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K:\er-pal division\Official Publications\0001\Other Publications\Press releases\2004\3_Euro money market study\X09_02_MM 2003 CHART PACKAGE final 080104.doc
2.
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'HYHORSPHQWVLQWKHXQVHFXUHGPDUNHW
7XUQRYHUDQDO\VLV
&KDUW
Unsecured cash borrowing and cash lending average daily turnover over the past four years. (Base
100 for cash lending activity in Q2 2000)
200
lending activity
borrowing activity
180
160
140
120
100
80
60
40
20
0
Q2 2000
Q2 2001
Q2 2002
Q2 2003
Panel of 93 banks
0DWXULW\DQDO\VLV
&KDUW
Evolution and breakdown by maturity of unsecured lending and borrowing activities over the past
four years in nominal terms
Unsecured lending average daily turnover (Base 100 Unsecured borrowing average daily turnover (Base
for cash lending activity in Q2 2000)
100 for cash borrowing activity in Q2 2000)
120
120
100
100
80
80
60
60
40
40
20
20
0
Q2 2000
Q2 2001
Q2 2002
Q2 2003
0
Q2 2000
Overnight
1 Month to 3 Months (included)
More than 1 Year
Q2 2002
Q2 2003
3 Months to 1 Year (included)
Overnight
Tom /Next to 1 Month (included)
1 Month to 3 Months (included)
3 Months to 1 Year (included)
More than 1 Year
Panel of 93 banks
Q2 2001
Tom /Next to 1 Month (included)
3.
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Breakdown by maturity (2002 and 2003), for unsecured lending and borrowing activities (maturity
weighed)
Unsecured transaction volume lending activity
30%
Q2 2002
Q2 2003
25%
20%
15%
10%
5%
0%
Overnight
Tom/Next
Spot/Next
up to 1 Week 1 Week to 1 1 Month to 3 3 Months to 6 6 Months to 1 more than 1
(included)
Month
Months
Months
Year
Year
(included)
(included)
(included)
(included)
Unsecured transaction volume borrowing activity1
60%
Q2 2002
Q2 2003
50%
40%
30%
20%
10%
0%
Overnight
Tom/Next
Spot/Next
up to 1 Week
(included)
1 Week to 1 1 Month to 3 3 Months to 6 6 Months to 1 more than 1
Month
Months
Months
Year
Year
(included)
(included)
(included)
(included)
Panel of 119 banks
7KH HYROXWLRQ RI WKH ³PRUH WKDQ \HDU VHJPHQW´ IRU WKH ³XQVHFXUHG YROXPH ERUURZLQJ´ DFWLYLW\´ KDV
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UHPDLQHGYHU\VPDOO
4.
0DUNHW6WUXFWXUH
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Lorenz curves – Total unsecured money market activity for 2002 and 2003
100%
% of activity
80%
60%
40%
2002
20%
2003
0%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
% of market participants
'HYHORSPHQWVLQWKHVHFXUHGPDUNHW
7XUQRYHUDQDO\VLV
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Secured cash lending and cash borrowing average daily turnover over the past four years.
(Base 100 for cash lending activity in Q2 2000)
300
lending activity
borrowing activity
250
200
150
100
50
0
Q2 2000
Panel of 72 banks
Q2 2001
Q2 2002
Q2 2003
100%
5.
0DWXULW\DQDO\VLV
&KDUW
Evolution and breakdown by maturity for secured lending and borrowing activities over the past
four years in nominal terms
Secured lending average daily turnover (Base 100 0 Secured borrowing average daily turnover(Base 100
for cash lending activity in Q2 2000)
for cash borrowing activity in Q2 2000)
250
250
200
200
150
150
100
100
50
50
0
0
Q2 2000
Q2 2001
Overnight
1 Month to 3 Months (included)
More than 1 Year
Panel of 72 banks
Q2 2002
Q2 2003
Tom/Next to 1 Month (included)
3 Months to 1 Year (included)
Q22000
Q22001
Overnight
1Month to3Months (included)
More than1Year
Q22002
Q22003
Tom/Next to1Month(included)
3Months to1Year (included)
6.
