TRV Statistical Annex - ESMA

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TRV Statistical Annex - ESMA
E

TRV
ESMA Report on Trends, Risks and Vulnerabilities
                                                   Statistical
                                                   Annex
                                                                 No. 2, 2020

                                                            19 February 2020
                                                            ESMA50-165-1152
ESMA TRV Statistical Annex                    No. 2, 2020    2

Table of contents
Market environment                                          3

Securities markets                                          5
    Equity markets                                           5
    Sovereign-bond markets                                   6
    Corporate-bond markets                                   9
    Credit quality                                          11
    Short selling                                           12
    Money markets                                           13
    Derivatives markets                                     14

Infrastructures and services                                16
    Trading venues and MiFID entities                       16
    Central counterparties                                  17
    Central securities depositories                         18
    Credit rating agencies                                  19
    Financial benchmarks                                    20

Asset management                                            22
    Fund industry                                           22
    Money market funds                                      25
    Alternative funds                                       26
    Exchange-traded funds                                   27

Consumers                                                   29
    Investment resources available to households            29
    Asset allocation by retail investors                    29
    Costs and performance                                   31
    Complaints                                              33

Market based finance                                        34
    Capital markets financing                               34
    Market-based credit intermediation                      36

Sustainable finance                                         38
    Green finance                                           38
    Emissions trading                                       39

Financial innovation                                        40
    Financial innovation                                    40
ESMA TRV Statistical Annex                                                    No. 2, 2020                                                                             3

Market environment
A.1                                                                                 A.2
Market price performance                                                            Market volatilities
120                                                                                 80

110                                                                                 70
                                                                                    60
100
                                                                                    50
 90
                                                                                    40
 80
                                                                                    30
 70
                                                                                    20
 60                                                                                 10

 50                                                                                  0
  Jun-18      Oct-18 Feb-19 Jun-19             Oct-19 Feb-20 Jun-20                  Jun-18      Oct-18 Feb-19 Jun-19              Oct-19 Feb-20 Jun-20
              Equities                             Commodities                                    Equities                              Commodities
              Corporate bonds                      Sovereign bonds                                Corporate bonds                       Sovereign bonds
Note: Return indices on EU28 equities (Datastream regional index), global           Note: Annualised 40D volatility of return indices on EU28 equities (Datastream
commodities (S&P GSCI) converted to EUR, EA corporate and sovereign                 regional index), global commodities (S&P GSCI) converted to EUR, EA
bonds (iBoxx EUR, all maturities). 01/05/2018=100.                                  corporate and sovereign bonds (iBoxx EUR, all maturities), in %.

A.3                                                                                 A.4
Economic policy uncertainty                                                         EUR exchange rates
500                                                                      60         115

400                                                                      50         110
                                                                         40
300                                                                                 105
                                                                         30
                                                                                    100
200
                                                                         20
                                                                                     95
100                                                                      10
                                                                                     90
     0                                                0
      Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
                                                                                     85
                                                                                      Jun-18      Oct-18     Feb-19     Jun-19      Oct-19     Feb-20     Jun-20
           Europe            US            Global           VSTOXX (rhs)
                                                                                                      USD                                    JPY
Note: Economic Policy Uncertainty Index (EPU), developed by Baker et al.                              GBP                                    CHF
(www.policyuncertainty.com), based on the frequency of articles in European
newspapers that contain the following triple: "economic" or " economy" ,                              Emerging                               5Y-MA USD
"uncertain" or "uncertainty" and one or more policy-relevant terms. Global          Note: Spot exchange rates to Euro. Emerging is a weighted average (2016
aggregation based on PPP-adjusted GDP weights. Implied volatility of EURO           GDP) of spot exchange rates for CNY, BRL, RUB, INR, MXN, IDR and TRY.
                                                                                    01/05/2018=100. Increases in value represent an appreciation of EUR. 5Y-
STOXX 50 (VSTOXX), monthly average, on the right-hand side.
Sources: Baker, Bloom, and Davis 2015; Refinitiv Datastream, ESMA.

A.5                                                                                 A.6
Exchange rate implied volatilities                                                  Market confidence
14                                                                                   40

12                                                                                   20
                                                                                      0
10
                                                                                    -20
 8
                                                                                    -40
 6                                                                                  -60
 4                                                                                  -80
                                                                                       Jun-18      Oct-18 Feb-19         Jun-19     Oct-19 Feb-20 Jun-20
 2                                                                                                Overall fin. sector                   Fin. intermediation
                                                                                                  Ins. and pension                      Auxiliary activities
 0                                                                                                5Y-MA overall
 Jun-18     Oct-18      Feb-19     Jun-19     Oct-19      Feb-20     Jun-20
                  EUR-USD                                EUR-GBP                    Note: European Commission survey of EU27 financial services sector and
                                                                                    subsectors (NACE Rev.2 64, 65, 66). Confidence in dicators are averages of the
                  1Y-MA USD                              1Y-MA GBP                  net balance of responses to questions on develo pment of the business situation
Note: Implied v olatilities for 3M optio ns on exchange rates, in %. 1Y-MA USD      over the past three months, evolution of demand over the past three months
(resp. 1Y-MA GBP) is the one-year moving average of the implied volatility for      and expectation of demand over the next three months, in % of answers
3M options on EUR-USD (resp. EUR-GBP) exchange rate.                                received. Fin.=financial. Ins.=insurance.
Sources: Refinitiv EIKON, ESMA.                                                     Sources: European Commission, ESMA.
ESMA TRV Statistical Annex                                                    No. 2, 2020                                                                         4

A.7                                                                                 A.8
Portfolio investment flows by asset class                                           Investment flows by resident sector
 200                                                                                 900
 150
                                                                                     600
 100
  50
                                                                                     300
    0
 -50                                                                                   0
-100
-150                                                                                -300
    Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20
        Equity assets            Equity liabilities                                 -600
        Long-term debt assets    Long-term debt liabilities                                 1Q15      1Q16       1Q17         1Q18        1Q19       1Q20
        Short-term debt assets   Short-term debt liabilities                                       Govt. & househ.                      Other finance
        Total net flows                                                                            Ins. & pensions                      MFI
Note: Balance of Payments statistics, financial accounts, portfolio investments                    NFC                                  1Y-MA
by asset class, EUR bn, Assets=net purchases (net sales) of non-EA securities       Note: Quarterly Sector Accounts. Investment flo ws by EA resident sector in
by EA investors. Liabilities=net sales (net purchases) of EA securities by non-
                                                                                    equity (excluding investment fund shares) and debt securities, EUR bn. 1Y-
EA investors. Total net flows=net outflows (inflows) from (into) the EA.
                                                                                    MA=one-year moving average of all investment flows.
Sources: ECB, ESMA.
                                                                                    Sources: ECB, ESMA.

A.9                                                                                   A.1
Institutional investment flows
 450
 375
 300
 225
 150
  75
    0
 -75
-150
        1Q15       1Q16       1Q17          1Q18        1Q19     1Q20
               Real estate funds                     Other
               Insurance & pensions                  Hedge funds
               Equity funds                          Bond funds
               1Y-MA
Note: EA institutional investment flows by type of investor, EUR bn.
Other=fin ancia l vehicle corporatio ns, mixed funds, other funds. 1Y-MA=one-
year moving average of all investment flows.
Sources: ECB, ESMA.
ESMA TRV Statistical Annex   No. 2, 2020                                                                            5

Securities markets
Equity markets
A.10                                A.11
Equity prices by sector             Price performance of national indices

A.12                                A.13
Price performance                   Price-earnings ratios
                                    30
                                    28
                                    26
                                    24
                                    22
                                    20
                                    18
                                    16
                                    14
                                    12
                                    10
                                      Jun-18      Oct-18     Feb-19     Jun-19     Oct-19     Feb-20      Jun-20
                                                       US                                    EA
                                                       Average US                            Average EA
                                    Note: Price Earning Ratios based on av erage inflation-adjusted earnings from
                                    the prev ious 10 years (Cyclically Adjusted PE Ratio).
                                    Sources: Thomson Reuters Datastream, ESMA.

A.14                                A.15
Return dispersion                   Implied volatility
ESMA TRV Statistical Annex              No. 2, 2020                                                6

A.16                                           A.17
Implied volatility by option maturity          Correlation STOXX Europe 600 and sectoral indices

A.18                                           A.19
ESMA composite equity liquidity index          Bid-ask spread

Sovereign-bond markets
A.20                                           A.21
Issuance and outstanding                       Issuance by credit rating
ESMA TRV Statistical Annex   No. 2, 2020                                           7

A.22                                A.23
Rating distribution                 Equity-sovereign bond correlation dispersion

A.24                                A.25
Net issuance by country             10Y yields

A.26                                A.27
10Y spreads                         Yield dispersion
ESMA TRV Statistical Annex                                               No. 2, 2020                                            8

A.28                                                                            A.29
Volatility                                                                      Yield correlation dispersion

A.30                                                                            A.31
CDS spreads                                                                     CDS notionals

 A.32                                                                           A.33
Bid-ask spreads                                                                 ESMA composite sovereign bond liquidity index
 10

  8

  6

  4

  2

  0
   Jun-18    Oct-18     Feb-19 Jun-19        Oct-19    Feb-20 Jun-20
                      Bid -ask sp read                   1Y- MA
Note: Bid-ask s pread as weighted average of bid-ask s preads throughout a
month weighted by tr ading v olume across 10 EU27 domes tic markets (AT,
BE, DE, ES, FI, FR, IE, IT, NL and PT) and Euro MTS, in bps.
Sources: MTS, ESMA.
ESMA TRV Statistical Annex   No. 2, 2020                       9

