Results of the Euro Money Market Survey 2011

Today the European Central Bank (ECB) is publishing the results of the “Euro Money Market Survey 2011”, which highlights the main developments in the euro money market in the second quarter of 2011, comparing them with the second quarter of 2010.

The results of this year’s survey, which are derived from a constant panel of 105 banks (unless otherwise indicated; see the notes below), show the following.

• Aggregate turnover in the euro money market increased by 15%, after three years of declines.
• In the unsecured market, the cash borrowing of the banks on the panel increased by 26%, while their lending contracted by 5%. Total activity (i.e. lending and borrowing combined) was concentrated in maturities of one month or less.
• The secured market remained the largest segment, with aggregate turnover increasing for the second year in a row (rising by 10%). This increase was driven mainly by a 24% increase in activity for the overnight maturity.
• The percentage of secured market transactions that were cleared by central counterparties in the second quarter of 2010 was revised upwards to 51%. This share remained broadly stable at 50% in the second quarter of 2011.
• All derivative segments covered by the survey showed increases in turnover in the second quarter of 2011. In percentage terms, the most significant increases were observed in cross‑currency swaps (where turnover increased by 68%) and overnight index swaps (where turnover increased by 42%). Turnover for foreign exchange swaps increased only slightly (rising by 1%), after being the only derivative product that did not record a decline in the second quarter of 2010 relative to previous years.

Notes

This survey has been conducted on an annual basis since 1999 and always compares data for the second quarter of the current year with data for the second quarter of the previous year. It is conducted by experts from the European System of Central Banks – i.e. the ECB plus the national central banks of the European Union. The survey uses a constant panel of 105 banks wherever longer-term comparisons are made, but also includes data provided by the full panel of banks, which has grown over time, in order to obtain a more complete picture of the market. The full panel currently comprises 170 banks.

The “Euro Money Market Survey 2011” can be downloaded from the ECB’s website, together with a summarised version of the survey data (CSV file). The full dataset is available in the ECB’s Statistical Data Warehouse.