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
Previous ArticlePRA Finalizes Changes to PRA Rulebook and Branch Return Form
HKMA announced that enhancements will be made to the Special 100% Loan Guarantee of the SME Financing Guarantee Scheme (SFGS) and the application period will be extended to December 31, 2021.
BoE has set out a three-phased plan to transform data collection from the UK financial sector over the next decade.
BIS recently made a couple of announcements with respect to the planned and ongoing work in the area of financial technology.
ESRB updated the list of national macro-prudential measures applied by each member state in the European Economic Area.
BoE has set out results of a survey on the impact of COVID-19 events on the use of machine learning and data science.
In response to a request from the European Council and Parliament, ECB published an opinion on the proposed regulation on markets in crypto-assets.
APRA announced the updated aggregate amounts for the 2021 Committed Liquidity Facility (CLF) established between the Reserve Bank of Australia (RBA) and certain locally incorporated authorized deposit-taking institutions that are subject to the Liquidity Coverage Ratio (LCR).
ECB published supervisory Memorandums of Understanding (MoUs) with UK as well as other European and non-European authorities.
EIOPA identified business model sustainability and adequate product design as the two EU-wide strategic supervisory priorities.
After considering comments received on the November 2020 proposal, US Agencies (FDIC, FED and OCC) are proceeding with the proposed revisions to the reporting forms and instructions for Call Reports FFIEC 031, FFIEC 041, and FFIEC 051.