A.34                                A.35
Liquidity                           Liquidity dispersion

A.36                                A.37
Redenomination risk                 Bond futures liquidity

Corporate-bond markets
A.38                                A.39
Yields by credit rating             Spreads by credit rating
ESMA TRV Statistical Annex             No. 2, 2020                                    10

A.40                                          A.41
Debt redemption profile by sector             Rating distribution

A.42                                          A.43
Hybrid capital instruments                    Sovereign-corporate yield correlation

A.44                                          A.45
Bid-ask spreads and Amihud indicator          Turnover ratio and average trade size
ESMA TRV Statistical Annex                                               No. 2, 2020                                                                        11

Credit quality
A.46                                                                            A.47
SFI ratings issued by collateral type                                           SFI ratings outstanding by collateral type
                                                                                100%
2,000                                                            8,000
                                                                                 80%
1,600
                                                                 6,000
1,200                                                                            60%
                                                                 4,000
  800                                                                            40%
                                                                 2,000
  400
                                                                                 20%
      0                                                          0
      Nov-17     May-18     Nov-18     May-19      Nov-19   May-20
                                                                                    0%
            ABS                       CDO                    CMBS                     Nov-17     May-18      Nov-18     May-19      Nov-19     May-20
            OTH                       RMBS                                              RMBS           OTH         CMBS           CDO          ABS
Note: Number of rated structured finance instruments by asset class.
                                                                                Note: Outstanding EU ratings of structured finance instruments by asset
ABS=Asset-backed securities; CDO=Collateralised debt obligations;
                                                                                class, in % of total. ABS=Asset-backed securities; CDO=Collateralised
CMBS=Commercial      mortgage-backed       securities;  OTH=Other;
                                                                                debt obligations; CMBS=Commercial mortgage-backed securities;
RMBS=Residential mortgage-backed securities.
                                                                                OTH=other; RMBS=Residential mortgage-backed securities.
Sources: RADAR, ESMA.
                                                                                Sources: RADAR, ESMA.

A.48                                                                            A.49
High-quality collateral outstanding                                             Rating distribution of covered bonds

A.50                                                                            A.51
SFI rating changes                                                              Size of SFI rating changes
                                                                                4

600

                                                                                3
400

                                                                                2
200

   0                                                                            1
    Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20                      Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
                                                                                          Downgrades                   Upgrades
            Downgrades                   Upgrades
                                                                                          3M-MA downgrades             3M-MA upgrades
            3M-MA downgrades             3M-MA upgrades
                                                                                Note: Average size of upgrades and downgrades when credit rating agencies
Note: Number of rating changes on securitised assets.                           took rating actions on securitised assets, number of buckets traversed.
Sources: RADAR, ESMA.                                                           Sources: RADAR, ESMA.
ESMA TRV Statistical Annex                                                            No. 2, 2020                                                                               12

A.52                                                                                         A.53
Size of rating changes                                                                       Non-financial corporate rating changes
     2                                                                                           30                                                                    100

 1.5
                                                                                                 20
                                                                                                                                                                       60
     1
                                                                                                 10
 0.5                                                                                                                                                                   20

                                                                                                  0
     0
                                                                                                                                                                       -20
-0.5                                                                                          -10

  -1                                                                                                                                                                   -60
                                                                                              -20

-1.5
          2015         2016        2017         2018        2019        2020                  -30                                                                     -100
                                                                                                Jan-18       Jul-18       Jan-19       Jul-19     Jan-20       Jul-20
      Non-Financials            Covered bonds              Financials                                      ES            IE            IT          PT            GR ( rhs)
      Insurance                 Sovereign                  Structured Finance                Note: Number of upgrades minus downgrades of non-financial corporate
Note: Average change in notches for long-term ratings for issuers and                        issuers for ES, GR, IE, IT and PT, in % of outstanding ratings . Ratings from
instruments (excl ICAP and CERVED). 2020 is year-to-date.                                    Fitch Ratings, Moody's and S&P's.
Sources: RADAR, ESMA.                                                                        Sources: RADAR, ESMA.

A.54                                                                                         A.55
Ratings drift                                                                                Ratings volatility
 8                                                                                           8

 4
                                                                                             6

 0
                                                                                             4
-4

                                                                                             2
-8
 Mar-18 Jul-18 Nov-18Mar-19 Jul-19 Nov-19 Mar-20 Jul-20
                Non-financial                            Covered bond
                                                                                             0
                Financial                                Insurance                           Mar-18 Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Jul-20
                Sovereign                                Structured finance                                 Non-financial                       Covered bond
                                                                                                            Financial                           Insurance
Note: 3-month moving average of net rating changes in outstanding
                                                                                                            Sovereign                           Structured finance
ratings from all credit rating agencies, excluding CERVED and ICAP, by
asset class, computed as the percentage of upgrades minus the                                Note: 3 month moving average of volatility of ratings by all credit rating
percentage of downgrades. EU-27+UK ratings.                                                  agencies, excluding CERVED and ICAP, by asset class computed as
Sources: RADAR, ESMA.                                                                        number of rating changes over number of outstanding ratings.
                                                                                             Sources: RADAR, ESMA.

Short selling
A.56                                                                                         A.57
Value of net short positions in EU shares                                                    Dispersion of net short positions in EU shares
0.6                                                                           300                7

                                                                                                 6
0.5                                                                           250
                                                                                                 5
0.4                                                                           200
                                                                                                 4

0.3                                                                           150                3

0.2                                                                           100                2

                                                                                                 1
0.1                                                                           50
                                                                                                 0
                                                                                                 Mar-18      Jul-18   Nov-18        Mar-19       Jul-19    Nov-19 Mar-20
0.0                                                                           0
 Mar-18      Jul-18 Nov-18 Mar-19              Jul-19 Nov-19 Mar-20                                              Top 25%                                  Core 50%
               Market value                     Number of shares ( rhs)                                          Bottom 25%                               Median
Note: M arket v alue of net s hort selling positions as perc entage of total market              Note: Dispersion of net s hort selling positions by country in the EEA30 as
value in the EEA30. N umber of s hares part of a mai n national index on w hich                  percentage of market val ue of those positions rel ative to each country's blue-
short positions were reported by NCAs under the Short Selling Regulation.                        chip index market value.
Sources: National Competent Authorities, Refinitiv Datastream, ESMA.                             Sources: National Competent Authorities, Refinitiv Datastream, ESMA.
ESMA TRV Statistical Annex                                                       No. 2, 2020                                                                                13

A.58                                                                                    A.59
Value of net short positions in EU shares by sector                                     Value of net short positions in EU sovereign debt
3.5                                                                                     1.4

3.0                                                                                     1.2

2.5                                                                                     1.0

2.0                                                                                     0.8

1.5                                                                                     0.6

1.0                                                                                     0.4

0.5                                                                                     0.2

0.0                                                                                     0.0
 Mar-18       Jul-18 Nov-18 Mar-19             Jul-19 Nov-19         Mar-20              Mar-18       Jul-18     Nov-18      Mar-19       Jul-19     Nov-19      Mar-20
           Manufactu ring                        Financial s
           Info rma tio n technolo gy            Util itie s                                                                 Sho rt positions
Note: Average of net short positions in EEA30 s hares for manufacturing,                Note: D uration-adjus ted net s hort s elling positions held in EEA30 s overei gn
financial, information technology and utilities, in % of issued share capital.          debt, EUR tn.
Sources: National Competent Authorities, ESMA.                                          Sources: National Competent Authorities, ESMA.

A.60                                                                                    A.61
Net short positions in industrial shares and equity prices                              Net short positions in financial shares and equity prices
3.5                                                                      120            2.5                                                                        140

3.0                                                                                                                                                                130
                                                                         110
                                                                                        2.0
                                                                                                                                                                   120
2.5
                                                                         100
                                                                                        1.5                                                                        110
2.0
                                                                         90                                                                                        100
1.5
                                                                                        1.0
                                                                                                                                                                   90
                                                                         80
1.0
                                                                                                                                                                   80
                                                                                        0.5
0.5                                                                      70
                                                                                                                                                                   70

0.0                                                                    60               0.0                                                                        60
 Mar-18      Jul-18 Nov-18 Mar-19           Jul-19 Nov-19 Mar-20                         Mar-18      Jul-18    Nov-18 Mar-19         Jul-19    Nov-19 Mar-20
              Manufactu ring                Sectoral equity in dex (rhs)                                Financial s                Sectoral equity in dex (rhs)
Note: Av erage of net short positions in EEA30 manufacturing shares, in % of
                                                                                        Note: Average of net short positions in EEA30 financial s hares , in % of issued
issued share c apital, and EEA30 industrial equity benchmark,
                                                                                        share capital, and EEA30 financial equity benchmark, 01/03/2018=100.
01/03/2018=100.
                                                                                        Sources: National Competent Authorities, Refinitiv Datastream, ESMA.
Sources: National Competent Authorities, Refinitiv Datastream, ESMA.

