2004年-ECB欧洲央行_Money_Market_Study_2003_15页_171kb

Summary of the Money Market Study 2003 by the European Central Bank

Core Content Overview

This document presents a comprehensive analysis of the money market and OTC derivatives markets in Europe over the past four years, focusing on trends in turnover, maturity distribution, and market structure. The study is based on data from a sample of banks across different segments, including unsecured, secured, and short-term securities markets, as well as OTC derivatives such as overnight interest rate swaps, FX swaps, FRAs, IRS, and cross-currency swaps.

I. Main Trends in Different Market Segments

I.1 Developments in the Unsecured Market

• Turnover Analysis (Chart 1):
  The unsecured cash borrowing and lending markets show trends in average daily turnover over four years, with data normalized to a base of 100 for cash lending activity in Q2 2000. The study includes data from 93 banks.

• Maturity Analysis (Chart 2 & Chart 3):
  The evolution of unsecured lending and borrowing activities is analyzed by maturity. In nominal terms, the data is broken down into different maturity ranges, including overnight, 1 month to 3 months, 3 months to 1 year, and more than 1 year. Chart 3 provides a maturity-weighted breakdown for 2002 and 2003, based on data from 119 banks.

• Market Structure (Chart 4):
  The Lorenz curves illustrate the distribution of unsecured money market activity in 2002 and 2003, highlighting the concentration of transactions among banks. The data is based on 93 banks.

I.2 Developments in the Secured Market

• Turnover Analysis (Chart 5):
  The secured cash lending and borrowing markets are analyzed for average daily turnover over four years, with a base of 100 for cash lending activity in Q2 2000. Data is collected from 72 banks.

• Maturity Analysis (Chart 6, Chart 7):
  The maturity distribution of secured lending and borrowing is examined, with data presented in nominal terms. The maturity ranges include overnight, 1 month to 3 months, 3 months to 1 year, and more than 1 year. Chart 7 provides a maturity-weighted breakdown for 2002 and 2003, based on data from 90 banks.

• Market Structure (Chart 8 & Chart 9):

  • Lorenz Curves (Chart 8): Show the distribution of secured money market activity for 2002 and 2003, based on data from 72 banks.
  • Collateral Structure (Chart 9): Indicates the geographical origin of collateral used in secured transactions, based on data from 90 banks.

I.3 Developments in the OTC Derivatives Markets

• Turnover Analysis (Chart 10):
  The swap markets are analyzed for average daily turnover over four years, with a base of 100 for OIS activity in Q2 2000. The data is collected from a sample of banks, with 61 banks reporting on the OIS market.

• Maturity Analysis:

  • Overnight Interest Rate Swap Market (EONIA swap market):

    • Chart 11: Evolution and breakdown by maturity of the OIS market, in nominal terms, with a base of 100 for activity in Q2 2000. Data from 61 banks.
    • Chart 12: Maturity-weighted breakdown of the OIS market for 2002 and 2003, based on data from 82 banks.

  • FX Swaps:

    • Chart 13: Evolution and maturity breakdown of the FX swap market over four years, with a base of 100 for activity in Q2 2000. Data from 76 banks.
    • Chart 14: Maturity-weighted breakdown of the FX swap market for 2002 and 2003, based on data from 100 banks.

  • FRAs (Forward Rate Agreements):

    • Chart 15: Evolution and maturity breakdown of the FRA market over two years, with a base of 100 for activity in Q2 2002. Data from 55 banks.
    • Chart 16: Maturity-weighted breakdown of the FRA market for 2002 and 2003, based on data from 65 banks.

  • IRS (Interest Rate Swaps):

    • Chart 17: Evolution and maturity breakdown of the IRS market over four years, with a base of 100 for activity in Q2 2000. Data from 77 banks.
    • Chart 18: Maturity-weighted breakdown of the IRS market for 2002 and 2003, based on data from 97 banks.

  • Cross-Currency Swaps (Xccy):

    • Chart 19: Evolution and maturity breakdown of the Xccy market over four years, with a base of 100 for activity in Q2 2000. Data from 38 banks.
    • Chart 20: Maturity-weighted breakdown of the Xccy market for 2002 and 2003, based on data from 56 banks.

• Market Structure (Chart 21):
  The Lorenz curves for the Euro OTC derivatives markets in Q2 2003 show the concentration of market activity among banks. Data is based on 61 banks.

I.4 Developments in the Short-Term Securities Market

• Turnover Analysis (Chart 22):
  The evolution of outright transactions in the short-term securities market is analyzed over four years, with a base of 100 for activity in Q2 2000. Data is collected from 69 reporting banks.

• Market Structure (Chart 23):
  The Lorenz curves for the Euro short-term securities markets in Q2 2003 illustrate the distribution of transactions among banks. Data is based on 69 banks.

Key Information

• Data Sources: The study is based on data from a panel of banks across different segments, including unsecured, secured, and OTC derivatives markets.
• Time Period: The analysis covers the past four years, with a base period of Q2 2000 for most turnover data.
• Focus Areas: Turnover, maturity distribution, and market structure are the main focus areas of the study.
• Visual Tools: Charts and Lorenz curves are used to illustrate trends and market concentration.
• Geographical Collateral: In the secured market, the geographical origin of collateral is also analyzed.

This study provides valuable insights into the dynamics of money markets and OTC derivatives in Europe, highlighting changes in transaction volumes, maturity preferences, and the concentration of market activity.