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October 18, 2018

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.

 

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Keywords: Europe, EU, Securities, Derivatives, Statistics, EMIR, Clearing Obligation, ESMA

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