Money markets
A.62                                                                                    A.63
Interest rates                                                                          Spreads to overnight index swap
ESMA TRV Statistical Annex                     No. 2, 2020                               14

A.64                                                  A.65
Interbank overnight activity                          EONIA forwards

Derivatives markets
A.66                                                  A.67
OTC notional outstanding                              OTC market value

A.68                                                  A.69
ETD notional outstanding by product category          ETD turnover by product category
ESMA TRV Statistical Annex                      No. 2, 2020                                15

A.70                                                   A.71
ETD notional outstanding by asset class                ETD turnover by asset class

A.72                                                   A.73
ETD notional outstanding by exchange location          ETD turnover by exchange location
ESMA TRV Statistical Annex                             No. 2, 2020                                      16

Infrastructures and services
Trading venues and MiFID entities
A.74                                                         A.75
Equity trading by trading type                               Equity trading turnover by issuer origin

A.76                                                         A.77
Trading turnover by type of assets                           Share of turnover by type of assets

A.78                                                         A.79
Circuit-breaker occurrences by market capitalisation         Circuit-breaker-trigger events by sector
ESMA TRV Statistical Annex                                                        No. 2, 2020                                                                         17

A.80                                                                                    A.81
Number of trading venues and systematic internalisers                                   Data reporting services providers

Central counterparties
A.82                                                                                    A.83
Initial Margins held at EU CCPs                                                         Margin breaches
600                                                                                       0.6%                                                             1.6%
                                                                                                                                                           1.4%
                                                                                          0.5%
500
                                                                                                                                                           1.2%
                                                                                          0.4%
                                                                                                                                                           1.0%
400
                                                                                          0.3%                                                             0.8%
300                                                                                                                                                        0.6%
                                                                                          0.2%
                                                                                                                                                           0.4%
200                                                                                       0.1%
                                                                                                                                                           0.2%

100                                                                                       0.0%                                                             0.0%

   0
        4Q17 1Q18 2Q18 3Q18 4Q18 1Q19 2Q19 3Q19 4Q19 1Q20                                        breaches of initial margin -average uncovered exposure
                                                                                                 breaches of initial margin -peak uncovered exposure (rhs)
               margin required                 additional margins
                                                                                         Note: Average and maximum margin breach size over the past 12 month at
Note: Initial margin required as well as additional margin posted by EU CCP, in          selected EU CCPs, as a percentage of the total margin held, as of 31 March
EUR bn.                                                                                  2020.
Sources: Clarus Financial Technology, CPMI-IOSCO PQD, ESMA.                              Sources: Clarus Financial Technology, PQD, ESMA.
A.84                                                                                    A.85
IRD clearing volumes by CCP                                                             IRD subject to clearing obligation by CCP
100 %                                                                 800                100 %                                                            200

 80%                                                                                      90%                                                             160
                                                                      600

 60%                                                                                      80%                                                             120
                                                                      400
 40%                                                                                      70%                                                             80

                                                                      200                 60%                                                             40
 20%

                                                                                          50%                                                             0
   0%                                                           0
         1Q1 8      3Q1 8          1Q1 9        3Q1 9     1Q2 0
           CME (E TD)                             LCH Swap Cle ar L td
           ICE Fut Eur ope                        Eur ex (ETD)                                       LCH Swap Cle ar L td                 Eur ex
           Eur ex                                 JPX (ETD)                                          CME                                  JSCC
           CME (O TC)                             JSCC                                               HKEX                                 BME
           TFX (ETD)                              LCH (ETD)                                          Gra nd Total
           HKEX                                   BME
                                                                                         Note: Market shar e on OTC central clearing of basis swaps, fixed-to-float
           Tota l volumes                                                                swaps, F orward rate agreements and ov ernight index ed swaps in EUR, USD,
Note: Quarterly noti onal volumes cleared for OTC and ETD IRDs in EUR,
USD, JPY or GBP, in %. Total volumes in EUR tn.                                          JPY or GBP, in %. Quarterly notional volumes cleared, in EUR tn (rh axis).
Sources: Clarus Financial Technology, ESMA.                                              Sources: Clarus Financial Technology, ESMA.
ESMA TRV Statistical Annex                                                       No. 2, 2020                                                                              18

A.86                                                                                   A.87
Credit derivatives clearing volumes by CCP                                             Credit derivatives subject to clearing obligation by CCP
100 %                                                                   8                100 %                                                                  3
                                                                                          90%
 80%                                                                                                                                                            2.5
                                                                        6                 80%
                                                                                          70%
 60%                                                                                                                                                            2
                                                                                          60%
                                                                        4
                                                                                          50%                                                                   1.5
 40%
                                                                                          40%
                                                                        2                                                                                       1
 20%                                                                                      30%
                                                                                          20%
                                                                                                                                                                0.5
   0%                                                                   0                 10%
                                                                                             0%                                                                 0
             ICE Clear Credit                       ICE Clear Euro pe
             LCH CDSClear                           JSCC                                               ICE Clear Credit                       ICE Clear Euro pe
             ICE Fut US                             CME                                                LCH CDSClear                           CME
             Tota l volumes (rhs)
                                                                                                       Tota l volumes (rhs)
Note: Quarterly noti onal volumes cl eared for CDS, CDX and CDX futur es &               Note: Market share on OTC central clearing of iTraxx Europe and iTraxx
swaptions in EUR, USD, JPY or GBP, in %. Total volumes in EUR tn.                        Crossover, in %. Quarterly noti onal v olumes cleared, in EUR trillion (right
Sources: Clarus Financial Technology, ESMA.                                              axis).
                                                                                         Sources: Clarus Financial Technology, ESMA.

A.88                                                                                   A.89
IRD trading volumes                                                                    CDS index trading volumes
400                                                                      100             25                                                                         100
350
                                                                         80              20                                                                         80
300
250                                                                      60              15                                                                         60
200
150                                                                      40              10                                                                         40

100
                                                                         20                5                                                                        20
 50
   0                                                0                                     0                                                                    0
   Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20                                       Jun-18     Oct-18 Feb-19 Jun-19            Oct-19     Feb-20 Jun-20
            Cleared                   Non-cleared                                                       Cleared                                  Non-cleared
            % cleared                 1Y-MA % cleared                                                   % cleared                                1Y-MA % cleared
Note: Daily trading volumes for EU28-currency-denominated IRD products                   Note: Daily trading volumes for the main EUR CDS indices including Itraxx
(EUR, HUF, PLN, GBP). Products include IRS, basis swaps, FR A, inflation                 Europe, Itraxx Europe Crossover, Itraxx Europe Senior Financials. 40-day
swaps, OIS. 40-day moving average notional, USD bn. ISDA SwapsInfo data are              moving average notional, USD bn. ISDA SwapsInfo data are based on publicly
based on publicly available data from DTCC Trade Repository LLC and                      available data from DTCC Trade Repository LLC and Bloomberg Swap Data
Bloomberg Swap Data Repository.                                                          Repository.

Central securities depositories
A.90                                                                                   A.91
Settlement activity                                                                    Settlement fails
3,000                                                                    600            14

2,500                                                                    500            12

                                                                                        10
2,000                                                                    400
                                                                                         8
1,500                                                                    300
                                                                                         6
1,000                                                                    200             4

  500                                                                    100             2

                                                                                         0
      0                                                   0                              Jun-18      Oct-18 Feb-19 Jun-19              Oct-19 Feb-20 Jun-20
      Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
            Government bonds            6M-MA gov                                                     Corporate bonds                        6M-MA corp
            Corporate bonds (rhs)       6M-MA corp (rhs)                                              Equities                               6M-MA equities
            Equities (rhs)              6M-MA equities (rhs)                                          Government bonds                       6M-MA gov
                                                                                        Note: Share of failed settlement instructions in the EEA31, in % of value, one-
Note: Total value of settled transactions in the EEA31 as reported by NCAs, in
                                                                                        week moving averages.
EUR bn, one-week moving averages.
                                                                                        Sources: National Competent Authorities, ESMA.
ESMA TRV Statistical Annex                                                                     No. 2, 2020                                                                                                19

A.92                                                                                                 A.93
Number of settlement instructions                                                                    Number of failed settlement instructions
300                                                                                 1,200             8

                                                                                                      7
250                                                                                 1,000
                                                                                                      6
200                                                                                 800               5

                                                                                                      4
150                                                                                 600
                                                                                                      3
100                                                                                 400
                                                                                                      2

 50                                                                                 200               1

                                                                                                      0
   0                                                                                0                 Jun-19         Aug-19        Oct-19         Dec-19         Feb-20        Apr-20         Jun-20
   Mar-19       Jun-19      Sep-19   Dec-19     Mar-20                    Jun-20
                                                                                                                     Corporate bonds                 Equities               Government bonds
            Corporate bonds        Government bonds                       Equities (rhs)
                                                                                                      Note: Share of failed settlement instructions in the EEA31, in % of total number of instructions,
Note: Total number of settlement instructions in the EEA31 as reported by NCAs, in thousand,          one-week moving averages. Dotted lines represent six-month moving averages.
one-week moving averages. Dotted lines represent six-month moving averages.                           Sources: National Competent Authorities,ESMA.
Sources: National Competent Authorities,ESMA.

