Market liquidity and market-making : October 2016.
Date: 2017-02-20
Institutions: European Systemic Risk Board
Subjects: financial market, monetary crisis, money-market liquidity, trading volume

Market liquidity and 
market-making 

October 2016 

 
 
Contents 

Executive summary 

Section 1 Introduction 

Section 2 Developments in market liquidity 

Section 3 Market-making and its implications for market liquidity: results from 
the ESRB’s data collection exercise 

3.1 

Evidence on market-makers’ inventories and trading behaviour 

3.2  Review of market-makers’ perception and management of market liquidity 

risk 

Section 4 Summary and conclusions 

References 

Expert Group Members 

Imprint 

ESRB 
Market liquidity and market-making  

Contents 

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1 

 
 
 
Executive summary 

Recently, there has been widespread concern that a significant decline in market liquidity could 
result in some fixed income markets becoming impaired, which could pose a threat to financial 
stability. In its broadest sense market liquidity refers to the ease with which securities can be 
bought or sold without having an undue impact on prices. Liquid markets help facilitate the 
financing of investments in the real economy and so support economic growth.  

Whether these concerns can be substantiated remains unclear, mainly because of data availability 
problems. This report investigates the issue and presents new evidence, particularly focusing on 
the supply of liquidity services by market-makers. To obtain this information the European Systemic 
Risk Board (ESRB) conducted a quantitative data collection exercise as well as a qualitative survey 
with the largest market-makers operating in Europe.  

The data gathered show mixed evidence of developments in market liquidity. For asset classes 
other than corporate bonds, gross and net inventories have either increased or remained 
unchanged. However, for European corporate bond markets, gross and net inventories have 
declined since 2010, possibly indicating a reduced ability or willingness of market-makers to act as 
intermediaries in these markets. Moreover, compared with the growth in outstanding amounts of 
corporate bonds, market-makers’ inventories have decreased even more. The findings from the 
ESRB’s data collection are consistent with market-based measures of liquidity. 

Market-makers responding to the qualitative survey perceive that reductions in overall market 
liquidity, post-crisis regulation, changes in the general market environment and developments in the 
investor base are causing a reduction in their market-making activities. Banks view the capital and 
liquidity regulation and increased transparency requirements under the new MiFID II/MiFIR rules in 
particular as impeding their market-making capacity. 

Liquidity resilience, i.e. the existence of liquid markets during times of stress, is important for 
financial stability. The financial crisis has shown that, at normal times, liquidity conditions may be 
perceived to be ample, but a sudden lack of liquidity can occur during times of stress.  

Any possible deterioration in the supply of market liquidity as indicated by the results presented in 
this report has occurred against a backdrop of increasing demand for liquidity. Demand has 
increased owing to the expansion in market-based finance and an increase in bond holdings by 
asset managers. 

There is a significant information gap in terms of financial reporting in the EU that hampers a full 
assessment of the level of market liquidity and any related systemic risks. This report contributes to 
the debate on market liquidity conditions by providing new evidence, in particular on market-making 
activities. The data provide a mixed picture with the results varying by asset market and the market 
liquidity indicator used.

ESRB 
Market liquidity and market-making 

Executive summary 

2 

 
 
 
Section 1 
Introduction1 

Market liquidity, in its broadest sense, refers to the ease with which financial assets can be bought 
or sold without having an undue impact on prices. Not all financial assets are equally liquid in this 
sense. From a financial stability perspective, what matters most is how market liquidity contributes 
to the efficiency of financial markets, as well as how well financial markets respond to stress. 
Market liquidity is distinct from, but closely linked to, funding liquidity.2 

Liquid financial markets are essential to any well-functioning financial system and are an important 
element in the provision of “market-based finance”. The ability to safely and reliably trade securities 
issued by sovereigns and non-financial and financial institutions helps facilitate the financing of 
investments in the real economy and so support economic growth and stability. 

There has been growing concern that liquidity in some markets in the EU has deteriorated. While 
this concern is most pronounced in the European corporate bond market, it also applies to other 
markets including securitisation, government bonds and foreign exchange.3 Market illiquidity is 
seen as a potential amplifier in a scenario where there is an abrupt reassessment of risk premia 
with possible systemic implications. If market liquidity is assessed insufficient to absorb sudden 
spikes in the demand or supply of certain securities, this may pose a risk to financial stability and 
warrant pre-emptive macroprudential action.  

A number of regulatory, competitive and technological developments are said to have reduced 
market-makers’ willingness and ability to act as counterparties for immediate trading needs.4 First, 
the provision of liquidity is increasingly viewed as a stand-alone profit centre and less as a client 
service that adds to the franchise value of banks and broker-dealers. Second, regulatory changes 
have increased inventory management costs for certain financial instruments, possibly encouraging 
liquidity providers to concentrate on more homogeneous instruments in liquid markets.5,6 

This report provides new evidence on the supply of liquidity services by market-makers in Europe 
based on an ESRB data collection. Empirical analysis on market liquidity has, so far, primarily 
focused on US markets. The ESRB’s data collection exercise covers 13 significant market-making 
banks in Europe and includes both a quantitative and a qualitative part. The quantitative data 
covers market-makers’ inventories, average trade size and volume of market-making activity. The 

1   The work presented in this report has been conducted by the ESRB Expert Group on Market Liquidity. 
2   A theoretical explanation of the interaction between funding and market liquidity is given in Brunnermeier and 

Pederson (2008). 

3   There has been a considerable amount of research into current market liquidity dynamics by a range of national, regional 
and international bodies. See, among others, International Monetary Fund (IMF, 2015); Bank for International Settlement 
(BIS, 2016); European Supervisory Authorities (ESAs, 2016); Bank of England (2015), “The Resilience of Financial Market 
Liquidity“, Financial Stability Papers, No 34, October; and the testimony of Federal Reserve System Governor Jerome 
Powell of 14 April 2016. 
4   See, for example, BIS (2014). 
5   Homogeneous securities include most government bonds, large cap equities and standardised derivatives, whereas 

corporate bonds, small cap equities and asset-backed securities are often considered heterogeneous. 

6   Meanwhile, there have also been changes in the demand for liquidity services by asset managers (see Section 3). 

ESRB 
Market liquidity and market-making 

Introduction 

3 

 
                                                           
qualitative part contains questions on the participants’ perception of market shares and potential 
impediments to their market-making activities. 