&KDUW
Breakdown by maturity (2002 and 2003), for secured lending and borrowing activities (maturity
weighted)
Secured transaction volume lending activity2
45%
Q2 2002
Q2 2003
40%
35%
30%
25%
20%
15%
10%
5%
0%
Overnight
Tom/Next
Spot/Next
up to 1 Week
(included)
1 Week to 1
Month (included)
1 Month to 3
Months
(included)
3 Months to 6
Months
(included)
6 Months to 1
Year (included)
more than 1
Year
6 Months to 1
Year (included)
more than 1
Year
Secured transaction volume borrowing activity
35%
Q2 2002
Q2 2003
30%
25%
20%
15%
10%
5%
0%
Overnight
Tom/Next
Spot/Next
up to 1 Week
(included)
1 Week to 1
Month (included)
1 Month to 3
Months
(included)
3 Months to 6
Months
(included)
Panel of 90 banks
7KH HYROXWLRQ RI WKH ³PRUH WKDQ \HDU VHJPHQW´ IRU WKH ³VHFXUHG YROXPH OHQGLQJ DFWLYLW\´ KDV EHHQ
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UHPDLQHGYHU\VPDOO
7.
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Lorenz curves – Total secured money market activity for 2002 and 2003
100%
% of activity
80%
60%
40%
2002
20%
2003
0%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
% of market participants
&KDUW
Collateral structure in terms of geographical origin of issuance
Cash Lending 2002
Cash Lending 2003
5%
5%
40%
41%
54%
national
55%
national
euro area
euro area
others
Cash borrowing 2002
others
Cash borrowing 2003
8.
3%
4%
45%
43%
52%
national
euro area
others
53%
national
euro area
others
Panel of 90 banks
9.
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Swap markets (based on the volumes reported by a sample of banks that reported data over the past
four years). Average daily turnover (Base 100 for OIS activity in Q2 2000)
300
250
200
150
100
50
0
O IS
Q2 2000
FX S w a p s
Q 2 2001
O t h e r IRS
Q 2 2002
Xccy
Q 2 2003
0DWXULW\DQDO\VLV
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Evolution and breakdown by maturity of the OIS market over the past four years (in nominal terms;
Base 100 for activity in Q2 2000).
320
300
280
260
240
220
200
180
160
140
120
100
80
60
40
20
0
Q2 2000
U p to 1
Q2 2001
M o n th (in c lu d e d )
3 M o n th s to 1 Y e a r (i n c l u d e d )
Panel of 61 banks
Q2 2002
Q2 2003
1 M o n th to 3 M o n th s (i n c l u d e d )
M o r e th a n 1 Y e a r
10.
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Breakdown by maturity for 2002 and 2003 of the OIS market (maturity weighted).
30%
Q2 2002
Q2 2003
25%
20%
15%
10%
5%
0%
Up to 1 W e e k
(include d)
1 W e e k to 1 M onth
(include d)
1 M onth to 3 M onths
(include d)
3 M onths to 6 M onths
(include d)
6 Months to 1 Ye a r
(include d)
m ore tha n 1 Ye a r
Panel of 82 banks
);VZDSV
&KDUW
Evolution and breakdown by maturity of the FX swap segment over the past four years (in nominal
terms; Base 100 for activity in Q2 2000).
160
140
120
100
80
60
40
20
0
Q2 2000
U p to 1
Q2 2001
M o n t h (i n c l u d e d )
3 M o n th s t o 1 Y e a r (i n c l u d e d )
Panel of 76 banks
Q2 2002
Q2 2003
1 M o n th to 3 M o n th s (i n c l u d e d )
M o r e th a n 1 Y e a r
11.
&KDUW
Breakdown by maturity for 2002 and 2003 of the FX swap market (maturity weighted).
