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October 19, 2017

ESMA published an article—EU derivatives markets: a first-time overview—that was included in the latest version of its Report on Trends, Risks and Vulnerabilities. In this article, ESMA produced, for the first time, data on the size of the interest rate, credit, equity, commodity, and foreign exchange derivatives markets in the EU, based on the weekly data it receives from trade repositories.

This article includes information on the size of the different derivative markets, both in terms of the number of transactions and gross notional amount outstanding. Moreover, it also includes measures of market concentration. The article shows the shares of derivative transactions that occur within the European economic area (EEA), as opposed to cross-border transactions with non-EEA counterparts, as well as the breakdown between over-the-counter and exchange-traded derivatives. The work is based on the combined data received from all six trade repositories in the EU, who are supervised by ESMA, under the reporting requirements of the European Markets Infrastructure Regulation (EMIR). The data provided by trade repositories is an extensive source of information about derivatives, including bank and non-bank entities.

According to ESMA’s initial analysis, which was performed on the data available on February 24, 2017, the size of the EU’s derivatives markets across all asset classes was estimated as having a notional value of about EUR 453 trillion and nearly 33 million transactions. ESMA continues its substantial work in this area, with the aim to enhance data quality and improve statistical analysis. These are the key priorities for ESMA in the coming years.

 

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Keywords: Europe, EU, Securities, EMIR, Trade Repository, OTC Derivatives, Market Size, ESMA

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