Credit rating agencies
A.94                                                                                                 A.95
Ratings drift                                                                                        Ratings volatility

A.96                                                                                                 A.97
Outstanding ratings issued by the top 3 CRAs                                                         Outstanding ratings excluding the top 3 CRAs
130                                                                                                       2 ,50 0

120                                                                                                       2 ,10 0

110                                                                                                       1 ,70 0

100
                                                                                                          1 ,30 0

  90
                                                                                                            9 00

  80
                                                                                                            5 00
  70
       4Q1 6 2Q1 7 4Q1 7 2Q1 8 4Q1 8 2Q1 9 4Q1 9 2Q2 0                                                      1 00
             Non-finan cia l          Covered bond                                                                  4Q1 5      3Q1 6       2Q1 7       1Q1 8        4Q1 8       3Q1 9        2Q2 0
             Financial                Insu rance                                                                       Non-finan cia l                                  Covered bond
             Sovere ign               Sub -so ver eign                                                                 Financial                                        Insu rance
             Sup ranationa l          Structu red fina nce                                                             Sovere ign                                       Sub -so ver eign
Note: Evol ution of outstanding ratings, indexed 3Q15=100. S&P, Moody's                                                Structu red fina nce
and Fitch.                                                                                             Note: Evol ution of outs tanding rati ngs, indexed 3Q 15=100. All CRAs
Sources: RADAR, ESMA.                                                                                  excluding S&P, Moody's and Fitch. Sovereign on right hand axis.
:                                                                                                      Sources: RADAR, ESMA.
ESMA TRV Statistical Annex                                                           No. 2, 2020                                                                                 20

A.98                                                                                                 A.99
Changes in outstanding structured finance ratings                                                    Changes in outstanding covered bond ratings
 300                                                                                                   500

 150                                                                                                   300

    0
                                                                                                       100

-150
                                                                                                      -100

-300
       Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Jul-20                                               -300
                                                                                                             Jul-18    Nov-18 Mar-19      Jul-19   Nov-19 Mar-20        Jul-20
                   WD                       New                   Net change
                                                                                                                      New                Withdrawn                Net change
Note: Number of withdrawn and new rati ngs f or structur ed financ e
instruments. EU-27+UK ratings.                                                                        Note: Number of withdrawn and new ratings for covered bonds.
Sources: RADAR, ESMA.                                                                                 Sources: RADAR, ESMA.

A.100
Share of outstanding ratings Big 3 CRAs vs. others
100
         23
              25

                        25
                             26
                   26

                                            26
                                  26
                                       27

                                                  27
                                                       32
                                                            33

                                                                           33
                                                                                34
                                                                      34
                                                                 34

 80

 60

 40
         77
              75

                        75
                             74
                   74

                                            74
                                  74
                                       73

                                                  73
                                                       68
                                                            67

                                                                           67
                                                                                66
                                                                      66
                                                                 66

 20

   0
        3Q1 6 1Q1 7 3Q1 7 1Q1 8 3Q1 8 1Q1 9 3Q1 9 1Q2 0

                    Big 3                          Other CRA s
Note: Share of outst andi ng rati ngs from S&P, Moody's and Fitch, and
ratings from all other CRAs, in %.
Sources: RADAR, ESMA.

Financial benchmarks
A.101                                                                                                A.102
EURIBOR rates                                                                                        IRSs linked to EONIA and Euribor by maturity
   0                                                                                                 90
                                                                                         Trillions

                                                                                                     80
-0.1
                                                                                                     70
-0.2
                                                                                                     60

-0.3                                                                                                 50

                                                                                                     40
-0.4
                                                                                                     30
-0.5
                                                                                                     20
-0.6                                                                                                 10

-0.7                                                                                                  0
   Jun-19           Sep -19            Dec-19               Mar-20          Jun-20                                      EONIA                         EURIB OR

                    1M                       3M                       12M                                             Before end -2021               afte r en d-2021

Note: EURIBOR fixing for 3, 6 and 12 month maturities.                                               Note: Gorss notional amount of IRS outstanding referencing EONIA, EONIA
Sources: EMMI, ESMA.                                                                                 SWAP rate and EURIBOR, by maturities. as of 27 March 2020, EUR tn.
ESMA TRV Statistical Annex                                                   No. 2, 2020                                                                                    21

A.103                                                                                        A.104
IRDs linked to reference rates                                                               Number of banks contributing to €STR
35                                                                     160                   40

30                                                                     140                   35
                                                                       120
25                                                                                           30
                                                                       100
20                                                                                           25
                                                                       80
15                                                                                           20
                                                                       60
10
                                                                       40
                                                                                             15

 5                                                                     20                    10

 0                                                                     0                      5
     FedFunds Other EEA Other TC             SOFR        LIBOR
               IBORs      BMs                            (RHS)                                0
              Before end -2021                  afte r en d-2021                                  Oct-19        Dec-19        Feb-20         Apr-20         Jun-20
Note:Gorss notional amount of IRS outstanding r eferencing benchm arks, by                                             Number of active banks
maturities. Other EEA i ncludes NIBOR, PRIBOR, STIBOR, WIBOR and
BUBOR, other Third c ountriy benc hmarks include BBSW, CDOR, JIBAR,                          Note: Number of banks reporting transactions before trimming
TIBOR, TELBOR and MOSPRIM. As of 27 March 2020, EUR tn.                                      Sources: ECB, ESMA.
Sources: TRs, ESMA
A.105                                                                                        A.106
€STR rate                                                                                    €STR volumes
                                                                                             70                                                                 700
                                                                                 Thousands
 -0.48                                                                                       60                                                                 600

                                                                                             50                                                                 500
 -0.52
                                                                                             40                                                                 400

 -0.56                                                                                       30                                                                 300

                                                                                             20                                                                 200
  -0.6
     Oct-19        Dec-19         Feb-20        Apr-20        Jun-20                         10                                                                 100

                        Rate at 25th percentile of volume                                     0                                                                 0
                        Rate at 75th percentile of volume                                     Oct-19       Dec-19         Feb-20      Apr-20       Jun-20
                        Volume-weighted trimmed mean rate
                                                                                                           Total volume              Number of transactions (rhs)
 Note: Rates at the 25th and 75th percentiles of total volumes as well as the
 trimmed one, after removing the top and bottom 25% and calculating the                      Note: Total nominal value of transactions before trimming, in EUR bn. Number
 mean of the remaining 50% of the volume-weighted distribution of rates.                     of transactions before trimming.
 Sources: ECB ESMA
ESMA TRV Statistical Annex                                                  No. 2, 2020                                                                        22

Asset management
Fund industry
A.107                                                                              A.108
Fund performance                                                                   Fund volatility

A.109                                                                              A.110
Entities authorised under UCITS                                                    Share of entities authorised under UCITS by country
1,400                                                               30                                                               Others
                                                                                            Sweden                                    28%
                                                                    20                        3%
1,380
                                                                                          Poland
                                                                    10                     4%
1,360
                                                                    0                      Ireland
1,340                                                                                         8%
                                                                    -10

1,320
                                                                    -20                                                                            France
                                                                                          Spain                                                     21%
1,300                                                               -30                    9%
        4Q14     4Q15       4Q16       4Q17       4Q18       4Q19

         Newly authorised entities            Withdrawn entities
         Number of entities                                                                        United
Note: Number of entities authorised under the UCITS Directive by national                         Kingdom                          Luxembourg
competent authorities of the Member States and notified to ESMA. Newly                                                                15%
                                                                                                    12%
authorised entities and withdrawn entities on the right axis.
                                                                                   Note: Number of entities authorised under the UCITS Directive by national
Sources: ESMA Registers.
                                                                                   competent authorities and notified to ESMA, in %.
                                                                                   Sources: ESMA Registers.

A.111                                                                              A.112
Entities authorised under AIFMD                                                    Share of entities authorised under AIFMD by country
3,000                                                              200                                                               Others
                                                                                            Sweden                                    25%
2,750                                                                                          3%
                                                                   150                     Ireland
                                                                                              4%
2,500
                                                                   100                     Germany
2,250                                                                                        5%

                                                                   50                                                                             United
2,000                                                                                                                                            Kingdom
                                                                                                                                                   26%
                                                                   0
1,750
                                                                                          Luxem
                                                                                          bourg
1,500                                                              -50                     10%
        4Q14    4Q15       4Q16        4Q17       4Q18     4Q19
         Newly authorised entities            Withdrawn entities                                  Spain
         Number of entities                                                                        10%
Note: Number of entities authorised under AIFMD by national competent                                                     France
authorities of the Member States and notified to ESMA. Newly authorised                                                    17%
entities and withdrawn entities on the right axis.                                 Note: Number of entities authorised under AIFMD by national competent
Sources: ESMA Registers.                                                           authorities and notified to ESMA, in %.
                                                                                   Sources: ESMA Registers.
ESMA TRV Statistical Annex                                                  No. 2, 2020                                                                  23

A.113                                                                              A.114
Assets by market segment                                                           NAV by legal form
4.5                                                                                18

4.0                                                                                16

3.5                                                                                14
3.0                                                                                12
2.5
                                                                                   10
2.0
                                                                                    8
1.5
                                                                                    6
1.0
                                                                                    4
0.5
                                                                                    2
0.0
  May-18 Sep -18        Jan-19    May-19 Sep -19       Jan-20 May-20                0
        Bon d                      Equ ity                HF                        1Q1 5        1Q1 6    1Q1 7        1Q1 8      1Q1 9       1Q2 0
        Mixed                      Other                  Real estate                                Non-UCITS                   UCITS
Note: AuM of EA funds by fund type, EUR tn. HF=Hedge funds.                        Note: NAV of EU28 funds, EUR tn.
Sources: ECB, ESMA.                                                                Sources: EFAMA, ESMA.

A.115                                                                              A.116
NAV by fund market segment                                                         Leverage by market segment
4.0                                                                                1.45

3.5                                                                                1.40

                                                                                   1.35
3.0
                                                                                   1.30
2.5
                                                                                   1.25
2.0
                                                                                   1.20
1.5
                                                                                   1.15
1.0                                                                                1.10

0.5                                                                                1.05

0.0                                                                                1.00
  May-18 Sep -18        Jan-19    May-19 Sep -19       Jan-20      May-20              May-18 Sep -18      Jan-19 May-19 Sep -19     Jan-20 May-20
                                                                                            Bon d                 Equ ity               HF
          Bon d                    Equ ity                    HF                            Mixed                 Other                 Real estate
          Mixed                    Other                      Real estate          Note: Leverage of EA investm ent funds by fund type computed as the
Note: NAV of EA investment funds by fund type, EUR tn. HF=hedge funds.             AuM/NAV ratio.
Sources: ECB, ESMA.                                                                Sources: ECB, ESMA.

