Euro money market survey 2014

The European Central Bank (ECB) published in October 2014 the results of the 'Euro Money Market Survey 2014', which highlights the main developments in the euro money market in the second quarter of 2014, comparing them with those in the second quarter of 2013.

The results of the 2014 survey, which are derived from a constant panel of 101 banks show that overall turnover has risen in most segments. The improvement is especially noticeable in the unsecured markets. Activity in secured markets, the largest money market segment, has increased as well. Total turnover in secured lending and borrowing rose further, by 2%, to €32 trillion, with a stable breakdown of the volumes among the maturities. The share of centrally cleared secured operations remained broadly stable, decreasing slightly from 74% of all bilateral repo transactions in 2013 (revised figure for the second quarter of last year) to 73% in 2014.

Activity in the derivatives segments covered by the survey changed more than in previous years. Expressed in percentages, the most significant changes in activity were observed in overnight indexed swaps, where turnover increased by 47%, and in other interest rates swaps, where turnover decreased by 21% and thus more than offset the increase of 19% observed last year. Forward rate agreement (FRA) volumes decreased by 10%, while the volume of foreign exchange swaps increased by 9% and that of cross-currency swaps by 8%.

The qualitative part of the survey shows that perceived efficiency and liquidity conditions in the unsecured market have improved from low levels. As regards the secured market, perceived efficiency and liquidity conditions improved marginally as well, but from significantly higher levels than the unsecured market. For most other market segments, improvements of perceived efficiency and liquidity conditions were again reported in 2014, with the FRA segment the sole exception.

This year’s survey also covered prospective questions, as were reported for the first time in the 2012 survey. Participants were asked to assess how their interbank trading volumes or the number of their counterparties were expected to evolve in the light of expected changes to the risk limits. The overall results suggest that the dynamics are improving: the number of banks expecting increasing risk limits rose significantly, albeit from low levels, while the number of respondents expecting tighter or unchanged risk limits declined.

European Central Bank: Press Release, 17.10.14: Results of the Euro Money Market Survey 2014 https://www.ecb.europa.eu/press/pr/date/2014/html/pr141017.en.html

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