The remainder of the report is structured as follows. Section 2 presents a brief empirical 
assessment of the latest developments in market liquidity, focusing on sovereign and corporate 
bonds. This section also includes an analysis of the links with derivatives markets and potential 
problems in cash markets. Section 3 presents the results from the ESRB’s data collection on 
market-makers, focusing on inventory and trading volume data and on market-makers’ perception 
and management of market liquidity risk. Section 4 provides a summary and concluding remarks. 

ESRB 
Market liquidity and market-making 

Introduction 

4 

 
Section 2 
Developments in market liquidity 

This section provides a brief summary of the current state of secondary market liquidity drawing on 
market-based indicators and focusing on the sovereign and corporate segments of the European 
bond market. It also includes an analysis of the links with derivatives markets and potential 
problems in cash markets. 

There is no single agreed measure for assessing liquidity across markets. Rather, there are a 
number of interrelated measures, which can be classified into four broad categories: (1) transaction 
cost measures (e.g. bid-ask spreads, round trip costs); (2) volume-based measures (e.g. trading 
volume, turnover); (3) price-based measures (e.g. estimated liquidity premia, on the run vs off the 
run spread); and (4) market impact measures (e.g. Amihud ratios7). 

Available indicators of market liquidity in fixed income markets give mixed signals. Price-based 
measures suggest little or no decline in market liquidity for government bonds compared with the 
pre-crisis era. On the other hand, some quantity-based measures suggest a decline, and survey-
based data point to a marked deterioration. Information gathered from bid-ask spreads and survey-
based data point to a deterioration of liquidity conditions in the secondary corporate bond market 
following the onset of the global financial crisis. There have also been some signs of a decrease in 
the availability of repo market financing, though recent surveys of EU markets show a stabilising 
trend.8  

Sovereign bond markets 

Price, quantity and survey-based measures of market liquidity indicate that secondary market 
liquidity is lower across euro area sovereign bond markets compared with the pre-crisis era, but 
higher than during the peak of the banking and sovereign debt crises.9 While all indicators signal 
lower liquidity compared with the pre-crisis era, they differ in terms of the extent of the decline in 
market liquidity over recent years. Price-based measures (e.g. bid-ask spreads and Amihud ratios) 
indicate only a slight decline, quantity-based measures (e.g. turnover ratios and average deal size) 
show a more noticeable decline and survey-based measures show a marked decline across 
sovereign bond markets. 

Turning to individual metrics for euro area sovereign bond markets, bid-ask spreads relative to their 
mid-point prices have fallen considerably from crisis peaks, but remain well above pre-crisis levels 
(see Chart 1). The gradual improvement in conditions has been interrupted by episodes of market 

7   The  Amihud ratio of market liquidity estimates the impact of trading on prices. The measure is constructed as the ratio of 
absolute returns to absolute trading volume over a given window for a particular security - which is subsequently averaged 
over a longer time horizon and/or a set of securities. A higher price impact measure means a greater fall in prices for a 
given level of sales (i.e. a less liquid market).  

8
   See European Central Bank (ECB, 2015c) and International Capital Market Association (2015). 
9   Consideration should be given to whether pre-crisis, i.e. 2007, is a valid benchmark for liquidity analysis. The pre-crisis 

liquidity levels may have been driven by excessive leverage, which would not have been sustainable over the long term. 
Moreover, as became evident during the crisis, this level of liquidity was just an illusion – it was not there when it was 
needed the most. 

ESRB 
Market liquidity and market-making 

Developments in market liquidity 

5 

 
                                                           
illiquidity, suggesting that liquidity can quickly disappear during rapid bouts of market tension. More 
recently, volatility in bid-ask spreads for euro area sovereign bonds increased and spreads widened 
amid the market events in early 2016. For certain markets, the widening of spreads in 2016 was 
more substantial than in previous episodes. A principal component analysis depicts a strong 
commonality in forces driving the “tightness” dimension of liquidity across euro area secondary 
bond markets. This analysis raises concerns that liquidity may deteriorate simultaneously across 
markets right when it is most needed.10 

Chart 1 
Bid-ask spreads relative to mid-point  

Chart 2 

Turnover ratios in euro area sovereign bond 
markets (normalised) 

(Jan. 2005 to June 2016) 

(Jan. 2005 to June. 2016) 

euro area markets more affected by the sovereign debt crisis
other euro area markets

Series1

4

3.5

3

2.5

2

1.5

1

0.5

Higher liquidity

1

0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
2004 2005 2006 2008 2009 2010 2012 2013 2014 2016

0
2005

Lower  liquidity

2007

2009

2011

2013

2015

Source: Iboxx 
Notes: Indicators are normalised based on a cumulative distribution 
function. Normalised indicators range from 0 to 1, where 1 indicates high 
liquidity. Markets covered include Austria, Belgium, Finland, France, 
Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain. 
Those more affected by the sovereign debt crisis include Greece, 
Ireland, Italy, Portugal and Spain. 

Source: MTS 
Notes: Indicators are normalised based on a cumulative distribution 
function over individual ISINs (where granular data were available for 
the equivalent indicator, otherwise at country level). Normalised 
indicators range from 0 to 1, where 1 indicates high liquidity. Markets 
covered include Austria, Belgium, Finland, France, Germany, Greece, 
Ireland, Italy, Netherlands, Portugal and Spain. 

Turnover ratios are also below their pre-crisis level for many euro area sovereigns (see Chart 2) 
and the average deal size traded on the largest inter-dealer trading system for euro area 
government bonds (MTS) is slightly below pre-crisis levels, despite having rebounded after the start 
of the ECB’s public sector purchase programme in March 2015. Alternative liquidity measures such 
as Amihud ratios and market efficiency coefficients display a similar pattern and suggest 
deteriorating liquidity conditions in some sovereign bond markets in the first few months of 2016 
(see Chart 3). 

10   See Box 4 of the ECB’s May 2015 Financial Stability Review. 

ESRB 
Market liquidity and market-making 

Developments in market liquidity 

6 

 
 
                                                           
 
 
Corporate bond markets 

Information gathered from bid-ask spreads, surveys of market-makers (including those described in 
Section 4) and market intelligence point to a deterioration in liquidity conditions in the secondary 
market following the onset of the global financial crisis.11 Bid-ask spreads for euro area corporate 
bonds display a similar trend to their sovereign counterparts: they are currently slightly above levels 
observed prior to the onset of the financial crisis, but are markedly tighter than levels observed at 
the heights of the global financial and euro area sovereign debt crises (see Chart 4). 