A.117                                                                              A.118
Fund flows by fund type                                                            Fund flows by regional investment focus
ESMA TRV Statistical Annex                     No. 2, 2020                                                                      24

A.119                                                 A.120
Bond fund flows by regional investment focus          Equity fund flows by regional investment focus

A.121                                                 A.122
Net flows for bond funds                              Net asset valuation
                                                      1,000                                                              14

                                                        750                                                              12

                                                        500                                                              10

                                                        250                                                              8

                                                             0                                                           6

                                                       -250                                                              4

                                                       -500                                                              2

                                                       -750                                                              0
                                                                 3Q14 2Q15 1Q16 4Q16 3Q17 2Q18 1Q19

                                                                   AuM (rhs)        Capital flows          Valuation effect
                                                      Note: Net valuation effect related to the AuM of EA investment funds,
                                                      computed as the intraperiod change in AuM, net of flows received in the
                                                      respective period. Capital flows and valuation effects in EUR bn. AuM
                                                      expressed in EUR tn.
                                                      Sources: ECB, ESMA.

A.123                                                 A.124
Liquidity risk profile of EU bond funds               Cash as percentage of assets
ESMA TRV Statistical Annex             No. 2, 2020                                                                   25

A.125                                         A.126
Credit quality of bond funds’ assets          Maturity of EU bond funds’ assets

Money market funds
A.127                                         A.128
MMF performance                               MMF flows by domicile

A.129                                         A.130
MMF flows by geographical focus               Assets and leverage
                                              1.4                                                             1.04

                                              1.2

                                                                                                              1.03
                                              1.0

                                              0.8
                                                                                                              1.02
                                              0.6

                                              0.4
                                                                                                              1.01

                                              0.2

                                              0.0                                                             1.00
                                                    1Q1 5   1Q1 6     1Q1 7      1Q1 8      1Q1 9     1Q2 0
                                                            AuM                               NAV
                                                            Levera ge ( rhs)                  5Y- MA (rhs)
                                              Note: NAV and AuM of EA MMFs, EUR tn. Lev erage c omputed as the
                                              AuM/NAV ratio. 5Y-MA=five-year moving average of the leverage ratio.
                                              Sources: ECB, ESMA.
ESMA TRV Statistical Annex                                                         No. 2, 2020                                                                                       26

A.131                                                                                     A.132
MMF maturity                                                                              MMF liquidity
80                                                                                        60

70
                                                                                          50
60
                                                                                          40
50
                                                                                          30
40

30                                                                                        20

20                                                                                        10
10
                                                                                           0
 0                                                                                          May-18       Sep -18         Jan-19        May-19    Sep -19   Jan-20           May-20
  May-18      Sep -18    Jan-19     May-19      Sep -19     Jan-20     May-20                                   Daily li quidity                     Weekly liq uidity
                          WAM                             WAL                             Note: Daily and weekly liquidity includes all assets maturing overnight and
Note: Weighted average maturity (WAM) and weighted average life (WAL) of                  shares by AAA MMFs, securities issued by highly rated s overeigns with a
Europe-domiciled MMFs, in days. Aggregation carried out by wei ghti ng                    maturity of l ess than one year, in % of total assets. Aggregati on c arried out
individual MMFs' WAM and WAL by AuM.                                                      using individual Europe-domiciled MMF data weighted by AuM.
Sources: Fitch Ratings, ESMA.                                                             Sources: Fitch Ratings, ESMA.

Alternative funds
A.133                                                                                     A.134
Hedge fund returns                                                                        Hedge fund performance by strategy
 30                                                                                        10

 20                                                                                         5
 10
                                                                                            0
  0
                                                                                           -5
-10
                                                                                          -10
-20
                                                                                          -15
-30

-40                                                                                       -20
                                                                                                                                        FI

                                                                                                                                                                    Multi
                                                                                                                                                HF

                                                                                                                                                                              RV
                                                                                                                                                           Macro
                                                                                                                    Distress

                                                                                                                                                     LS
                                                                                                                               Event
                                                                                                  Arb

                                                                                                          CTA

   May-18 Sep -18         Jan-19     May-19 Sep -19         Jan-20    May-20
            Corrido r 2n d/9 8th per c.             Median

            Corrido r 1st/3r d qu art.                                                                  3Q1 9                  4Q1 9             1Q2 0             2Q2 0
Note: EU-domiciled hedge fund m onthly returns , in %. The graph s hows the               Note: Growth of hedge fund performance indices by strategy: hedge fund
returns' median, the di fference between the returns c orresponding to the 2nd            index (HF), arbitr age (Arb), commodity trading advisor (CTA), distress ed debt,
and 98th percentiles and the differenc e betw een the retur ns c orresponding to          event driven, fixed i ncome (FI), long/short equity (LS), macr o, multi-strategy,
the 1st and 3rd quartiles.                                                                relative value (RV), in %.
Sources: Refinitiv Lipper, ESMA.                                                          Sources: Eurekahedge, ESMA.

A.135                                                                                     A.136
Fund flows by domicile                                                                    Assets and leverage
                                                                                          600                                                                                  1.5

                                                                                          500
                                                                                                                                                                               1.4

                                                                                          400
                                                                                                                                                                               1.3
                                                                                          300
                                                                                                                                                                               1.2
                                                                                          200

                                                                                                                                                                               1.1
                                                                                          100

                                                                                               0                                                 1.0
                                                                                               May-18 Sep -18 Jan-19 May-19 Sep -19 Jan-20 May-20
                                                                                                        AuM                         NAV
                                                                                                        Levera ge ( rhs)            1Y- MA (rhs)
                                                                                          Note: NAV and AuM of EA hedge funds , EUR bn. Lev erage c omputed as the
                                                                                          AuM/NAV ratio. 1Y-MA=one-year moving average for the leverage ratio.
                                                                                          Sources: ECB, ESMA.
ESMA TRV Statistical Annex                     No. 2, 2020                                                                               27

A.137                                                 A.138
Alternative fund flows by geographical focus          Direct and indirect property fund flows
                                                       68

                                                       41

                                                       14

                                                      -13

                                                      -40
                                                         Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19

                                                                             Direct                       Indirect
                                                      Note: Two-month cumulative flows for direct and indirect EU property funds.
                                                      Indirect property funds invest in securities of real estate companies, inlcuding
                                                      Real Estate Investment Trusts (REITs).
                                                      Sources: Morningstar, ESMA.

Exchange-traded funds
A.139                                                 A.140
Returns                                               Volatility

A.141                                                 A.142
NAV and number by domicile                            NAV by asset type
ESMA TRV Statistical Annex                                                       No. 2, 2020                                                                              28

A.143                                                                                   A.144
Tracking error                                                                          Flows by domicile

A.145                                                                                   A.146
Assets of leveraged European ETFs                                                       Average beta values for European ETFs
10                                                                       80

 8
                                                                         60

 6
                                                                         40
 4

                                                                         20
 2

 0                                                                       0
         2012 2013 2014 2015 2016 2017 2018 2019
            Leveraged (short) - assets            Leveraged (long) - assets
            Number of leveraged ETFs
Note: Total assets of leveraged long and leveraged short ETFs with primary
listings in Europe, in EUR bn and total number of products (rhs), in thousand.
Sources: ETFGI, ESMA

A.147                                                                                   A.148
Assets of European ETFs by replication method                                           Flows into European ETFs by replication method
600                                                                   1200               120

500                                                                                      100

                                                                                          80
400                                                                   800
                                                                                          60
300
                                                                                          40
200                                                                   400
                                                                                          20

100                                                                                         -

     0                                                 0                                 (20)
         2012 2013 2014 2015 2016 2017 2018 2019                                                 2012     2013     2014    2015     2016     2017 2018 2019
           Physical - assets        Synthetic - assets
                                                                                                     Physical net flows                Synthetic net flows
           Physical - number (rhs)  Synthetic - number (rhs)
Note: Total assets of physical and synthetic ETFs with primary listings in              Note: Net flows of physical and synthetic ETFs with primary listings in Europe,
Europe, in EUR bn and total number of products (rhs).                                   in EUR bn.
Sources: ETFGI, ESMA                                                                    Sources: ETFGI, ESMA
ESMA TRV Statistical Annex                                                             No. 2, 2020                                                                            29

Consumers
Investment resources available to households
A.149                                                                                         A.150
Disposable income                                                                             Household saving and investment rates
 4                                                                                            14

                                                                                              12
 3
                                                                                              10

                                                                                               8
 2
                                                                                               6

                                                                                               4
 1
                                                                                               2

 0                                                                                             0
     4Q14         4Q15          4Q16           4Q17          4Q18           4Q19                   1Q15         1Q16       1Q17         1Q18         1Q19       1Q20
                                                                                                               Saving rate                         Investment rate
                       Disposable income                            5Y-MA                                      5Y-MA saving                        5Y-MA investment
Note: Annualised growth rate of household gross disposable income adjusted                    Note: EA household annual saving and investment rates, based on four-
for changes in pension entitlements for 16 EU27 countries (AT, BE, CZ, DE,                    quarter cumulated transactions, in %. 5Y-MA saving=five-year moving
DK, ES, FI, FR, IE, IT, NL, PL, PT, RO, SE and SI), in %. 5Y-MA=five-year                     average of the saving rate. 5Y-MA investment=five-year moving average of
moving average of the growth rate.                                                            the investment rate.
Sources: Eurostat, ESMA.                                                                      Sources: ECB, ESMA.

