panel comprised 19 credit institutions. 2.4 TRIPARTY REPOS Chart 17 Maturity breakdown for average daily turnover in the triparty repo market (percentages of total) O/N, T/N, S/N <1w 1w-1m 1m-3m >3m Note: The panel comprised 19 credit institutions. 1 September 28

12 THE OTC DERIVATIVES MARKETS 3 3.I TURNOVER ANALYSIS Chart 18 Average daily turnover in the various OTC derivatives markets (index: OTC derivatives volume in 22 = 1) Overnight index swaps (OISs) Foreign exchange swaps (FX swaps) Other interest rate swaps (other IRSs) Cross-currency swaps (Xccy swaps) Forward rate agreements (FRAs) Note: The panel comprised 8 credit institutions in 21 and 19 credit institutions thereafter. September 28 11

13 3.2 MATURITY ANALYSIS Chart 19 Average daily turnover in the OIS segment (index: OIS volume in 22 = 1) Up to 1 month (<1m) 1 month to 3 months (1m-3m) 3 months to 1 year (3m-1y) More than 1 year (>1y) Note: The panel comprised 8 credit institutions in 2 and 21 and 19 credit institutions thereafter. Chart 2 Maturity-weighted breakdown for average daily turnover in the OIS segment (percentages of total) <1w 1w-1m 1m-3m 3m-6m 6m-1y >1y Note: The panel comprised 19 credit institutions. 12 September 28

14 Chart 21 Average daily turnover in the other IRS segment (index: other IRS volume in 22 = 1) Up to 2 years (<2y) 2 years to years (2y-y) years to 1 years (y-1y) More than 1 years (>1y) Note: The panel comprised 8 credit institutions in 2 and 21 and 19 credit institutions thereafter. Chart 22 Maturity-weighted breakdown for average daily turnover in the other IRS segment (percentages of total) <1y 1y-2y 2y-y y-1y >1y Note: The panel comprised 19 credit institutions. September 28 13

15 Chart 23 Average daily turnover in the FRA segment (index: FRA volume in 22 = 1) Up to 1 week (<1w) 1 week to 1 month (1w-1m) 1 month to 3 months (1m-3m) 3 months to 6 months (3m-6m) 6 months to 1 year (6m-1y) More than 1 year (>1y) Note: The panel comprised 8 credit institutions in 21 and 19 credit institutions thereafter. Chart 24 Maturity-weighted breakdown for average daily turnover in the FRA segment (percentages of total) <1w 1w-1m 1m-3m 3m-6m 6m-1y >1y Note: The panel comprised 19 credit institutions. 14 September 28

16 Chart 2 Average daily turnover in the FX swap segment (index: FX swap volume in 22 = 1) Up to 1 month (<1m) 1 month to 3 months (1m-3m) 3 months to 1 year (3m-1y) More than 1 year (>1y) Note: The panel comprised 8 credit institutions in 2 and 21 and 19 credit institutions thereafter. Chart 26 Maturity-weighted breakdown for average daily turnover in the FX swap segment (percentages of total) O/N <1w 1w-1m 1m-3m 3m-6m 6m-1y >1y Note: The panel comprised 19 credit institutions. September 28 1

17 Chart 27 Average daily turnover in the Xccy swap segment (index: Xccy swap volume in 22 = 1) Up to 2 years (<2y) 2 years to years (2y-y) years to 1 years (y-1y) More than 1 years (>1y) Note: The panel comprised 8 credit institutions in 2 and 21 and 19 credit institutions thereafter. Chart 28 Maturity-weighted breakdown for average daily turnover in the Xccy swap segment (percentages of total) <1y 1y-2y 2y-y y-1y >1y Note: The panel comprised 19 credit institutions. 16 September 28

18 THE SHORT-TERM SECURITIES MARKET 4 4.I TURNOVER ANALYSIS IN THE SECONDARY MARKET Chart 29 Average daily turnover in outright transactions (index: outright transaction volume in 22 = 1) Government issues Credit institution issues Non-credit institution issues Note: The panel comprised 8 credit institutions in 2 and 21 and 19 credit institutions thereafter. September 28 17

19 CROSS-MARKET.I TURNOVER ANALYSIS ANALYSIS Chart 3 Aggregated average daily turnover of the euro money market (index: aggregated average daily turnover volume in 22 = 1) 2 Unsecured Secured Overnight index swaps (OISs) Foreign exchange swaps (FX swaps) Other interest rate swaps (other IRSs) Cross-currency swaps (Xccy swaps) Forward rate agreements (FRAs) Short-term securities (ST-securities) Note: The panel comprised 8 credit institutions in 2 and 21 and 19 credit institutions thereafter. Chart 31 Average daily turnover in various money market segments (index: unsecured transaction volume in 22 = 1) Chart 32 Average daily turnover in various money market segments (index: unsecured transaction volume in 22 = 1) Unsecured Secured OISs FX swaps FRAs Other IRSs Xccy swaps ST-securities Note: The panel comprised 8 credit institutions in 2 and 21 and 19 credit institutions thereafter. 18 September 28