Chart 3 

Amihud ratios in euro area sovereign bond 
markets (normalised) 

Chart 4 
Bid-ask spreads on corporate bonds 

(Jan. 2005 to June 2016) 

Series1

(basis points; percentage) 

US
Euro
UK

1

0.9

0.8

0.7

0.6

0.5

0.4

0.3

0.2

0.1

0
2004

Higher liquidity

Lower liquidity

45.00

40.00

35.00

30.00

25.00

20.00

15.00

10.00

5.00

0.00

1.80

1.60

1.40

1.20

1.00

0.80

0.60

0.40

0.20

0.00

2006

2008

2010

2012

2014

2016

2008 2009 2010 2011 2012 2013 2014 2015

Source: MTS 
Notes: Indicators are normalised based on a cumulative distribution 
function over individual ISINs (where granular data were available for 
the equivalent indicator, otherwise at country level). Normalised 
indicators range from 0 to 1, where 1 indicates high liquidity. Markets 
covered include Austria, Belgium, Finland, France, Germany, Greece, 
Ireland, Italy, Netherlands, Portugal and Spain. 

Source: MarketAxess 
Note: TRAX bid-ask spread index (BASI) for EU; for the UK index, bid-
ask spreads are as a percentage of the price; for the US index, they are 
absolute differences in yields. 

Though most market-based liquidity indicators do not signal a material deterioration in liquidity 
conditions in normal times, survey-based information suggests a marked deterioration in liquidity 
and functioning across a broad range of euro area markets. Respondents to the ECB’s survey on 
credit terms and conditions in euro-denominated securities financing and over-the-counter 
derivatives markets (SESFOD) consistently reported a worsening of liquidity conditions for 
corporate bonds in 2015 and anticipate a further deterioration this year.12 Market analysts report a 
decline in turnover ratios and bifurcation of conditions for on-the-run and off-the-run securities. 
Market liquidity in the corporate bond market depends to a greater extent on the willingness of 
market-makers to respond to temporary imbalances. Indications of reduced confidence among 
market-makers in their ability to provide liquidity during periods of stress (as expressed in the 

11   Numerous reports suggest a decline in market liquidity across multiple asset classes. For a summary of the available 
evidence supporting this view, see PricewaterhouseCooper’s August 2015 “Global financial markets liquidity study”.  

12   See the March 2016 SESFOD survey. 

ESRB 
Market liquidity and market-making 

Developments in market liquidity 

7 

 
 
  
 
 
 
                                                           
 
ECB’s SESFOD survey) cause some concern.13 In addition, since the onset of the financial crisis, 
euro area monetary financial institutions (MFIs) have reduced their holdings of euro area corporate 
bonds by one-third. 

The resilience of market liquidity in the post-crisis environment has yet to be tested as so far the 
periods of market volatility have proven to be short-lived. One explanation for the difference in how 
liquidity is perceived might be rooted in the fact that indicators based on available data are biased 
towards successfully executed orders, without taking into account the number of requests for 
quotes needed to execute an order. 

Cash versus derivatives markets 

Unusually persistent pricing anomalies between cash and derivative instruments may also indicate 
a decline in secondary market liquidity, or in related repo markets. These anomalies are of a 
magnitude that might previously have been arbitraged away by (typically) leveraged investors such 
as fixed-income value funds. For example, across EU, US and UK markets, yields on government 
bonds and maturity-matched swaps have diverged recently. Yields on German government bonds 
are below those on same-maturity swaps, while the opposite is true in US and UK markets (see 
Chart 5). 

Chart 5 

30-year swap spreads in the United 
Kingdom, United States and Germany 

Chart 6 
US primary dealers’ repo financing and 
major European financial groups’ repo 
business 

(basis points) 

US USSP30 Curncy
UK BPSS30 Curncy
Germany EUSS30 Curncy

(US$ trillions; € trillions) 

total EU Repo
total US Treasury Repo

60

40

20

0

-20

-40

-60

-80

9

8

7

6

5

4

1

12

13

14

15

16

-100

3
2005

2007

2009

2011

2013

2015

Source: Bloomberg. 

Source: Federal Reserve Bank of New York, ICMA. 
Note: Series show sum of repo and reverse repo financing. 

7.00

6.00

5.00

4.00

Repo markets mobilise funds and collateral across the financial system. An increase in the cost of 
repo intermediation implies higher costs of repo financing for both investors that use it to take 

13   ECB’s SESFOD survey and US Federal Reserve Board of Governors Senior Credit Officer Opinion Survey (SCOOS). 

ESRB 
Market liquidity and market-making 

Developments in market liquidity 

8 

 
 
                                                           
 
 
positions in fixed income markets (including pension and insurance funds) and relative value 
traders that need finance to take advantage of arbitrage opportunities to “correct” mis-pricings. The 
outstanding value of transactions in US and European repo markets have fallen since 2007, by 
around 20% and 40% respectively, though recent surveys of EU markets show a stabilising trend.14 
Consistent with the emergence of these pricing anomalies, since mid-2014 there has been an 
increase in the cost of borrowing in term-repo markets in the United States and the United 
Kingdom, relative to near risk-free rates. Over the same period, bid-ask spreads have also 
widened, indicating an increase in the cost of intermediation in the market for secured funds. 

Changes in the demand for market liquidity 

Developments in market liquidity across different markets have occurred against a backdrop of 
changing demand for liquidity. On the demand side, there are concerns that the greater role 
investment funds are playing in financial intermediation may result in them being an amplifying 
factor in the event of a future systemic crisis.15,16 Within this context, the following two issues may 
affect the role and impact of investment funds in systemic crises. 

1. 

The growth in assets under management in EU investment funds in recent years: total assets 
of EU investment funds amounted to €12.7 trillion in the fourth quarter of 2015. Assets 
managed by these funds have expanded significantly over the past few years, almost doubling 
since the end of 2009 (see Chart 7).17 

2.  Shifting portfolio composition: many funds are increasingly investing in less liquid assets while 
continuing to offer daily redemption opportunities to investors, creating a potential liquidity 
mismatch (see Chart 8). 

14   See ECB (2015c) and International Capital Market Association (2015). 
15   See FSB consultation launched 22 June 2016 on proposed policy recommendations to address structural vulnerabilities 

from asset management activities. 

16   Risks arising from the demand for liquidity services by asset managers will be assessed in more detail by the ESRB in 

2017.  

