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) General Supranational, 1 government, 1 Non-financial corporation, 7 Other financial intermediary Monetary financial (ABCP), 3 institution (bank), 23 Source: ECB, STEP Secretariat
Which data are currently available? (3/7) Monthly outstanding amounts of all STEP issues EUR billions 250 40 outstanding amounts (LHS) number of programmes (RHS) 200 32 150 24 100 16 50 8 0 0 Jul.06 Aug.06 Sept.06 Oct.06 Nov.06 Dec.06 Jan.07 Feb.07 Mar.07 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 EUR billions 800 EUR billi 700 600 500 400 300 200 100 159 672 0 Euro-denominated outstanding STEP issues (end March Euro-denominated non-government short-term debt 2007) securities issued worldwide (end 2006) Source: ECB
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 p ercentages p er annum 4.4 4.3 4.2 4.1 4 3.9 3.8 3.7 0-3 days 4-9 days 10-40 days 41-100 days 101-200 days 201-366 days Source: ECB
Which data are currently available? (6/7) Also time series available, starting on 26 March 2007 Confidentiality of individual investors’ yields is ensured STEP yields for M FI sector, 10-40 days, rating 1 p ercentages p er annum 4.00 less than 3 issuers on 06 and 09 Ap ril (Easter) 3.95 3.90 3.85 3.80 3.75 r r r r r r r r r r r r r a a a p p p p p p p p p p M M M A A A A A A A A A A - - - - - - - - - - - - - 1 3 5 7 9 1 3 5 7 9 6 8 0 0 0 0 0 0 1 1 1 1 1 2 2 3 Source: ECB
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 p ercen tag e p o in ts p er an n u m 0 .0 0 8 0 .0 0 6 less than 3 issuers on 06 and 09 A p ril 0 .0 0 4 (Easter) 0 .0 0 2 0 -0 .0 0 2 -0 .0 0 4 -0 .0 0 6 -0 .0 0 8 -0 .0 1 r r r r r r r r r r r r r a a a p p p p p p p p p p M M M A A A A A A A A A A - - - - - - - - - - - - - 1 3 5 7 9 1 3 5 7 9 6 8 0 0 0 0 0 0 1 1 1 1 1 2 2 3 Source: ECB
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, original 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
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