ECB publishes the results of the Euro Money Market Survey 2012

28 September 2012

The European Central Bank published the results of the "Euro Money Market Survey 2012", which highlights the main developments in the euro money market in the second quarter of 2012, comparing them with the second quarter of 2011.

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

• Aggregate turnover in the euro money market (i.e. lending and borrowing combined) contracted by 14 per cent, after a strong increase last year.
• In the unsecured market, the cash borrowing of the banks on the panel decreased by 38 per cent, while their lending decreased by 31 per cent. Total activity remained concentrated in maturities of one month or less. Overnight transactions accounted for 66 per cent of total borrowing activity, compared with 73 per cent in 2011. 83 per cent of lending transactions were overnight transactions, a year-on-year increase of 4 percentage points.
• The secured market remained the largest segment, although turnover declined by 15 per cent, mainly on account of a 26 per cent decrease in activity for the overnight maturity; turnover for maturities of between “tomorrow/next” and one month declined by 11 per cent.
• 55 per cent of secured market transactions were cleared by central counterparties, compared with a revised figure of 51 per cent in the second quarter of 2011.
• Activity in the derivative segments covered by the survey decreased by 9 per cent. In percentage terms, the most significant reductions in activity were observed in overnight index swaps (where turnover decreased by 50 per cent) and other interest rate swaps (where turnover decreased by 16 per cent). In contrast, turnover for foreign exchange swaps increased again, rising by 12 per cent, while turnover for forward rate agreements rose by 4 per cent.
• The unsecured market remained the least concentrated segment, while other interest rate swaps became the most concentrated.
• Turnover in the outright secondary market for short-term paper was 9 per cent lower than in the previous year, although turnover for short-term paper issued by credit institutions increased by 12 per cent.
• The percentage of direct trading decreased in most segments, with the exception of the unsecured segment and outright transactions. Electronic trading increased in most money market segments, but declined in cross-currency swaps and outright transactions.
• The qualitative part of the survey shows that efficiency in the unsecured market was deemed to have worsened markedly in comparison with 2011. Liquidity conditions were also perceived to have deteriorated. As regards the secured segment, the number of respondents giving a positive assessment of the market’s efficiency increased, although liquidity conditions were perceived as being worse than in 2011. For most other market segments, the perception of efficiency was more positive in 2012, whereas it was generally felt that liquidity conditions had deteriorated.

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