17   See also ESRB (2016b). 

ESRB 
Market liquidity and market-making 

Developments in market liquidity 

9 

 
                                                           
Chart 7 
EU investment funds – net asset values  

Chart 8 
EU investment funds – liquidity 
transformation18 

(EUR trillions) 

(percentages) 

equity funds
money market funds
mixed funds
bond funds

hedge funds
real estate funds
other funds

equity funds
money market funds
mixed funds
bond funds

hedge funds
real estate funds
other funds
total investment funds

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0.0

80%

70%

60%

50%

40%

30%

20%

10%

0%

Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3

Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3 Q1 Q3

2009 2010

2011

2012

2013

2014

2015

2009 2010

2011

2012

2013

2014

2015

Sources: ESRB EU Shadow Banking Monitor, ECB. 
Note: Data refer to available data for the EU; Bulgaria, Croatia, 
Denmark, Sweden and the United Kingdom are not included. 

Sources: ESRB EU Shadow Banking Monitor, ECB. 
Notes: Data refer to available data for the EU; Bulgaria, Croatia, 
Denmark, Sweden and the United Kingdom are not included. Total 
assets less liquid assets (deposits, sovereign bonds and debt securities 
issued by MFIs and equity and investment fund shares), as a share of 
total assets. Closed-end funds are not included. Estimates are made for 
holdings of non-euro area securities and funds not resident in the euro 
area. 

18   A difficulty in interpreting measures of liquidity transformation that rely on the relative size of liquid assets is that funds may 
sell a “vertical slice” of assets to meet redemptions and avoid first-mover advantage associated with selling liquid assets 
first. The size of funds’ holdings of liquid assets may therefore not be a good measure of funds’ ability to handle large-scale 
redemptions, although they can give some idea of the overall liquidity of fund assets in some cases.  

ESRB 
Market liquidity and market-making 

Developments in market liquidity 

10 

 
 
                                                           
 
 
 
 
 
 
Section 3 
Market-making and its implications for market liquidity: 
results from the ESRB’s data collection exercise 

This section presents the findings based on the ESRB’s quantitative data collection exercise and 
qualitative survey of market-makers. The data collection covered the following asset classes: 
sovereign bonds, corporate bonds, covered bonds and asset-backed securities (ABS).  

The results of the quantitative part of the exercise give mixed messages regarding the development 
of market-making activities. The analysis covers market-makers’ aggregated19 gross and net 
European market-making inventories, as well as median trade size and trading volume (information 
which is not generally available). Net and gross inventories have decreased significantly for 
corporate bonds, while inventories for other asset classes have either increased or remained 
unchanged. Overall trading volume has been relatively stable, while median trade sizes have 
decreased for all asset classes, a possible sign of deterioration in market liquidity. 

Overall, respondents to the qualitative survey perceive that market-makers contribute substantially 
to market liquidity and the functioning of markets. However, the responding banks specify that 
reduction in market liquidity, post-crisis regulation and changes in the general market environment 
are causing a reduction or even cessation in their market-making activities. Respondents point in 
particular to the capital and liquidity framework under the CRD IV/CRR and the increased 
transparency requirements under the new MiFID II/MiFIR rules as impeding their ability and 
willingness to act as market-makers. 

3.1 

Evidence on market-makers’ inventories and trading behaviour 

The quantitative data covers market-makers’ held-for-trading inventories, average trade size and 
volume of market-making activities. It should be noted that data after 2010 is more representative 
than data before 2010.20 

Gross and net inventories 

As a general rule, the net inventory position reflects the amount of risk that market-makers are 
willing or able to take.21 The size of gross short and long inventories reflects the ability of market-
makers to take short and long positions that may be hedged by each other, or by other instruments. 

19   Aggregation in this case means that all bonds of a certain type are grouped together no matter the issuer, maturity, 

issuance date, issuance volume, on-the-run/off-the-run and credit rating (though in some cases differentiated between high 
yield and investment grade), etc. If the development of market liquidity is not the same throughout the universe of certain 
types of bond, then aggregation may well mask such differences. However, it should be noted that this same shortcoming 
is present in almost all studies on market liquidity and is the result of limited data availability. 

20   At least three market-makers reported their numbers for each quarter/bond type included in this report. Data has been 

chain-linked backwards using the data from market-makers that reported for each quarter. 

21   However, if a long position is covered by a repo or by derivatives, the market-maker may bear a different risk from what is 

indicated by the net position. Repos and derivatives were outside the scope of this data collection. 

ESRB 
Market liquidity and market-making 

Market-making and its implications for market liquidity: results from the ESRB’s data collection exercise 

11 

 
                                                           
Overall, a decrease in either gross or net inventories would be indicative of lower market liquidity 
owing to a reduced ability or willingness of market-makers to warehouse assets. 

Different asset classes show mixed developments in market-makers’ inventories. Chart 9a shows 
that aggregated net inventories of European government bonds have remained stable at around 
€100 billion. However, this masks developments in both long and short gross inventories, which 
have gradually declined in absolute value. If the growth in issuance (size of the total market) is also 
considered, it is clear that the relative net inventory has declined. 

The data shows that covered bond inventories have risen (see Chart 9b). Net inventories doubled 
from around €10 billion in 2013 to around €20 billion in 2015. The large increase in long covered 
bond inventories starting from the beginning of 2014 can, at least in part, be attributed to 
anticipation of the ECB’s covered bond purchase programme. In anticipation of the programme, 
issuance of covered bonds increased and market-makers may have been convinced that they 
would be able to sell their inventories, leading to an increased willingness to hold covered bonds. 

ABS inventories form a U-shaped curve as inventories have only recently recovered to their 2008 
level (see Chart 9c). Similarly to covered bond inventories, ABS inventories started increasing in 
2013. In 2015 market-makers held in their inventory around the same volume of ABSs as covered 
bonds. As it is difficult to short ABSs, short positions are negligible over the whole sample. 

European corporate bond inventories show a striking declining trend (see Chart 9d). The decline 
relates to both non-financial and financial corporate bond inventories (see Chart 9e and 9f). 
Compared with government bonds, corporate bonds are harder to borrow and sell short, which 
explains the smaller portion of short positions. Overall, there seems to be a decline in both gross 
long and net inventories. However, it is difficult to disentangle the impact of reduced issuance from 
market-makers’ willingness to hold inventories. Issuance by financial corporates was especially low 
in the second half of the period.22 

22   Reports from market participants and others (see BIS (2014)) also suggest there may have been a “bifurcation” in liquidity 
over recent years, i.e. a greater decrease in liquidity has been seen in less-liquid instruments, while little, or no, decrease 
has been seen in liquid instruments. 