20 .2 MATURITY ANALYSIS Chart 33 Maturity breakdown for various money market segments in 28 (index: unsecured volume = 1) Up to 1 week (<1w) 1 week to 1 month (1w-1m) 1 month to 3 months (1m-3m) 3 months to 6 months (3m-6m) 6 months to 1 year (6m-1y) More than 1 year (>1y) Unsecured Secured OISs FX swaps FRAs Note: The panel comprised 19 credit institutions. September 28 19

21 .3 MARKET STRUCTURE Table 1 Concentration of unsecured market activity in 28 (percentages of total) Lending Borrowing Top credit institutions Top 1 credit institutions Top 2 credit institutions Table 2 Concentration of secured market activity in 28 (percentages of total) Bilateral Bilateral Triparty Triparty Total Total reverse repos repos reverse repos repos reverse repos repos Top credit institutions Top 1 credit institutions Top 2 credit institutions Table 3 Concentration of activity in the OTC derivative markets and short-term securities in 28 (percentages of total) ST-securities OISs Other IRSs FRAs FX swaps Xccy swaps Top credit institutions Top 1 credit institutions Top 2 credit institutions Note: For tables 1, 2 and 3 the panel comprised 19 credit institutions. 2 September 28

22 Chart 34 Lorenz curve: concentration of activity in various market segments in 28 (x axis: percentage of market participants; y axis: percentage of activity) 1 Unsecured Overnight index swaps (OISs) Forward rate agreements (FRAs) Cross-currency swaps (Xccy swaps) Secured Foreign exchange swaps (FX swaps) Other interest rate swaps (other IRSs) Short-term securities (ST-securities) Note: The panel comprised 19 credit institutions. September 28 21

23 Chart 3 Counterparty structure of various money market segments (percentages of total) National Euro area Other Unsecured Secured FX swaps FRAs OISs Other IRSs Xccy swaps ST-securities Note: The panel comprised 19 credit institutions Chart 36 Trading structure of various money market segments (percentages of total) Direct trading Voice broker Electronic trading Unsecured Secured FX swaps FRAs OISs Other IRSs Xccy swaps ST-securities Note: The panel comprised 19 credit institutions September 28

24 ANNEX 1 CREDIT INSTITUTIONS PARTICIPATING IN THE 28 EURO MONEY MARKET SURVEY AT Bank Austria Creditanstalt AG AT Oberbank AG AT Erste Bank der österreichischen Sparkassen AG AT Allgemeine Sparkasse Oberösterreich BankAG AT Raiffeisen Zentralbank Österreich AG AT Österreichische Volksbanken AG BE Dexia Bank Belgium BE Fortis Bank BE KBC Bank NV BG BNP Paribas, S.A. BG Eurobank EFG Bulgaria BG DSK Bank BG United Bulgarian Bank CH UBS AG CY Bank of Cyprus Public Company Ltd CY Hellenic Bank Public Company Ltd CY Marfin Popular Bank Public Company Ltd CZ Československá obchodní banka, a.s. CZ Citibank Europe plc CZ Česká spořitelna, a.s. CZ Komerční banka, a.s. CZ ABN AMRO Bank N.V. (Prague branch) CZ ING Bank N.V. (Prague branch) CZ UniCredit Bank Czech Republic, a.s. CZ HSBC Bank plc (Prague branch) DE Deutsche Bank AG DE Dresdner Bank AG DE Commerzbank AG DE SEB AG DE Landesbank Baden-Württemberg DE Bayerische Landesbank DE Landesbank Hessen-Thüringen Girozentrale DE WestLB AG DE DZ Bank AG Deutsche Zentral- Genossenschaftsbank DE WGZ BANK Westdeutsche Genossenschafts-Zentralbank DE Landwirtschaftliche Rentenbank DE Deutsche Postbank AG DE Landesbank Berlin DE Bayerische Hypo- und Vereinsbank AG DE BHF-Bank AG DE HSH Nordbank AG DE DekaBank Deutsche Girozentrale ES Banco Santander Central Hispano, S.A. ES Barclays Bank, S.A. ES Banco Pastor, S.A. ES Banco Popular Español, S.A. ES Banco de Sabadell, S.A. ES Bankinter, S.A. ES Banco Bilbao Vizcaya Argentaria, S.A. ES Banco Cooperativo Expañol, S.A. ES Confederación Española de Cajas de Ahorros ES Caixa d Estalvis de Catalunya ES Caja de Ahorros y M.P. de Madrid ES Caja de Ahorros del Mediterráneo ES Caja de Ahorros de Galicia ES Caja de Ahorros y Pensiones de Barcelona ES Banco de Crédito Local de España, S.A. FI Pohjola Pankki Oyj FI Nordea Bank Finland Abp FR Bred - Banque Populaire FR Société Générale FR BNP Paribas FR Crédit Agricole S.A. FR Natixis FR HSBC France FR Calyon FR La Banque Postale FR Crédit Industriel et Commercial - Cic GB JP MORGAN Chase Bank GB Abbey National Treasury Services plc GB HBOS Treasury Services plc GB BNP Paribas (London) GB Barclays Bank PLC GB Deutsche Bank AG (London) GB Goldman Sachs International Bank GB Lloyds TSB Bank plc GB HSBC Bank plc GB The Royal Bank of Scotland plc GB ABN Amro Bank NV (London) GB Citibank NA (London) GB Credit Suisse (London) GR National Bank of Greece GR Emporiki Bank of Greece, S.A. GR Alpha Bank, S.A. GR Piraeus Bank, S.A. GR EFG Eurobank Ergasias, S.A. GR ATE Bank, S.A. GR BNP Paribas ANNEX September 28 23

