2006年-ECB欧洲央行_Euro_Money_Market_Survey_2005_28页_224kb

Euro Money Market Survey 2005 Summary

I. Main Trends in EU Member States Prior to 1 May 2004

1.1 Unsecured Market Developments

• Turnover Analysis (Chart 1):

  • The average daily turnover in unsecured cash lending and borrowing increased over the past six years, with an index based on Q2 2000 = 100.
  • Data from 87 banks shows a general upward trend in activity, though specific values are not provided in the text.

• Maturity Analysis (Chart 2 & 3):

  • The unsecured market saw a shift in maturity distribution over time, with a focus on short-term instruments.
  • In 2004 and 2005, the average maturity of unsecured transactions was weighted toward shorter terms, such as overnight and next-day, with a smaller proportion of long-term transactions.

• Market Structure (Chart 4):

  • Lorenz curves illustrate the concentration of unsecured money market activity.
  • The market showed increasing concentration, with a higher share of transactions concentrated among fewer participants.

1.2 Secured Market Developments

• Turnover Analysis (Chart 5 & 6):

  • Secured cash lending and borrowing also experienced growth over the past six years, with an index based on Q2 2000 = 100.
  • The secured lending segment showed a more significant increase compared to secured borrowing.
  • Data from 78 banks for secured lending and 96 banks for secured borrowing was used.

• Maturity Analysis (Chart 7 & 8):

  • The maturity distribution of secured transactions was analyzed over the past six years.
  • A notable portion of secured transactions involved overnight and short-term maturities, with a smaller share of long-term instruments.
  • In 2005, the secured lending market showed a higher proportion of overnight transactions compared to 2004.

• Market Structure (Chart 9 & 10):

  • Lorenz curves for secured market activity indicate a high level of concentration in 2004 and 2005.
  • The collateral structure showed that a significant share of transactions was based on euro area assets, with a slight decrease in the share of "others" over time.
  • In 2004, 46% of cash borrowing was based on euro area collateral, increasing to 49% in 2005.

1.3 OTC Derivatives Markets

• Turnover Analysis (Chart 11):

  • The OTC derivatives market, particularly the swap segment, saw growth in turnover over the past six years.
  • The index for OIS activity was based on Q2 2001 = 100, and data from 64 banks was used.

• Maturity Analysis (Charts 12–21):

  • Overnight Interest Rate Swaps (OIS):
    • The OIS segment experienced steady growth, with a higher share of overnight transactions.
    • Data from 88 banks was used for the maturity breakdown in 2004 and 2005.
  • FX Swaps (Chart 14 & 15):
    • FX swaps showed consistent activity over the past six years, with a notable presence of short-term maturities.
    • Maturity breakdowns were based on data from 76 and 108 banks respectively.
  • FRAs (Chart 16 & 17):
    • FRAs increased in volume over the past five years, with a maturity distribution skewed toward shorter terms.
    • Data from 42 and 71 banks was used for the respective analyses.
  • IRS (Chart 18 & 19):
    • IRS activity grew steadily, with a maturity breakdown showing a mix of short and long-term instruments.
    • Data from 74 and 101 banks was used for the turnover and maturity analysis.
  • Cross-Currency Swaps (Chart 20 & 21):
    • Cross-currency swaps showed moderate growth, with a maturity structure that included both short and long-term instruments.
    • Data from 38 and 60 banks was used for the respective analyses.

• Market Structure (Chart 22):

  • The OTC derivatives market had a high concentration of activity among a few participants.
  • Lorenz curves for Q2 2005 showed a significant concentration in the market.

1.4 Short-Term Securities Market

• Turnover Analysis (Chart 23):

  • Outright transactions in the short-term securities market increased over the past six years, indexed to Q2 2000 = 100.
  • Data from 71 banks was used for the analysis.

• Market Structure (Chart 24):

  • Lorenz curves for short-term securities markets in 2004 and 2005 showed a high concentration of activity among a small number of banks.
  • The market structure was similar to other segments, with significant concentration observed.

II. Main Trends in EU Member States that Joined on 1 May 2004

2.1 Unsecured Market Developments

• Turnover Analysis (Chart 25):

  • The unsecured market for these new member states showed an increase in turnover over the past two years, indexed to Q2 2004 = 100.
  • Data from 38 banks was used.

• Maturity Analysis (Chart 26):

  • The maturity distribution of unsecured transactions was skewed toward shorter terms, such as overnight and next-day.
  • The three-month equivalent maturity analysis showed a similar pattern in both lending and borrowing activity.

2.2 Secured Market Developments

• Turnover Analysis (Chart 27):

  • Secured cash lending and borrowing increased over the past two years, indexed to Q2 2004 = 100.
  • Data from 38 banks was used.

• Maturity Analysis (Charts 28):

  • The maturity distribution of secured transactions was analyzed, showing a mix of short-term and long-term instruments.
  • Overnight and short-term maturities dominated the secured market.

• Market Structure (Chart 29):

  • The collateral structure was heavily based on national and euro area assets.
  • In 2004 and 2005, 100% of secured cash lending and borrowing was based on national or euro area collateral.

2.3 OTC Derivatives Markets

• Turnover Analysis (Chart 30):

  • Swap market activity, including OIS, FX swaps, IRS, and cross-currency swaps, was analyzed over the past two years.
  • The index for OIS activity was based on Q2 2004 = 100.

• Maturity Analysis (Charts 31–34):

  • FX Swaps (Chart 31):
    • FX swaps showed growth over the past two years, with a focus on short-term maturities.
    • Data from 33 banks was used.
  • FRAs (Chart 32):
    • FRAs increased in volume, with a maturity distribution showing a preference for short-term instruments.
    • Data from 33 banks was used.
  • IRS (Chart 33):
    • IRS activity grew steadily, with a maturity distribution that included both short and long-term instruments.
    • Data from 33 banks was used.
  • Cross-Currency Swaps (Chart 34):
    • Cross-currency swaps showed moderate growth, with a maturity structure that included up to 10-year instruments.
    • Data from 33 banks was used.

2.4 Short-Term Securities Market

• Turnover Analysis (Chart 35):
  • Outright transactions in the short-term securities market increased over the past two years, indexed to Q2 2004 = 100.
  • Data from 38 banks was used.

2.5 Market Concentration

• Table 1 (Q2 2005):
  • The market was highly concentrated, with the top 5 banks accounting for 78% of unsecured transactions, 100% of secured transactions, and 95% of cross-currency swaps.
  • For other segments like OIS and FX swaps, the top 5 banks accounted for 100% and 72% respectively.
  • The top 10 banks accounted for 88% of unsecured transactions and 100% of FX swaps and cross-currency swaps.

Key Observations

• All market segments showed a trend toward increased turnover and a concentration of activity in short-term instruments.
• The secured market exhibited higher concentration compared to the unsecured market.
• The OTC derivatives market, particularly FX swaps and IRS, showed consistent growth in both turnover and maturity distribution.
• Market structure analysis, using Lorenz curves, indicated a high level of concentration in most segments.
• The top banks dominated the market, with significant shares in both unsecured and secured transactions.