ESRB 
Market liquidity and market-making 

Market-making and its implications for market liquidity: results from the ESRB’s data collection exercise 

12 

 
                                                           
Chart 9 

Market-makers’ European government bond inventories have remained more stable than 
European corporate bond inventories 

long
short
net

a) Government bonds (EU)

b) Covered bonds (EU)

400

300

200

100

0

-100

-200

-300

35

30

25

20

15

10

5

0

-5

-10

Q1
2008

Q1
2009

Q1
2010

Q1
2011

Q1
2012

Q1
2013

Q1
2014

Q1
2015

Q1
2008

Q1
2009

Q1
2010

Q1
2011

Q1
2012

Q1
2013

Q1
2014

Q1
2015

c) Assets-backed securities (EU)

d) Corporate bonds (EU)

30

25

20

15

10

5

0

-5

Q1
2008

Q1
2009

Q1
2010

Q1
2011

Q1
2012

Q1
2013

Q1
2014

Q1
2015

e) Non-financial corporate bonds (EU)

70

60

50

40

30

20

10

0

-10

-20

-30

-40

200

150

100

50

0

-50

-100

140

120

100

80

60

40

20

0

-20

-40

-60

-80

Q1
2008

Q1
2009

Q1
2010

Q1
2011

Q1
2012

Q1
2013

Q1
2014

Q1
2015

f) Financial corporate bonds (EU)

Q1
2008

Q1
2009

Q1
2010

Q1
2011

Q1
2012

Q1
2013

Q1
2014

Q1
2015

Q1
2008

Q1
2009

Q1
2010

Q1
2011

Q1
2012

Q1
2013

Q1
2014

Q1
2015

Source: ESRB data collection. 

Trading volume and trade sizes 

Aggregated trading volume is an important measure of overall market liquidity as it measures the 
value of spot market transactions that take place within a certain time period. Trading volume 
generally correlates strongly with the level of bond issuance in the primary market. Accordingly, 
trading volume, while informative, should not be considered an absolute measure of secondary 

ESRB 
Market liquidity and market-making 

Market-making and its implications for market liquidity: results from the ESRB’s data collection exercise 

13 

 
  
market liquidity. Other measures of market liquidity include median trade size and the number of 
trades. In illiquid markets a large trade may need to be split into smaller blocks to be able to 
execute the trade for a reasonable price and within an acceptable timeframe.23 

During the last 10–12 quarters most of the asset classes under review show either increasing or 
stable trading volumes coupled with decreasing median24 trade sizes (see Chart 10). The results 
are broadly in line with earlier evidence from the United Kingdom and the United States which 
suggests that dealers may be holding less inventory, but working these inventories harder (i.e. 
holding the inventory for a shorter period of time).25 This could explain the fact that headline 
measures of liquidity, show little, if any, deterioration in recent years (see Section 2).  

The aggregate euro trading volume for government bonds has increased at an annual rate of 4% 
since 2006 (see Chart 10a). This rise can be attributed to significant issuance of government bonds 
during the time period. At the same time, the number of trades has increased at a faster pace while 
the median trade size has decreased from a peak of €18 million in the third quarter of 2008 to €9 
million in the second quarter of 2015. The trading volume and median trade size of covered bonds 
have decreased (see Chart 10b). However, owing to the small size of the market, trading volumes 
are volatile. Since 2009 the median trade size for covered bonds has halved from about €8 million 
to about €4 million. For ABSs, the trading volume has decreased since 2008 and trade sizes have 
also been volatile (see Chart 10c). 

For corporate bonds, median trade size has registered a clear downward trend over recent years 
while trading volumes decreased only slightly (see Chart 10d). According to the data, about €4 
trillion worth of corporate bonds were traded by market-makers in the second quarter of 2015 
making corporate bonds the second largest asset class in this study (after government bonds). Of 
that number, 70% (€2.8 trillion) were non-financial corporate bonds and 30% (€1.2 trillion) were 
financial corporate bonds. There has been a significant decline in median trade size for corporate 
bonds issued by both non-financial and financial corporations. For non-financial corporate bonds, 
the average trade size declined by about 85% between 2008 and 2015 (from around €12 million in 
2006-08 to around €2 million in 2015). For financial corporate bonds, the decline was about 80% 
(from around €10 million in 2006-08 to around €2 million in 2015). 

23   However, one should keep in mind that the number of outstanding bonds is not constant and for the purpose of the analysis 
presented here the number of outstanding bonds relative to market-makers’ portfolios is not available. In addition, the 
difficulty of getting an order successfully executed is not reflected in the current data, apart from the impact that it may have 
on the trading volume. 

24   The median is the median of average trade sizes reported by the market-makers. To reduce the noise, the four-quarter 

moving average for each variable is used. 

25   Bank of England (2015) and Bank for International Settlements (2016). 

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Market liquidity and market-making 

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14 

 
                                                           
Chart 10 

Volume, median trade size and number of trades by market-makers for different asset 
classes 

(indexed, 2006Q1 = 100) 

median trade size
number of trades
volume

a) Government bonds(EU)

b) Covered bonds (EU)

250

200

150

100

50

140

120

100

80

60

40

20

0
2006Q1

2008Q1

2010Q1

2012Q1

2014Q1

0
2006Q1

2008Q1

2010Q1

2012Q1

2014Q1

c) Assets-backed securities (EU)

d) Corporate bonds (EU)

300

250

200

150

100

50

300

250

200

150

100

50

0
2006Q1

2008Q1

2010Q1

2012Q1

2014Q1

0
2006Q1

2008Q1

2010Q1

2012Q1

2014Q1

e) Non-financial corporate bonds (EU)

f) Financial corporate bonds (EU)

250

200

150

100

50

400

350

300

250

200

150

100

50

0
2006Q1

2008Q1

2010Q1

2012Q1

2014Q1

0
2006Q1

2008Q1

2010Q1

2012Q1

2014Q1

Source: ESRB data collection. 