35%
Q 2 2002
Q 2 2003
30%
25%
20%
15%
10%
5%
0%
O ve rn igh t
Up to 1 W e e k
(includ e d)
1 W e e k to 1
M o n th (in clud e d)
1 M on th to 3
3 M on ths to 6
6 M o nth s to 1 Ye a r m o re tha n 1 Ye a r
M o nth s (in clu de d ) M on ths (includ e d)
(in clud e d)
Panel of 100 banks
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&KDUW
Evolution and breakdown by maturity of the FRA market segment over the past 2 years (in nominal
terms; Base 100 for activity in Q2 2002).
140
120
100
80
60
40
20
0
Q2 2002
Up to 1 Week
1 Month to 3 Months (included)
6 Months to 1 Year (included)
Panel of 55 banks
Q2 2003
1 Week to 1 Month (included)
3 Months to 6 Months (included)
more than 1 Year
12.
&KDUW
Breakdown by maturity for 2002 and 2003 of the FRA market (maturity weighted).
50%
Q2 2002
Q2 2003
45%
40%
35%
30%
25%
20%
15%
10%
5%
0%
Up to 1 Week
(included)
1 Week to 1 Month
(included)
1 Month to 3 Months 3 Months to 6 Months
(included)
(included)
6 Months to 1 Year
(included)
more than 1 Year
Panel of 65 banks
,56
&KDUW
Evolution and breakdown by maturity of the IRS segment over the past four years (in nominal
terms; Base 100 for activity in Q2 2000).
240
220
200
180
160
140
120
100
80
60
40
20
0
Q2 2000
Q2 2001
Q2 2002
Q2 2003
Up to 2 Ye a rs (include d)
2 Ye a rs to 5 Ye a rs (include d)
5 Ye a rs to 10 Ye a rs (include d)
m ore tha n 10 Ye a rs
Panel of 77 banks
13.
&KDUW
Breakdown by maturity for 2002 and 2003 of the IRS segment (maturity weighted).
45%
Q2 2002
Q2 2003
40%
35%
30%
25%
20%
15%
10%
5%
0%
Up to 1 Year (included)
1 Year to 2 years (included)
2 Years to 5 Years
(included)
5 Years to 10 Years
(included)
more than 10 Years
Panel of 97 banks
&URVVFXUUHQF\VZDSV
&KDUW
Evolution and breakdown by maturity of the Xccy market over the past four years (in nominal
terms; Base 100 for activity in Q2 2000).
240
220
200
180
160
140
120
100
80
60
40
20
0
Q2 2000
Q2 2001
Q2 2002
Q2 2003
U p to 2 Y e a r s (i n c l u d e d )
2 Y e a r s to 5 Y e a r s (i n c l u d e d )
5 Y e a r s to 1 0 Y e a r s (i n c l u d e d )
m o r e th a n 1 0 Y e a r s
Panel of 38 banks
14.
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Breakdown by maturity for 2002 and 2003 on the Xccy market (maturity weighted).
60%
Q2 2002
Q2 2003
50%
40%
30%
20%
10%
0%
Up to 1 Year (included)
1 Year to 2 years
(included)
2 Years to 5 Years
(included)
5 Years to 10 Years
(included)
more than 10 Years
Panel of 56 banks
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&KDUW
Lorenz curves for the Euro OTC derivatives markets (Q2 2003)
100%
% of activity
80%
60%
40%
20%
0%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
% of m arket participants
OIS
FXSWAP
FRA
OTHER IRS
X CCY
15.
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Evolution of outright transactions over the past four years (in nominal terms; base 100 for activity in
Q2 2000).
600
G o v e r n m e n t Is s u e s
B a n k Is s u e s
N o n - B a n k Is s u e s
500
400
300
200
100
0
Q2 2000
Q2 2001
Q2 2002
Q2 2003
69 reporting banks
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Lorenz curves for the Euro short-term securities markets (Q2 2003)
100%
% of activity
80%
60%
40%
20%
0%
0%
10%
20%
30%
40%
50%
60%
% of market participants
70%
80%
90%
100%