TRV Statistical Annex - ESMA
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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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