ESMA published the first annual statistical report on the derivatives markets in EU. The report, based on data submitted under the European Markets and Infrastructure Regulation (EMIR), provides the first comprehensive market-level view of the derivatives markets. The report shows that, in the fourth quarter of 2017, the derivatives markets amounted to EUR 660 trillion of gross notional outstanding transactions.
The primary objective of this data analysis is to contribute to the risk assessment of ESMA, to facilitate entity oversight by supervisory authorities (both national and European) and to enhance supervisory convergence. The report provides information on the following:
- Market monitoring by providing an analysis of structures and trends in European derivatives markets during each reporting period, building on the indicators developed for risk monitoring
- Statistical methods dedicated to topical issues in developing and exploring derivatives data
- Derivatives market statistics offering a full list of indicators and metrics being monitored by ESMA
The report shows that, at the end of 2017, trade repositories reported a total of 74 million open transactions amounting to a gross notional outstanding of around EUR 660 trillion, including both over-the-counter (86% of the total) and exchange-traded derivatives (14%). In notional terms, interest rate derivatives dominate the market, with 69% of the total amount outstanding, followed by currency derivatives, at 12%; all other asset classes—that is, equity, credit, and commodity derivatives—account for less than 5% of the total amount outstanding. The report also shows that central clearing rates for new transactions have been increasing significantly, demonstrating the effectiveness of the EMIR clearing obligation. For all outstanding contracts in the fourth quarter of 2017, central clearing rates were nearly 27% (versus 25% in the first quarter of 2017) for credit derivatives and 58% (versus 40% in the first quarter of 2017) for interest rate derivatives, including contracts concluded before the clearing obligation came into force.
Keywords: Europe, EU, Securities, Derivatives, Statistics, EMIR, Clearing Obligation, ESMA
EIOPA submitted—to the European Parliament, the Council of the European Union, and EC—its 2020, fifth, and last annual report on long-term guarantee measures and measures on equity risk.
The BIS Innovation Hub Swiss Centre, SNB, and the financial infrastructure operator SIX announced the successful completion of a joint proof-of-concept (PoC) experiment as part of the Project Helvetia.
EBA published the final draft regulatory technical standards for calculation of own funds requirements for market risk, under the standardized and internal model approaches of the Fundamental Review of the Trading Book (FRTB) framework.
EIOPA published discussion paper on a methodology for the potential inclusion of climate change in the Solvency II (sometimes also written as SII) standard formula when calculating natural catastrophe underwriting risk.
EU published, in the Official Journal of the European Union, corrigenda to the Directive and the Regulation on the prudential requirements and supervision of investment firms.
MAS proposed amendments to certain regulations, notices, and guidelines arising from the Banking (Amendment) Act 2020.
PRA published a statement that explains when to expect further information on the PRA approach to transposing the Capital Requirements Directive (CRD5), including its approach to revisions to the definition of capital for Pillar 2A.
RBNZ launched consultations on the scope of the Insurance Prudential Supervision Act (IPSA) 2010 and on the associated Insurance Solvency Standards.
SRB published the work program for 2021-2023, setting out a roadmap to further operationalize the Single Resolution Fund and to achieve robust resolvability of banks under its remit over the next three years.
EIOPA is consulting on the relevant ratios to be mandatorily disclosed by insurers and reinsurers falling within the scope of the Non-Financial Reporting Directive as well as on the methodologies to build these ratios.