A.151                                                                                         A.152
Investor sentiment                                                                            Growth rates in financial assets
 60                                                                                            15

 40
                                                                                               10
 20
                                                                                                5
     0
                                                                                                0
-20

-40                                                                                            -5

-60                                                                                           -10

-80
   Jun-18      Oct-18 Feb-19 Jun-19                 Oct-19 Feb-20 Jun-20                      -15
             EA institutional current                EA retail current                               1Q15        1Q16      1Q17          1Q18        1Q19       1Q20
             EA institutional future                 EA retail future                                       Currency and deposits               Debt securities
                                                                                                            Equities                            IF shares
Note: Sentix Sentiment Indicators for the EA retail and institutional investors on a          Note: Quarterly asset growth rates of financial assets held by EU28
ten-year horizon. The zero benchmark is a risk-neutral position.                              households, in %. IF shares=investment fund shares.
Sources: Refinitiv Datastream, ESMA.                                                          Sources: ECB, ESMA.

Asset allocation by retail investors
A.153                                                                                         A.154
Household assets to liabilities ratio                                                         Household financial assets by class
40                                                                             350            40                                                                       30

35
                                                                                                                                                                       29
                                                                               345            30
30
                                                                                                                                                                       28
25                                                                             340            20
20                                                                                                                                                                     27

15                                                                             335            10
                                                                                                                                                                       26
10
                                                                               330
                                                                                               0                                                                       25
 5                                                                                                 1Q15        1Q16     1Q17           1Q18        1Q19        1Q20
                                                                                                          Other assets                         Pensions
 0                                                                             325                        Insurances                           IF shares
     1Q15        1Q16          1Q17         1Q18          1Q19         1Q20
                                                                                                          Equities                             Debt securities
                                                                                                          Currency and deposits                Securities (rhs)
            Assets            Liabilities          Assets/liabilities ratio (rhs)             Note: Financial assets of EU28 households, EUR tn, and share of securities
                                                                                              investments (debt securities, equities and IF shares) in total, in %. IF
Note: Financial assets and liabilities of EU28 households, EUR tn.                            shares=investment fund shares. Other financial assets=Insurance technical
Assets/liabilities ratio in %.                                                                reserves, financial derivatives, loans granted and other accounts receivable.
Sources: ECB, ESMA.                                                                           Sources: ECB, ESMA.
ESMA TRV Statistical Annex                                                         No. 2, 2020                                                                                    30

            A.155                                                                                       A.156
            Share of securities investments in household assets                                         Net financial asset flows
            20                                                                                          10

                                                                                                         5
            15

                                                                                                         0
            10

                                                                                                        -5
                                                                                                             1Q15         1Q16        1Q17            1Q18         1Q19        1Q20
             5                                                                                                      Net financial liabilities                Equity and IF shares
                                                                                                                    Other financial assets                   Debt securities
                                                                                                                    Currency and deposits                    Net financial flows
                                                                                                        Note: Net acquisition of financial assets and net incurrence of liabilities for
                                                                                                        EA households as a share of their gross disposable income adjusted for
             0                                                                                          changes in pension entitlements, based on a one-year rolling period, in %. IF
                 1Q15          1Q16        1Q17         1Q18          1Q19          1Q20                shares=investment fund shares. Other financial assets=Insurance technical
                                                                                                        reserves, financial derivatives, loans granted and other accounts receivable.
                            Debt securities             Equities              IF shares                 Net financial flows=Net household lending (positive values) or borrowing
            Note: Share of debt securities, equities and IF shares into the financial assets            (negative values) to/from sectoral financial accounts. Liabilities mult iplied by -
            of EU28 households, in %. IF shares=investment fund shares.                                 1 to present as outflows.
            Sources: ECB, ESMA.                                                                         Sources: ECB, ESMA.

            A.157                                                                                       A.158
            Equity UCITS net flows by asset class                                                       Equity UCITS market size by management type
            160                                                                                          3                                                                            40
Thousands

            120
                                                                                                                                                                                      30
                                                                                                         2
             80
                                                                                                                                                                                      20
             40
                                                                                                         1
                                                                                                                                                                                      10
                 0

            -40                                                                                          0                                                                            0
                                                                                                             2Q16           2Q17             2Q18            2Q19             2Q20
                                                                                                                                   ETFs
            -80                                                                                                                    Passive (excl. ETFs)
                     2Q16         2Q17            2Q18             2Q19         2Q20                                               Active (rhs)
                              Equity                                Bond                                                           Share passive and ETFs (rhs)
                              Mixed                                 Alternative                         Note: EU equity UCITS market size by management type. All observations for
                              Money Market                                                              which information on fund value, fund performance, net flows, subscription
                                                                                                        and redemption fees are available, EUR tn. Share of passive and ETFs in %,
            Note: EU-27 UCITS annual netflows, retail investors, by assets class.                       right-hand size.
            Sources: Refinitiv Lipper, ESMA.                                                            Sources: Refinitiv Lipper, ESMA.

            A.159                                                                                       A.160
            Equity UCITS net flows by management type                                                   Equity UCITS cumulative net flows
            60                                                                        120               1000
                                                                                            Thousands

                                                                                                         800
            50
                                                                                      80
                                                                                                         600
            40
                                                                                      40                 400

            30                                                                                           200
                                                                                      0                      0
            20
                                                                                                        -200
                                                                                      -40
            10
                                                                                                        -400

             0                                                                        -80               -600
                 2Q16            2Q17          2Q18            2Q19           2Q20                                   2Q16          2Q17           2Q18          2Q19           2Q20
                        Passive (excl. ETFs)               ETFs              Active (rhs)                             Active               Passive (excl ETFs)                   ETFs
            Note: EU equity UCITS annual net flows at quarterly frequencies, by                         Note: EU equity UCITS cumulative net flows by management type.
            management type, EUR bn. Active right-hand size (rhs) axis.                                 2Q16=100.
            Sources: Refinitiv Lipper, ESMA.                                                            Sources: Refinitiv Lipper, ESMA.
ESMA TRV Statistical Annex                                                         No. 2, 2020                                                                                                                                                                              31

Costs and performance
A.161                                                                                                                                                                                        A.162
Portfolio returns                                                                                                                                                                            Retail fund synthetic risk and reward indicator
 1.5                                                                                                                                                                                         7

                                                                                                                                                                                             6
 1.0
                                                                                                                                                                                             5
 0.5
                                                                                                                                                                                             4
 0.0                                                                                                                                                                                         3

-0.5                                                                                                                                                                                         2

                                                                                                                                                                                             1
-1.0
    Jun-18     Oct-18 Feb-19 Jun-19             Oct-19 Feb-20 Jun-20                                                                                                                         0
                        Returns                           5Y-MA                                                                                                                               Mar 18      Jul 18 Nov 18        Mar 19      Jul 19 Nov 19         Mar 20
                                                                                                                                                                                                           Equity                               Bond
Note: Annual average gross returns for a stylised household portfolio, in %.
Asset weights, computed using ECB Financial Accounts by Institutional                                                                                                                                      Mixed                                Alternative
Sectors, are 37% for collective investment schemes (of which 12% mutual                                                                                                                                    Money Market
funds and 25% insurance and pension funds), 31% for deposits, 22% for                                                                                                                        Note:The calculated Synthetic Risk and Reward Indicator is based on ESMA
equity, 7% debt securities and 3% for other assets. Costs, fees and other                                                                                                                    SRRI guidelines. It is computed via a simple 5 year annualised volatility
charges incurred for buying, holding or selling these instruments are not taken                                                                                                              measure which is then translated into categories 1-7 (with 7 representing
into account.                                                                                                                                                                                higher levels of volatility).
Sources: Refinitiv Datastream, Refinitiv Lipper, ECB, ESMA.                                                                                                                                  Sources: Refinitiv Lipper, ESMA.

A.163                                                                                                                                                                                        A.164
Dispersion of returns all assets                                                                                                                                                             Net returns by asset class
 30                                                                                                                                                                                          16                                                                    30

 20

 10                                                                                                                                                                                           8                                                                    15

   0

 -10                                                                                                                                                                                          0                                                                    0

 -20
       2Q16 4Q16 2Q17 4Q17 2Q18 4Q18 2Q19 4Q19 2Q20
               Bottom mid-tail 15                      Core 50                                                                                                                               -8                                                                    -15
                                                                                                                                                                                                  2Q16         2Q17           2Q18            2Q19          2Q20
               Top mid-tail 15                         EU gross
               EU net                                                                                                                                                                                Bond                      Mixed                    Alternative
Note: Dispersion of net performances of EU UCITS, retail investors, adjusted                                                                                                                         Money Market              Equity (rhs)
for total expense ratio and load fees, in %. Distribution represents selected EU
markets. Top mid-tail 15=distribution between the 75th and 90th percentile.                                                                                                                  Note: EU-27 UCITS evolution of gross annual performance, retail investors,
Bottom mid-tail 15=distribution between the 10th and 25th percentile.                                                                                                                        by assets class, %. Equity on the right hand side.
Sources: Refinitiv Lipper, ESMA.                                                                                                                                                             Sources: Refinitiv Lipper, ESMA.

A.165                                                                                                                                                                                        A.166
UCITS total cost dispersion by asset class                                                                                                                                                   Dispersion by absolute cost impact
2.5                                                                                                                                                                                          1.8
                                                                                                                                                                                             1.6
                                                                                        2.5

                                                                                        2.0

                                                                                        1.5

                                                                                        1.0

                                                                                        0.5

                                                                                        0.0

                                                                                                              EU average               EU Member States
                                                                                      Note: Dispersion of total costs (ongoi ng costs , subscripti on and redemption fees) of UCITS funds,
                                                                                      computed as the difference between gross and net returns, by country, retail investors, %.
                                                                                      Sources: Refinitiv Lipper, ESMA.

