STEP Statistics - Results and prospects - Holger Neuhaus - - PowerPoint PPT Presentation

STEP Statistics

• Results and prospects -

Holger Neuhaus

Presentation to the STEP Market Committee, 24 April 2007

Overview of the presentation

1. STEP statistics - results 2. Prospects

Which data are currently available? (1/7)

Information available on ECB website …

http://www.ecb.int/stats/money/step/html/index.en.html

… and on website of STEP market

http://www.stepmarket.org/

Which data are currently available? (2/7)

Who are the issuer sectors? How many issuers in each?

(Status as of end March)

Monetary financial institution (bank), 23 Other financial intermediary (ABCP), 3 Non-financial corporation, 7 General government, 1 Supranational, 1

Source: ECB, STEP Secretariat

Which data are currently available? (3/7)

Monthly outstanding amounts of all STEP issues

50 100 150 200 250 Jul.06 Aug.06 Sept.06 Oct.06 Nov.06 Dec.06 Jan.07 Feb.07 Mar.07

EUR billions

8 16 24 32 40

• utstanding amounts (LHS)

number of programmes (RHS)

Source: ECB, STEP Secretariat

Which data are currently available? (4/7)

Outstanding amount: euro-denominated STEP issues versus euro- denominated short-term debt securities issued worldwide by non- government issuers

672 159 100 200 300 400 500 600 700 800

Euro-denominated outstanding STEP issues (end March 2007) Euro-denominated non-government short-term debt securities issued worldwide (end 2006)

EUR billi

Source: ECB EUR billions

Which data are currently available? (5/7)

Daily issue yields from discount papers initially released weekly; Breakdown by maturity, rating category and issuer sector available

STEP yie ld curve for M FI se ctor, all ratings - 23 April 2007 3.7 3.8 3.9 4 4.1 4.2 4.3 4.4

0-3 days 4-9 days 10-40 days 41-100 days 101-200 days 201-366 days

p ercentages p er annum

Source: ECB

Which data are currently available? (6/7)

STEP yields for M FI sector, 10-40 days, rating 1

3.75 3.80 3.85 3.90 3.95 4.00 2 6

• M

a r 2 8

• M

a r 3

• M

a r 1

• A

p r 3

• A

p r 5

• A

p r 7

• A

p r 9

• A

p r 1 1

• A

p r 1 3

• A

p r 1 5

• A

p r 1 7

• A

p r 1 9

• A

p r

less than 3 issuers on 06 and 09 Ap ril p ercentages p er annum

Also time series available, starting on 26 March 2007 Confidentiality of individual investors’ yields is ensured

Source: ECB (Easter)

Which data are currently available? (7/7)

Daily issue spreads from floating rates priced against index (EONIA) Breakdown by rating category and issuer sector available

STEP spre ad vs EON IA for M FI se ctor, all ratings

• 0 .0 1
• 0 .0 0 8
• 0 .0 0 6
• 0 .0 0 4
• 0 .0 0 2

0 .0 0 2 0 .0 0 4 0 .0 0 6 0 .0 0 8 2 6

• M

a r 2 8

• M

a r 3

• M

a r 1

• A

p r 3

• A

p r 5

• A

p r 7

• A

p r 9

• A

p r 1 1

• A

p r 1 3

• A

p r 1 5

• A

p r 1 7

• A

p r 1 9

• A

p r

less than 3 issuers on 06 and 09 A p ril

p ercen tag e p o in ts p er an n u m

Source: ECB

(Easter)

Prospects: What do we intend to release? (1/3)

Aggregated data – yields and spreads

• add data from more data providers – testing has started
• increase in frequency of data release needed?
• which release time is needed (currently 14:00 hrs)?
• no release of yields on STEP notes bearing coupons

Prospects: What do we intend to release? (2/3)

Aggregated data – outstanding amounts

• add all data providers to allow release of daily data
• provide same breakdowns as for yields (rating category, original

maturity, sector), plus residual maturity and currency

Aggregated data – issuance volumes

• add all data providers to allow release of daily data
• provide same breakdowns as for yields (rating category,
• riginal maturity, sector)

Prospects: What do we intend to release? (3/3)

Requested by STEP Market Committee with high priority: Individual data – total outstanding amounts per STEP programme