Hi! EONIA trading volumes are available (I think on a weekly basis). You can clearly see that the volume has dropped since the Lehman failure. Also the level of excess reserves at the ECB has risen which in combination with the fact that EONIA trades just above the ECB deposit facility suggests that banks prefer to park cash at the ECB instead of trading in the EONIA market. The London based EURONIA whos panel banks do not face the ECB trades even tighter to the deposit facility.The ECB has flooded the market with cash (tenders with full allotment at the refi rate since october). Which means that some banks have to park the at ECB (since there is too much liquidity). Now my question is how do you interpret EONIA volumes in terms of interbank stress? I suppose "low" volumes is bad since it indicates that banks prefer to place cash at the ECB (with a penalty since EONIA is sill higher than the deposit rate) instead of lending in the EONIA market but how can we know which volumes are low and which ones are high? Looking at historical numbers gives guidance but given that the ECB has flooded the market are they comparable? Also, how do we deal with over night cash that trades in the EURONIA market? In theory I guess all EONIA cash could move to EURONIA which would leave the EONIA market at zero volume but it would not suggest that o/n interbank lending did not work as a whole?In the US a lot a banks have left the fed funds market since the Fed gives 25bp at the deposit facility while fed funds trades lower giving banks no incentive to participate in the fed funds market. Hence low fed funds volumes cannot be attributed to unwillingness of banks to lend to each other (since they can earn higher returns at zero credit risk with the fed). It might be a problem anyway but that is another story....Alot of questions here but if anyone has any experience in EONIA volumes I would love to listen to your thoughts! Thanks.

well i think to some extent EURIBOR & EONIA relationship deviation is reson for it.Earlier spread used to be around 6 bps since Jul-07 there is huge deviation in spread and traders traded more EONIA swaps .

I don't think it makes a lot of sense to look at EONIA volumes as a useful measure of the interbank situation. Maybe it's a worthwhile measure of the market's total liquidity, but even there I wouldn't be too certain. I also don't think EURONIA is a big thing, given the exact structure of the two markets.