  2                                                                                                                                                                                          1.4
                                                                                                                                                                                             1.2
1.5                                                                                                                                                                                          1.0
                                                                                                                                                                                             0.8
  1                                                                                                                                                                                          0.6
                                                                                                                                                                                             0.4
0.5                                                                                                                                                                                          0.2
                                                                                                                                                                                             0.0
  0
               2Q16         2Q17         2Q18         2Q19        2Q20                                                                                                                                   2Q16         2Q17        2Q18        2Q19       2Q20

      EU-27    Equity     Bond      Mixed     Alternative     Money Market                                                                                                                               EU-27 average                EU Member States
Note: EU-27 UCITS dispersion of total costs (ongoing costs, subscription and                                                                                                                 Note: EU-27 UCITS dispersion of total costs (ongoing costs, subscription and
redemption fees), computed as the difference between gross and net returns,                                                                                                                  redemption fees) of UCITS funds, computed as the difference between gross
per asset class, retail investors, %.                                                                                                                                                        and net returns, by country, retail investors, %.
Sources: Refinitiv Lipper, ESMA.                                                                                                                                                             Sources: Refinitiv Lipper, ESMA.
ESMA TRV Statistical Annex                                              No. 2, 2020                                                                        32

A.167                                                                          A.168
Equity UCITS total costs by management type                                    Equity UCITS net returns by management type
  2                                                                             30

                                                                                20
1.5

                                                                                10
  1
                                                                                 0

0.5
                                                                               -10

  0                                                                            -20
      2Q16        2Q17          2Q18          2Q19           2Q20                     2Q16        2Q17           2Q18           2Q19           2Q20
              Active              Passive                ETFs                                 Active                Passive                 ETFs

Note: EU equity UCITS, evolution of total costs, ongoing costs (TER),          Note: EU equity UCITS evolution of net annual performance, net of ongoing
subscription and redemption fees by management type, %.                        costs (TER), subscription and redemption fees by management tye, %.
Sources: Refinitiv Lipper, ESMA.                                               Sources: Refinitiv Lipper, ESMA.
ESMA TRV Statistical Annex                                                        No. 2, 2020                                                                            33

Complaints
A.169                                                                                    A.170
Total complaints                                                                         Complaints data by type of firm
 6,000                                                                                   100                                                                   5,000
                                                                                                                                                               4,500
                                                                                          80                                                                   4,000
                                                                                                                                                               3,500
 4,000                                                                                    60                                                                   3,000
                                                                                                                                                               2,500
                                                                                          40                                                                   2,000
                                                                                                                                                               1,500
                                                                                          20                                                                   1,000
 2,000                                                                                                                                                         500
                                                                                            0                                                                  0
                                                                                                1Q18         3Q18          1Q19         3Q19          1Q20

        0                                                                                        Art3-exempt firm                       UCITS Manco
             1Q18         3Q18              1Q19          3Q19           1Q20                    MiFID IF                               Credit institution
                                                                                                 Total with firm type reported
                      NCA                              Firms (rhs)
                                                                                         Note: Share of complaints for quarterly-reporting NCAs (n=17) received direct
                      Average total (rhs)                                                from consumers and via firms by type of firm involved, excluding complaints
                                                                                         with firm type recorded, %. 'Total with firm type reported'=Number of
 Note: Number of complaints recorded by quarterly-reporting NCAs (n=17) via              complaints via these reporting channels excluding those with no firm type
 given reporting channels. "NCA"=Reports lodged directly by consumers with               recorded. 'MiFID IF'=MiFID investment firm. 'UCITS Manco'=UCITS
 NCAs. "Firms"=Complaints recorded by NCAs via firms. "Average                           management company. 'Art3-exempt firm'=Firm exempt under Article 3 of
 total"=average total number from 2Q17 to 2Q19.                                          MiFID.
 Sources: ESMA complaints database                                                       Sources: ESMA complaints database

A.171                                                                                    A.172
Complaints by cause                                                                      Complaints data by instrument
 100                                                                      2,500          100                                                                  1,500

  80                                                                      2,000           80
                                                                                                                                                              1,000
  60                                                                      1,500           60

  40                                                                      1,000           40
                                                                                                                                                              500
  20                                                                      500             20
    0                                                                     0
            1Q18      3Q18          1Q19           3Q19          1Q20                       0                                                                 0
                                                                                                1Q18         3Q18         1Q19          3Q19         1Q20
             Withdrawals                            Unauth. bus.
                                                                                                   Equities                              CFDs
             General admin                          Fees/terms
                                                                                                   Options/futures/swaps                 UCITS/AIFs
             Appr/suit                              Info quality                                   Structured securities                 Debt securities
             Total with cause reported                                                             Total with instrument cited
 Note: Share of complaints for quarterly-reporting NCAs (n=17) received direct           Note: Share of complaints from quarterly-reporting NCAs (n=17) received
 from consumers and via firms by underlying cause, excluding complaints with             direct from consumer and via f irms by type of financial instrument, where
 no    cause    recorded, %. 'Unauth. bus.'=Unauthorised                business.        none of the instruments listed was reported. 'Total with instrument
 'Appr/suit'=Appropriateness or suitabilit y assessment. 'Info quality'=Qualit y or      cited'=number of complaints via these reporting channels excluding those
 lack of information. 'Total with cause reported'=Number of complaints via               with instrument type not reported or reported as 'other' or 'N/A'. 'Total
 these reporting channels including those with none of the listed causes                 complaints'=number of complaints via these reporting channel whether or not
 recorded.                                                                               further categorisation possible. 'CFDs''=Contracts for Differences.
 Sources: ESMA complaints database                                                       Sources: ESMA complaints database

A.173
Complaints by MiFID II category
100                                                                      1,800
                                                                         1,600
 80                                                                      1,400
                                                                         1,200
 60
                                                                         1,000
                                                                         800
 40
                                                                         600
 20                                                                      400
                                                                         200
   0                                                                     0
        1Q18         3Q18      1Q19       3Q19                  1Q20
                        Investment advice
                         Portfolio management
                         Execution of orders
                         Total with MiFID service reported
Note: Share of complaints for quarterly-reporting NCAs (n=17) received direct
from consumers and via firms recorded as associated with a given MiFID
service, excluding complaints with no such category recorded, all reporting
channels, %. 'Total with MiFID service reported'=Total complaints received
via these reporting channels recorded as associated with a MiFID service.
Sources: ESMA complaints database
ESMA TRV Statistical Annex          No. 2, 2020                                            34

Market based finance
Capital markets financing
A.174                                      A.175
Total market financing                     Equity issuance by deal type

A.176                                      A.177
Equity issuance by sector                  Corporate bond issuance and outstanding

A.178                                      A.179
Corporate bond issuance by sector          Securitised products issuance and outstanding
ESMA TRV Statistical Annex              No. 2, 2020                                             35

A.180                                          A.181
MMFs and other financial institutions          Non-bank wholesale funding

SMEs
A.182                                          A.183
SME trading volumes                            Share of SME trading volumes on Growth Markets

A.184                                          A.185
Number of SME issuers by market type           Secondary market liquidity of SME shares
ESMA TRV Statistical Annex                                                       No. 2, 2020                                                                              36

Market-based credit intermediation
A.186                                                                                   A.187
Sovereign repo market specialness                                                       US shadow banking liabilities

A.188                                                                                   A.189
MMFs and other financial institutions                                                   Financial market interconnectedness

A.190                                                                                   A.191
Credit terms in SFT and OTC derivatives                                                 Securities financing conditions
3.3                                                                                     3.2

3.2
                                                                                        3.1
3.1

3.0                                                                                     3.0

2.9
                                                                                        2.9
2.8

2.7                                                                                     2.8
      1Q1 5      1Q1 6        1Q1 7        1Q1 8        1Q1 9         1Q2 0                    1Q1 5       1Q1 6       1Q1 7        1Q1 8        1Q1 9        1Q2 0
                   Price te rms                    Non-pr ice terms                                    Demand fo r fundin g             Liq uidity and functio ning
Note: Wei ghted average of r esponses to the questi on: "Over the pas t thr ee          Note: Weighted average of respons es to the questi ons "Ov er the pas t thr ee
months, how have terms offered as refl ected across the entire spectrum of              months, how has demand for funding/how have liquidity and func tioni ng for all
EUR-denominated instrum ents in s ecurities financing and OTC derivatives               EUR-denominated c ollater al types c hanged?" 1=decreas ed/deteriorated
transacti on ty pes changed?" 1=tightened considerably, 2=ti ghtened                    considerably, 2=decreas ed/deteriorated s omewhat, 3=remained basically
somewhat, 3=remained basically unchanged, 4= eased s omewhat, and                       unchanged, 4=increased/improved somew hat, and 5=increased/improv ed
5=eased considerably.                                                                   considerably.
Sources: ECB, ESMA.                                                                     Sources: ECB, ESMA.
ESMA TRV Statistical Annex                                                      No. 2, 2020                                    37

A.192                                                                                  A.193
Sovereign repo market turnover                                                         Covered bond issuance and outstanding
300

250

200

150

100

 50

  0
  Jun-18      Oct-18     Feb-19     Jun-19     Oct-19     Feb-20     Jun-20
                Vol ume                  1M-MA                   5Y- MA
Note: Repo transacti on vol umes ex ecuted through CCPs in sev en s overei gn
EUR repo markets (AT, BE, DE, FI, FR, IT and NL), EUR bn.
Sources: RepoFunds Rate, ESMA.
ESMA TRV Statistical Annex                                                   No. 2, 2020                                                                           38