ESRB 
Market liquidity and market-making 

Market-making and its implications for market liquidity: results from the ESRB’s data collection exercise 

15 

 
 
Implications for liquidity resilience 

It is important to consider how trade sizes, volumes and inventories should be interpreted as a 
whole26 and what conclusions can be drawn about liquidity resilience.27 To illustrate the 
simultaneous changes in trading and inventory indicators, Table 1 displays all individual changes 
for two time periods: from 2008 to 2010 and from 2008 to 2015.28 

Table 1 

Summary of changes in market-makers’ median trade sizes, volumes and inventories 

% change in median 
trade size 

% change  
in trading volume 

% change 
 in net inventories 

% change  
in sum  
of long/short 
inventories 

Government bonds 

2008 to 2010 
2008 to 2015 

Covered bonds 

2008 to 2010 
2008 to 2015 

Asset-backed securities 

2008 to 2010 
2008 to 2015 

Corporate bonds 

2008 to 2010 
2008 to 2015 

Non-financial corporate bonds 

2008 to 2010 
2008 to 2015 

Financial corporate bonds 

2008 to 2010 
2008 to 2015 

-31 
-17 

-24 
-46 

-15 
0 

-58 
-17 

-77 
-19 

-70 
-18 

18 
53 

23 
37 

-38 
-58 

66 
28 

40 
64 

49 
50 

-19 
-9 

2 
81 

-32 
63 

15 
-52 

2 
-56 

10 
-53 

5 
-21 

31 
37 

-31 
50 

2 
-53 

11 
-28 

-2 
-64 

Note: % change in sum of long/short inventories refers to the percentage change in the total value of long positions and total value of short positions. 

While these data offer only a limited perspective, they suggest that liquidity resilience may have 
decreased in both government bond and corporate bond markets, with all four indicators pointing 
towards a deterioration in market liquidity. For corporate bonds, the deterioration has mainly 
occurred since 2010, while for government bonds about half of the change was already visible over 
the time period beginning in 2008. The percentage decline in both gross and net inventories has 
been more pronounced for corporate bonds, while the percentage changes in median trade size 

26   For example, when viewed individually a larger trading volume would be considered positive for liquidity. However, if the 

size of the market and the trading volumes grow while the size of market-makers’ inventories remain the same or even 
decrease, this could pose a risk to liquidity resilience. 

27   Liquidity resilience refers to how much market liquidity is available during times of market stress. Care should be taken 

when drawing conclusions on liquidity resilience based on data from normal times – there is no guarantee that ample 
liquidity in normal times means there will be ample liquidity in stressed times. 

28   The average value of indicators for the starting year (2008) and for the ending year (2010 or 2015) was used. For 2015, 

only data for the first two quarters was available. 

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Market liquidity and market-making 

Market-making and its implications for market liquidity: results from the ESRB’s data collection exercise 

16 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
                                                           
and trading volume have been of similar magnitude. For covered bonds and ABSs, there is no 
similar deterioration in market liquidity conditions. 

3.2 

Review of market-makers’ perception and management of market liquidity 
risk 

The banks covered by the qualitative survey trade a substantial share of bonds in major fixed 
income markets (see Chart 11). Aggregating banks’ own estimates of their market share gives a 
total market share of the respondents. This share ranges from 64% in high-yield corporate bond 
markets to 85% in covered bond markets.29 The survey can therefore be viewed as representative 
for market-makers in Europe.30 

Chart 11 
Estimated market share and market breakdown 

estimated market share

electronic (value)
other (value)

electronic (number)
other (number)

100%

75%

50%

25%

0%

100%

75%

50%

25%

European
IG
corporate
bonds

European
HY
corporate
bonds

European
sovereign
bonds

European
covered
bonds

European
ABS

0%
European IG
corporate
bonds

European HY
corporate
bonds

European
sovereign
bonds

European
covered
bonds

European
ABS

Market liquidity is perceived to have decreased steadily and to have been more frequently 
disrupted in recent times. Survey participants more frequently observed temporary, event-driven 
phases of illiquidity, such as during the Greek referendum, or unexpected events, such as during 
the US Treasury flash crash in 2014. According to most respondents, lower market liquidity has its 
origin in a reduction in the number of market participants, investors in general and market-makers 
in particular, as well as capital and balance sheet constraints potentially as a result of regulation 
(see Chart 12). Other determinants of market illiquidity relate mostly to changes in the market 
structure. 

However, some regulatory interventions are seen to effectively counter the negative effects on 
market liquidity. Most survey respondents perceive the ECB’s quantitative easing (QE) programme 

29  

In terms of volume, most market-making seems to happen outside electronic markets (presumably over the counter), while 
the tickets traded in electronic markets seem to be smaller in value but greater in number. 

30 

  The results shown here represent the views of market-makers and should be interpreted as such (also with regard to 

banks' own estimates of their market shares). There are furthermore some limitations when interpreting the survey results 
because responses were provided in open text format and are therefore not always precise or easily comparable. 

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Market liquidity and market-making 

Market-making and its implications for market liquidity: results from the ESRB’s data collection exercise 

17 

 
 
                                                           
as an effective intervention measure, while some state that the QE programme has had detrimental 
effects on market liquidity because it has led to excessive supply-demand imbalances in European 
government bond markets (see Chart 12 and 13). Further, a review of the current regulation, in 
particular a relaxation of capital requirements for market-making activities but also for securitisation 
and repos, is expected to have a positive effect on market liquidity (see Chart 13). 

Chart 12 
Main determinants of market illiquidity as perceived by respondents 

(share of respondents) 

capital and balance sheet constraints

absence or reduction of market-makers

effects of regulation

reduced number of investors

one-way market

scarcity of repo financing

ECB’s quantitative easing programme

market conditions (higher volatility , lower credit quality)

widened spreads

increasing costs of trade

reduced turnover

0%

20%

40%

60%

Chart 13 

Most effective intervention measures against illiquidity as perceived by respondents 

(share of respondents) 

central bank QE programmes

review of current regulations, less constraints on MM

increased transparency on intervention policies

cheaper lending by Central banks

relaxed regulatory policies in times of stress

pooling of orders by clients

relaxed capital requirements for securitisations

relaxed capital requirements for repo activities

emergence of long-term investors

reassessment of accounting standards (pro-cyclicality)

introduction of mandatory clearing

0

0.2

0.4

0.6

0.8

According to survey participants, changes in market-makers’ activities were caused by changes in 
market liquidity, market conditions and regulatory requirements. 

First, survey respondents perceive market-making operations and functioning to be negatively 
affected by the deterioration in liquidity. As respondents also indicate that liquidity is negatively 
affected by a reduction in market-making activity, this suggests a negative feedback loop: less 
market-making results in less liquidity, which results in less market-making and so on. In particular, 

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Market liquidity and market-making 

Market-making and its implications for market liquidity: results from the ESRB’s data collection exercise 

18 

 
 
 
some market-makers indicate that they reacted to recent market liquidity disruptions with a stricter 
selection of clients and trades and a wider spread for quotes. Further, they perceive larger 
inventory ageing in many asset classes and a reduction of the number of banks serving as primary 
dealers in sovereign bond markets. 

