ECB publishes the Euro Money Market Survey 2009
Today the European Central Bank (ECB) is publishing a report entitled “Euro Money Market Survey 2009”, which illustrates the main developments in the euro money market in the second quarter of 2009, in comparison with the second quarter of 2008.
The main results for the constant panel of 105 banks show the following.
- Aggregate turnover in the euro money market decreased for a second consecutive year, falling by 5%. The most notable decrease in activity took place in the unsecured market, where turnover contracted by 25%.
- The decline in the unsecured market was more severe for the longer maturities as turnover contracted by 44% for maturities from three months to one year. From the respondents’ point of view, liquidity conditions and efficiency in the unsecured market also continued to deteriorate.
- The secured market showed resilience (with turnover increasing by 5%) following last year’s decline and remained the largest segment of the euro money market. Overnight activity in this market segment continued to increase this year, accounting for 27% of secured trades, the largest share since 2003.
- For the first time, the 2009 survey compiled data on activity in the secured market cleared through central counterparties (as a subset of the bilateral repo market), which represented 39% of total secured market turnover.
- Activity in the derivatives market was also affected, showing a decline of 2%, mostly on account of overnight index swaps (OISs) and other interest rate swaps excluding OISs (“Other IRSs”). Turnover in forward rate agreements (FRAs) and cross-currency swaps continued to increase this year. As a result, the FRA segment’s share of euro money market turnover reached 11%, whereas cross-currency swaps accounted for only 0.5%.
- Looking at concentration among market participants, the market share of the top 20 banks tended to increase in most euro money market segments. The unsecured market remained the least concentrated segment, followed by the OIS and secured market segments.
- The share of electronic trading declined in the unsecured and secured market segments, mostly reflecting an increase in direct trading between counterparties. The other segments recorded an increase in the share of electronic trading, albeit to varying degrees.
- The share of trading between counterparties from the same country increased slightly in the unsecured and secured markets, whereas in most derivatives segments the share of transactions with non-euro area counterparties increased significantly.
- The qualitative part of the study shows that, in most market segments, with the exception of the unsecured market, the majority of respondents reported some stabilisation and even some improvement in market liquidity conditions following the unprecedented deterioration recorded in the second quarter of 2008. However, a significant number of respondents continued to report a further deterioration in all segments of the euro money market also in the second quarter of 2009.
The Euro Money Market Survey, which refers to the second quarter of each year, has been conducted since 1999 on an annual basis by experts from the European System of Central Banks, i.e. the ECB and the national central banks of the European Union. Although the survey is carried out and its results are published every year, the ECB only publishes a complete study based on the survey data every second year. The last complete study, entitled “Euro Money Market Study 2008”, was published on 2 February 2009. Today’s report consists of a set of charts presenting the data from the 2009 survey with no explanatory text.
The “Euro Money Market Survey 2009” and a summarised version of the aggregate survey data (CSV file) can be downloaded from the ECB’s website. The full dataset is available in the ECB’s Statistical Data Warehouse. The next survey and the complete study will be published in 2010.
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