Sustainable finance
Green finance
A.194                                                                               A.195
Green bonds outstanding                                                             Green bond issuance
350                                                                    60           45

                                                                                    40
300                                                                    50
                                                                                    35
250
                                                                       40           30
200                                                                                 25
                                                                       30
150                                                                                 20

                                                                       20           15
100
                                                                                    10
 50                                                                    10
                                                                                     5

  0                                                                    0             0
      2Q15     2Q16      2Q17           2Q18         2Q19      2Q20                      2Q15           2Q16       2Q17        2Q18        2Q19       2Q20
        Public sector                           Private sector                                         Private sector                      Public sector
        Share private sector (rhs)                                                                     5Y-MA issuance
Note: Outstanding amount of green bonds in the EEA30 by sector, EUR bn,             Note: Green bond gross issuance in the EEA30 by sector, EUR bn.
and share of private sector (rhs), in %.                                            Sources: Refinitiv EIKON, ESMA.
Sources: Refinitiv EIKON, ESMA.
A.196                                                                               A.197
Green bonds outstanding from private sector                                         Green bond credit quality
175                                                                    3.0

150                                                                    2.5                 AAA

125
                                                                       2.0                    AA

100
                                                                       1.5                     A
 75
                                                                       1.0                 BBB
 50

 25                                                                    0.5          High-yield

  0                                                                    0.0          Non-ra ted
      2Q15    2Q16       2Q17          2Q18          2Q19       2Q20
         Non-financial sector                     Financial sector
         % corp. bond mkt (rhs)                                                                    0         20           40        60             80      100
Note: Outstanding amount of corporate green bonds in the EEA30 by sector,                                   Private                      Pub lic
EUR bn, and share in corporate bond market (rhs), in %.
                                                                                    Note: Outst andi ng am ount of green bonds in the EEA30 by credit rating and
Sources: Refinitiv EIKON, ESMA.
                                                                                    sector, EUR bn
                                                                                    Sources: Refinitiv EIKON, ESMA.
A.198                                                                               A.199
Green bond maturity buckets                                                         Maturity distribution of green and conventional bonds
350                                                                                 100 %
                                                                                     90%
300
                                                                                     80%

250                                                                                  70%
                                                                                     60%
200
                                                                                     50%

150                                                                                  40%
                                                                                     30%
100
                                                                                     20%

 50                                                                                  10%
                                                                                         0%
                                                                                                   Pub lic sector     Private sector         Conventional
  0
   201 4      201 5     201 6       201 7       201 8       201 9    202 0                         gree n b onds      gree n b onds         corpora te bon ds

       0-5 years       5-10 years           10-2 0 year s      >2 0 years                  0-5 years         5-10 years        10-2 0 year s        >2 0 years
                                                                                    Note: Distribution of green bonds and c orporate bonds outs tanding in the
Note: Outst anding amount of green bonds in the EEA30 by maturity buck et,
                                                                                    EU by maturity bucket, in %.
EUR bn.
                                                                                    Sources: Climate Bonds Initiative, Refinitiv EIKON, ESMA.
Sources: Refinitiv EIKON, ESMA.
ESMA TRV Statistical Annex                                                 No. 2, 2020                                                                           39

A.200                                                                             A.201
Sovereign green bond liquidity                                                    Green bond currencies
0.5
                                                                                                  Eur o

0.4
                                                                                        EEA ex. Eu ro

0.3
                                                                                        British Pound

0.2
                                                                                           US Dol lar

0.1
  Jun-17    Dec-17     Jun-18     Dec-18     Jun-19    Dec-19     Jun-20          Rest of the worl d
                Conventional bonds                    Green bonds
Note: Average bid-ask spread for green bonds and other bonds issued                                       0    50    100      150      200     250      300
by the same sovereign issuer traded on EuroMTS, in bps.                           Note: Outstanding amount of green bonds in the EEA30 by currency, EUR bn.
Sources: MTS, ESMA.                                                               Sources: Refinitiv EIKON, ESMA.
A.202                                                                             A.203
ESG index performance                                                             ESG index risk-adjusted returns
120                                                                                30                                                                   40
115                                                                                25
                                                                                                                                                        30
110                                                                                20
105                                                                                15                                                                   20
100                                                                                10
                                                                                                                                                        10
 95                                                                                 5

 90                                                                                 0                                                                   0

 85                                                                                -5
                                                                                                                                                        -10
 80                                                                               -10

 75                                                                               -15                                                                   -20
                                                                                           2014     2015      2016   2017    2018     2019     2020
 70                                                                                       EURO STOXX 50                       EURO STOXX 50 - ESG
  Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
                                                                                          Main index - risk-adjusted          ESG index - risk-adjusted
            Euro Stoxx 50              Euro Stoxx - ESG Leaders 50                Note: Annual returns of the EURO STOXX 50 and its ESG leaders subindice,
                                                                                  in %. Risk-adjusted returns, on rhs, measured as Sharpe ratios. Current year
Note: Euro Stoxx 50 ESG leaders and broader indices, indexed with                 data year-to-date.
01/06/2018=100.                                                                   Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.

Emissions trading
A.204                                                                             A.205
Emission allowance prices                                                         Emission allowance turnover
30                                                                                90

                                                                                  80
25
                                                                                  70

20                                                                                60

                                                                                  50
15
                                                                                  40

10                                                                                30

                                                                                  20
 5
                                                                                  10

 0                                                                                 0
 Jun-18     Oct-18     Feb-19    Jun-19     Oct-19     Feb-20     Jun-20            Jun-18     Oct-18 Feb-19 Jun-19            Oct-19 Feb-20 Jun-20
                         EUA                          1Y-MA                                                   EUA                        1Y-MA
Note: Daily settlement price of European Emission Allowances (EUA) on             Note: Monthly turnover of European Emission Allowances (EUA) on European
European Energy Exchange spot market, in EUR/tCO2.                                Energy Exchange, in EUR mn.
Sources: Refinitiv Datastream, ESMA.                                              Sources: Refinitiv Datastream, ESMA.
ESMA TRV Statistical Annex                                                    No. 2, 2020                                                                                40

Financial innovation
Financial innovation
A.206                                                                                A.207
Funds with AI/FinTech investment focus                                               Cloud services
  12                                                                    800

  10                                                                    600

   8                                                                    400

   6                                                                    200

   4                                                                    0

   2                                                                    -200

   0                                                                    -400
    Jun-18         Dec-18          Jun-19         Dec-19          Jun-20
                       Net flows (rhs)                     Total AuM
 Note: Total AuM, EUR bn, and monthly net flows, EUR mn, for selected EU-
 domiciled funds (n=32) whose name includes reference to AI, automation,
 FinTech or robotics.
 Sources: Morningstar Direct, ESMA

A.208                                                                                A.209
Type of impact of IT incidents on trade repositories                                 Crypto-Asset market capitalisation
                                                                                       400

                                                                                       350
                                10%
                                                                                       300

                                                                                       250

                                                                                       200
                   28%
                                                                                       150

                                                         62%                           100

                                                                                        50

                                                                                            0
                                                                                            Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
                                                                                              Bitcoin Mkt. Cap. Ethereum Mkt. Cap. Others Mkt. Cap.
                                                                                      Note: Market capitalisation of Bitcoin, Ethereum and other crypto-currencies, in
       Data availability    Data integrity/accuracy        Data confidentiality       EUR bn.

 Note: ESMA analysis of impact type of IT incidents reported for trade
 repositories in the EU, 2018-19
 Sources: ESMA

A.210                                                                                A.211
Crypto-Asset prices                                                                  Crypto-Asset price volatility
  12                                                                        0.8        250

  10                                                                                   200

                                                                            0.6
                                                                                       150
   8

                                                                                       100
   6                                                                        0.4

                                                                                        50
   4
                                                                            0.2             0
   2                                                                                        Jun-18   Oct-18 Feb-19         Jun-19      Oct-19 Feb-20          Jun-20
                                                                                                     Bitcoin                               Ethereum
                                                                                                     EUR/USD                               Gold
   0                                                                        0.0       Note: Annualised 30-day historical volatility of EURO STOXX 50, EUR/USD spot
   Jun-18     Oct-18     Feb-19    Jun-19     Oct-19 Feb-20 Jun-20                    rate returns and USD-denominated returns for Bitcoin, Ethereum and gold, in %.
                        Bitcoin                    Ethereum (rhs)                     Sources: Refinitiv Datastream, ESMA.
 Note: Prices of selected crypto-assets, EUR thousand.
ESMA TRV Statistical Annex                                                        No. 2, 2020                                                                          41

A.212                                                                                    A.213
Bitcoin futures markets                                                                  Root cause of IT incidents on trade repositories
  10                                                                          40

                                                                              30                                          5%      3%
   8
                                                                                                                   5%
                                                                              20
   6
                                                                                                                                              20%
                                                                              10
   4
                                                                              0                               17%

   2
                                                                              -10
                                                                                                                                  11%
   0                                                                          -20
   Jun-18    Oct-18 Feb-19          Jun-19 Oct-19         Feb-20 Jun-20
                                                                                                 Configuration error                    Human/procedural error
            CBOE futures             CME futures              Monthly change                     Infrastructure failure / perf.         IT operations
 Note: Total open interest in Bitcoin futures, in thousand of contracts, and change              Release deployment                     Software development
 in monthly average total open interest, in %.                                             Note: ESMA analysis of root cause of IT incidents reported for trade
                                                                                           repositories in the EU 2018-19. None of the incidents were cliassified in the
                                                                                           remaining category of IT security. "Perf."=performance.
                                                                                           Sources: ESMA
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