Second, changes in market conditions are said to have led to a reduction in market-making 
activities. In particular, market disruptions such as those arising from the Greek debt crisis, 
changes in the type of market participants31, a reduction in dealers’ ability to take principal risks and 
an increase in smaller-sized bond issuers are reported to have reduced market-making activities.32 

Third, respondents view new regulatory requirements for banks and markets as reducing market-
making activities. As shown in the left panel of Chart 14, more than one-third of the banks 
questioned claim to have partially reduced their activities in the past and almost a quarter of the 
responding banks report to have withdrawn completely from market-making in at least one market 
owing to regulation.33 Put differently, more than one-third of the respondents have not changed 
their market-making behaviour as a result of regulation. However, more than three-quarters of the 
respondents remark that regulatory requirements are “likely” or “very likely” to interfere with their 
market-making activities in the future (see right hand panel of Chart 14). 

Chart 14 

Perceived impact of regulation on market-making banks 

Recent withdrawel from market-making due to regulation

Future market-making activity affected by regulation

50%

40%

30%

20%

10%

0%

50%

40%

30%

20%

10%

0%

no

reduced activity

yes

very unlikely

unlikely

likely

very likely

Respondents note that regulatory initiatives would alter the revenue-cost basis underlying their 
market-making activities. In particular, they most prominently mention capital and liquidity 
requirements for banks and capital market requirements as presenting the greatest challenges in 
terms of disincentivising market-making (see Chart 15). Additional capital and liquidity 

31  

In particular, banks mention a trend towards “real money asset managers” and away from “fast money traders”. Moreover, 
they observe funds which offer daily liquidity to be taking a more central role, e.g. in corporate bond markets. 

32   Another notable factor is the increased share of corporate bonds held by funds offering daily liquidity. It is not clear whether 
the increased share of corporate bonds or the fact they are held by funds would lead to a reduction in market liquidity. 

33   Respondents particularly name the ABS and credit markets as being affected. 

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Market liquidity and market-making 

Market-making and its implications for market liquidity: results from the ESRB’s data collection exercise 

19 

 
 
                                                           
requirements34, with explicit mention of the liquidity coverage ratio, the net stable funding ratio and 
to a lesser degree the fundamental review of the trading book and the leverage ratio, have 
increased the cost of providing liquidity for market-makers. At the same time, these costs have not 
been balanced by additional revenues and have so disincentivised market-making. Further, 
respondents argue that additional transparency requirements under the MiFID II/MiFIR/EMIR 
framework reduce profit as other market participants will be better informed about the risk positions 
held by market-makers. A few banks also mention other market reforms such as the CSD 
Regulation, the Securities Financing Transaction Regulation and the regulation on short-selling as 
disincentivising market-making. Lastly, the Volcker rule and bank structural reforms in general are 
also mentioned. 

Chart 15 

Regulatory issues which are described as disincentivising market-making 

(share of respondent) 

capital requirements

liquidity coverage ratio/ net stable funding ratio

MiFID II /MiFIR transparency requirement

MiFID II /MiFIR in general

fundamental review of the trading book

leverage ratio

capital requirements directives/ capital requirements regulation in general

stress value at risk, incremental risk charge, country risk classification

CSD regulation

total loss-absorbing capacity

securities financing transaction regulation

regulation on short-selling

Volcker

bank structural reforms

0%

20%

40%

60%

80%

It is important to remember that the survey only provides some indication of which type of market 
would primarily be affected by a reduction or withdrawal in liquidity supply. Many respondents note 
that periods of distress reduce their risk appetite and their ability to exit positions in general, and 
that spreads widen temporarily for all asset classes. Others state that their reaction will most likely 
depend on the specific distress scenario. Some conclusions can nevertheless be drawn on the type 
of market which may be most affected. Less liquid and generally more risky bond markets (i.e. high 
yield) are among those where many respondents would reduce their liquidity provision first. 
Moreover, some respondents also list non-domestic sovereign bond markets, investment-grade 
corporate bonds, long-dated bonds in general and legacy residential mortgage-backed securities 
among the potentially more affected markets. 

34   Note that some of the respondents’ answers are not precise enough to distinguish between different regulations. In 

particular, references to “capital requirements” may or may not include the leverage ratio or the fundamental review of the 
trading book. Similarly, some banks refer to the CRD IV/CRR framework in general while others distinguish different 
macroprudential measures specified in those packages. 

ESRB 
Market liquidity and market-making 

Market-making and its implications for market liquidity: results from the ESRB’s data collection exercise 

20 

 
 
                                                           
Section 4 
Summary and conclusions 

At a time when demand for liquidity is increasing, the provision of market liquidity has wide-
reaching implications. Market liquidity has an impact on the financing of corporates and 
governments and therefore the general economy. Moreover, the resilience of liquidity, i.e. how 
much liquidity is available during stressed market conditions, is crucial, as a shock to market 
liquidity can lead to fire-sale externalities in asset prices. 

Liquidity illusion remains a risk to financial stability. The experience from the financial crisis has 
shown that, in normal times, liquidity conditions may be perceived to be ample, but a sudden lack of 
liquidity can occur during times of stress.  

Market-making plays an important role in a market functioning correctly. A key element of market 
liquidity in bond markets, and in corporate bond markets in particular, is market-makers’ ability to 
absorb temporary order imbalances by warehousing risk for short periods of time. Market-makers 
themselves may finance these positions through repo markets, providing a connection between 
market liquidity and funding liquidity. There have been some signs of a decrease in the availability 
of repo market financing, though recent surveys for EU markets are showing a stabilising trend. 

Measuring market liquidity raises important methodological issues. It is impossible to capture 
market liquidity comprehensively using only one measure as every indicator has its own 
advantages and disadvantages. Moreover, there is a significant information gap in terms of 
financial reporting in the EU that hampers a full assessment of the level of market liquidity and any 
related systemic risks. The new data collected for this report are able to shed more light on these 
issues. 

The extent to which regulation has directly affected market-making capacity is still subject to 
debate. Regulation has aimed at strengthening the resilience of market-makers, decreasing their 
leverage and containing risks of liquidity illusion. However, market-makers responding to the 
qualitative survey believe that regulation may have also had unintended consequences. Banks 
perceive especially the capital and liquidity regulation as well as increased transparency 
requirements under the new MiFID II/MiFIR regulation as affecting their market-making function. 
Anecdotal evidence suggests that market-makers may have shifted their focus towards less capital-
intensive services, while also reducing risk-taking and carrying out a more granular assessment of 
risks within each of their business lines. 

