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Publication of the Euro Money Market Study 2008

2 February 2009

Today the European Central Bank (ECB) is publishing a report entitled “Euro Money Market Study 2008”. The main conclusions of the study indicate that:

  • Aggregated turnover in the euro money market decreased for the first time since 2004 (in the second quarter of 2008, as compared with the second quarter of the previous year). The most notable decreases in activity took place in the following segments: overnight index swaps (OIS) (-32%), the secured market (-16%) and the unsecured market (-12%). The secured segment remains the largest segment of the euro money market.
  • As regards the over-the-counter (OTC) derivatives market, apart from the significant decline in the OIS segment, it is remarkable that the turnover in forward rate agreements (FRAs) between the second quarter of 2007 and the second quarter of 2008 almost doubled. In the same period, turnover in interest rate swaps excluding OIS increased sharply. Transaction volumes in foreign exchange swaps and in short-term securities markets remained broadly unchanged between the second quarter of 2007 and the second quarter of 2008.
  • In terms of concentration of volumes across market participants, the unsecured market segment remained the least concentrated segment, followed by the secured market segment.
  • In almost every market segment, the proportion of electronic trading decreased and the proportion of direct and voice-brokered deals increased.
  • The qualitative part of the study shows that, according to the respondents, market liquidity and efficiency deteriorated in most of the segments of the euro money market between the second quarter of 2007 and the second quarter of 2008.

The Euro Money Market Study 2008 analyses these developments more in depth. It relies mainly on the preliminary results of the Euro Money Market Survey 2008 [1], as well as other sources. The Euro Money Market Survey 2008 refers to the second quarter of each year and has been conducted since 1999 on an annual basis by the Market Operations Committee, composed by experts from the European System of Central Banks (ESCB), i.e. the ECB and the national central banks of the European Union.

The study can be downloaded from the ECB’s website.

  1. [1] The preliminary results of the Euro Money Market Study 2008 were published on 26 September 2008. For more details, see


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