25 GR HSBC Bank plc HU Kereskedelmi és Hitelbank Nyrt. HU UniCredit Bank Hungary Zrt. HU ING Bank (Magyarország) Zrt. IE Allied Irish Banks plc IE Anglo Irish Bank Corporation plc IE Bank of Ireland IE UniCredito Italiano Bank (Ireland) plc IE DEPFA Bank plc IE Irish Life and Permanent plc IE Rabobank Ireland plc IT BANCA IMI IT Banca Nazionale del Lavoro Spa IT Banca Monte dei Paschi di Siena Spa IT Unicredito Italiano Spa IT Dexia Crediop Spa IT Banca Intesa Spa IT BNP Paribas SA LT AB SEB bankas LT AB bankas Snoras LT AB bankas Hansabankas LU Banque et Caisse d Epargne de l Etat, Luxembourg LU Kredietbank Luxembourgeoise LU HVB Banque Luxembourg S.A. LV Parex Banka LV Rietumu Banka LV HANSABANKA LV SEB banka LV DnB NORD Banka MT BAWAG Malta Bank Ltd MT HSBC Bank Malta plc MT Bank of Valletta plc MT Volksbank Malta Ltd NL ABN AMRO Bank N.V. NL ING Bank N.V. NL Rabobank Nederland NL Bank Nederlandse Gemeenten N.V. NL F. van Lanschot Bankiers N.V. PL Bank Handlowy w Warszawie SA PL Bank BPH SA PL Bank Zachodni WBK SA PL Kredyt Bank SA PL Deutsche Bank Polska SA PL Bank Pekao SA PT Banco Bilbao Vizcaya Argentaria (Portugal), SA PT Banco BPI, SA PT Barclays Bank, PLC PT Banco Comercial Português, SA PT Caixa Geral de Depósitos, SA PT Caixa Económica Montepio Geral PT BANIF - Banco Internacional do Funchal, SA PT Deutsche Bank (Portugal), SA PT Banco Finantia, SA PT Banco Espírito Santo, SA PT BPN - Banco Português de Negócios, SA PT Banco Santander Totta, SA PT Banco Itaú Europa, SA PT Caixa Central - Caixa Central de Crédito Agrícola Mútuo, CRL PT Banco do Brasil, SA RO Romanian Commercial Bank SA RO Abn Amro (Romania) SA RO BRD - Groupe Societe Generale SA SE SEB (Skandinaviska Enskilda Banken AB) SE Nordea Bank AB SE Swedbank AB SE Svenska Handelsbanken AB SI Abanka Vipa d.d. SI UniCredit Banka Slovenija d.d. SI Nova Ljubljanska banka d.d. Ljubljana SK Slovenská sporiteľňa, a.s. SK Všeobecná úverová banka, a.s. 24 September 28

26 ANNEX 2 COORDINATION OF THE 28 EURO MONEY MARKET SURVEY The 28 was conducted by a working group comprising staff members from the and NCBs, which reported to the ESCB s Market Operations Committee. ANNEX September 28 2

EURO MONEY MARKET SURVEY SEPTEMBER

EURO MONEY MARKET SURVEY SEPTEMBER 29 EURO MONEY MARKET SURVEY SEPTEMBER 29 In 29 all ECB publications feature a motif taken from the 2 banknote. European Central Bank 29 Address Kaiserstrasse 29 6311