The quantitative data gathered by the ESRB show mixed evidence regarding developments in 
market liquidity. A decreasing trend in both gross and net inventories was observable in corporate 
bond markets – possibly indicating a reduced ability or willingness of market-makers to act as 
intermediaries in these markets. However, trends in market-making inventories for other asset 
classes were more mixed, and trading volumes have remained relatively constant across asset 
classes. Median trade sizes have decreased across asset classes, indicating a potential reduction 
in liquidity and changes in market behaviour. These changes suggest that it will take longer to 
execute a large order. 

ESRB 
Market liquidity and market-making 

Summary and conclusions 

21 

 
The findings are supported by similar developments in the market data on headline measures of 
liquidity. Across asset classes the results are mixed with most measures suggesting little or no 
decline in market liquidity over recent years. However, alternative measures suggest a possible 
deterioration in market functioning, especially for corporate bonds.35,36 

35   These results are in line with the available research which suggests that there is no clear consensus as to whether or not 
liquidity in fixed income markets is diminishing. For example, the IMF has highlighted signs of reduced liquidity in certain 
markets, but noted that dynamics vary across bond classes (see IMF (2015)). The BIS (see BIS (2016)) and Joint 
Committee of the ESAs (see Joint Committee report (2016)) have also noted the potential for reduced liquidity in some 
markets. However, research from the UK’s Financial Conduct Authority states that no significant deterioration in market 
liquidity in recent years is observable (see FCA (2016)) and the French Autorité des Marché Financiers has noted improved 
liquidity in French bond markets since the start of 2012, though levels remain below pre-crisis levels (see AMF (2015)). 
36   Some of these developments may reflect structural trends owing to increased use of electronic trading, changes in market 

participants’ behaviour or changes in regulation, the effects of which would be difficult to separate. 

ESRB 
Market liquidity and market-making 

Summary and conclusions 

22 

 
                                                           
References 

Anderson, N., Webber, L., Noss, J., Beale, D., and Crowley-Reidy, L. (2015), The resilience of 
financial market liquidity, Bank of England Financial Stability Paper 34. 

Autorité des marchés financiers (2015), Study of liquidity in French bond markets.  

Bank of England (2015), Financial Policy Committee statement from its policy meeting, 23 
September. 

Bank for International Settlements (2014), Market-making and proprietary trading: industry trends 
drivers and policy implications, CGFS Publications No 52.  

Bank for International Settlements (2016), Fixed income market liquidity, CGFS Publications No 55.  

Board of Governors of the Federal Reserve System (2016), Senior Credit Officer Opinion Survey 
on Dealer Financing Terms (SCOOS).  

Brunnermeier, M. K. and Pedersen, L. H. (2008), Market Liquidity and Funding Liquidity, The 
Review of Financial Studies 10 1093. 

European Central Bank (2015a), Financial Stability Review, May. 

European Central Bank (2015b), Euro money market survey, September. 

European Central Bank (2016), Survey on credit terms and conditions in euro-denominated 
securities financing and OTC derivatives markets (SESFOD). 

European Supervisory Authorities (2016), Joint Committee Report on Risks and Vulnerabilities in 
the EU Financial System. 

European Systemic Risk Board (2016a), EU Shadow Banking Monitor, No 1. 

European Systemic Risk Board (2016b), Assessing shadow banking – non-bank financial 
intermediation in Europe, Occasional Paper 10.  

Financial Conduct Authority (2016), Liquidity in the UK corporate bond markets: evidence from 
trade data, Occasional Paper 14. 

Financial Stability Board (2016), Proposed Policy Recommendations to Address Structural 
Vulnerabilities from Asset Management Activities.  

International Capital Market Association (2015), European repo market survey. 

International Monetary Fund (2015), Vulnerabilities, Legacies and Policy Challenges: Risks 
Rotating to Emerging Markets. Global Financial Stability Report. 

Powell, J. H., (2016), Trends in Fixed-Income Markets. Testimony before the Subcommittee on 
Securities, Insurance, and Investment, and Subcommittee on Economic Policy, Committee on 
Banking, Housing, and Urban Affairs, U.S. Senate, Washington, D.C. 

PWC (2015), Global financial markets liquidity study.

ESRB 
Market liquidity and market-making 

References 

23 

 
 
Expert Group Members 

Jouni Timonen (Chair) 
Suomen Pankki – Finlands Bank 

Sascha Becker (Secretary) 
European Systemic Risk Board 

Daniel Beale 
Bank of England 

Nicola Doyle 
European Central Bank 

Rada Tomova 
European Commission 

Eero Tölö 
Suomen Pankki – Finlands Bank 

Paul Wegener 
European Central Bank 

Jonathan Zribi 
Banque de France 

Ulrich Giebel 
Bundesanstalt für Finanzdienstleistungsaufsicht 

Monika Züllig 
Netherlands Authority for the Financial Markets 

Claudia Guagliano 
European Securities and Markets Authority 

Eleonora Iachini 
Banca d'Italia 

Christoph Kuhn 
European Banking Authority 

Tony Lee 
Netherlands Authority for the Financial Markets 

Jenny Mannent 
Sveriges Riksbank 

Otso Manninen 
Suomen Pankki – Finlands Bank 

Barbara Meller 
European Central Bank 

Alexandra Morão 
Banco de Portugal 

Joseph Noss 
Bank of England 

Evin O’Reilly 
Central Bank of Ireland 

Bastian Offermann 
Austrian Financial Market Authority 

Andreas Röthig 
Deutsche Bundesbank 

Dean Sullivan 
Financial Conduct Authority 

ESRB 
Market liquidity and market-making 

Expert Group Members 

24 

 
 
 
Imprint 

© European Systemic Risk Board, 2016 

Postal address 
Telephone 
Website 

60640 Frankfurt am Main, Germany 
+49 69 1344 0 
www.esrb.europa.eu  

All rights reserved. Reproduction for educational and non-commercial purposes is permitted provided that the 
source is acknowledged. 

The cut-off date for the data included in this report was 30 June 2015. 

ISBN 
DOI 
EU catalogue No 

978-92-95081-64-2 (online) 
10.2849/098493 (online) 
DT-04-16-828-EN-N (online)