TRV Statistical Annex - ESMA
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E
TRV
ESMA Report on Trends, Risks and Vulnerabilities
Statistical
Annex
No. 1, 2021
19 February 2020
ESMA50-165-1152ESMA TRV Statistical Annex No. 1, 2021 2
Table of contents
Market environment 3
Securities markets 5
Equity markets 5
Sovereign-bond markets 6
Corporate-bond markets 9
Credit quality 11
Securities lending 13
Short selling 13
Money markets 14
Commodity markets 15
Derivatives markets 16
Infrastructures and services 18
Trading venues and MiFID entities 18
Central counterparties 19
Central securities depositories 21
Credit rating agencies 21
Financial benchmarks 23
Asset management 24
Fund industry 24
Money market funds 27
Alternative funds 28
Exchange-traded funds 29
Consumers 31
Investment resources available to households 31
Asset allocation by retail investors 31
Costs and performance 33
Complaints 35
Market based finance 36
Capital markets financing 36
SMEs 38
Market-based credit intermediation 39
Sustainable finance 41
Green finance 41
Emissions trading 42
Financial innovation 43
Financial innovation 43ESMA TRV Statistical Annex No. 1, 2021 3
Market environment
A.1 A.2
Market price performance Market volatilities
130 80
120 70
110 60
100 50
90 40
80 30
70 20
60 10
50 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Equities Commodities Equities Commodities
Corporate bonds Sovereign bonds Corporate bonds Sovereign bonds
Note: Return indices on EA equities (Datastream regional index), global Note: Annualised 40D volatility of return indices on EA 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). 01/12/2018=100. corporate and sovereign bonds (iBoxx EUR, all maturities), in %.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.
A.3 A.4
Economic policy uncertainty EUR exchange rates
525 60 115
450 50 110
375
40 105
300
30 100
225
20 95
150
75 10 90
0 0 85
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Europe US Global VSTOXX (rhs) USD JPY
GBP CHF
Note: Economic Policy Uncertainty Index (EPU), developed by Baker et al.
(www.policyuncertainty.com), based on the frequency of articles in European Emerging 1Y-MA USD
newspapers that contain the following triple: "economic" or "economy", Note: Spot exchange rates to Euro. Emerging is a weighted average (2016
"uncertain" or "uncertainty" and one or more policy-relevant terms. Global GDP) of spot exchange rates for CNY, BRL, RUB, INR, MXN, IDR and TRY.
aggregation based on PPP-adjusted GDP weights. Implied volatility of EURO 01/12/2018=100. Increases in value represent an appreciation of EUR. 1Y-
STOXX 50 (VSTOXX), monthly average, on the right-hand side. MA USD=one-year moving average of the USD exchange rate.
Sources: Baker, Bloom, and Davis 2015; Refinitiv Datastream, ESMA. Sources: ECB, IMF, ESMA.
A.5 A.6
Exchange rate implied volatilities Market confidence
14 40
12 20
0
10
-20
8
-40
6
-60
4
-80
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
2
Overall fin. sector Fin. intermediation
0 Ins. and pension Auxiliary activities
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 1Y-MA overall
EUR-USD EUR-GBP Note: European Commission survey of EU27 financial services sector and
subsectors (NACE Rev.2 64, 65, 66). Confidence indicators are averages of
1Y-MA USD 1Y-MA GBP the net balance of responses to questions on development of the business
Note: Implied volatilities for 3M options on exchange rates, in %. 1Y-MA USD situation over the past three months, evolution of demand over the past three
(resp. 1Y-MA GBP) is the one-year moving average of the implied volatility for months and expectation of demand over the next three months, in % of
3M options on EUR-USD (resp. EUR-GBP) exchange rate. answers received. Fin.=financial. Ins.=insurance.
Sources: Refinitiv EIKON, ESMA. Sources: European Commission, ESMA.ESMA TRV Statistical Annex No. 1, 2021 4
A.7 A.8
Portfolio investment flows by asset class Investment flows by resident sector
225 1200
150
900
75
0 600
-75
300
-150
-225 0
-300
Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Oct-20 -300
Equity assets Equity liabilities
Long-term debt assets Long-term debt liabilities
-600
Short-term debt assets Short-term debt liabilities 3Q15 3Q16 3Q17 3Q18 3Q19 3Q20
Total net flows Govt. & househ. Other finance
Note: Balance of Payments statistics, financial accounts, portfolio investments Ins. & pensions MFI
by asset class, EUR bn, Assets=net purchases (net sales) of non-EA NFC 5Y-MA
securities by EA investors. Liabilities=net sales (net purchases) of EA Note: Quarterly Sector Accounts. Investment flows by EA resident sector in
securities by non-EA investors. Total net flows=net outflows (inflows) from equity (excluding investment fund shares) and debt securities, EUR bn. 5Y-
(into) the EA. MA=five-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
3Q15 3Q16 3Q17 3Q18 3Q19 3Q20
Real estate funds Other
Insurance & pensions Hedge funds
Equity funds Bond funds
5Y-MA
Note: EA institutional investment flows by type of investor, EUR bn.
Other=financial vehicle corporations, mixed funds, other funds. 5Y-MA=five-
year moving average of all investment flows.
Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 1, 2021 5
Securities markets
Equity markets
A.10 A.11
Equity prices by sector Price performance of national indices
150 130
120
125
110
100
100
90
80
75
70
60
50 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
EURO STOXX 50 CAC 40
Banks Financial services DAX FTSE 100
Insurance Non-financials FTSE MIB IBEX
Note: STOXX Europe 600 sectoral return indices. 01/12/2018=100. Note: European equity indices. 01/12/2018=100.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.
A.12 A.13
Price performance Price-earnings ratios
140 30
130 25
120 20
110 15
100 10
90
5
80
0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
70 EA US
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
10Y-AVG EA 10Y-AVG US
EA US JP
Note: Price-earning ratios based on average inflation-adjusted earnings from
Note: Datastream regional equity indices for the EA (in EUR), the US (in USD) the previous 10 years (cyclically adjusted price-earning ratios). Averages
and Japan (in JPY). 01/12/2018=100. computed from the most recent data point up to 10 years before.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.
A.14 A.15
Return dispersion Implied volatility
15 90
10 80
70
5
60
0
50
-5 40
-10 30
20
-15
10
-20
0
-25 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 VIX (US) VSTOXX 5Y-MA VSTOXX
Min Median Max Note: Implied volatility of EURO STOXX 50 (VSTOXX) and S&P 500 (VIX), in
Note: Weekly return dispersion of the main equity indices in the EEA30. %.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 1, 2021 6
A.16 A.17
Implied volatility by option maturity Correlation STOXX Europe 600 and sectoral indices
125 1.0
100
0.9
75
0.8
50
0.7
25
0 0.6
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Banks Financial services
VSTOXX 1M VSTOXX 3M Insurance Non-financial corporation
VSTOXX 12M VSTOXX 24M Note: Correlations between daily returns of the STOXX Europe 600 and
Note: EURO STOXX 50 implied volatilities, measured as price indices, in %. STOXX Europe 600 sectoral indices. Calculated over 60-day rolling windows.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.
A.18 A.19
ESMA composite equity liquidity index Bid-ask spread
0.46 0.18
0.16
0.44
0.14
0.42 0.12
0.40 0.10
0.08
0.38
0.06
0.36 0.04
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
0.02
Illiquidity index 2Y-MA
Note: Composite indicator of illiquidity in the equity market for the current 0.00
STOXX Europe Large 200 constituents, computed by applying the principal Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
component methodology to six input liquidity measures (Amihud illiquidity
Bid-ask spread 40D-MA 5Y-MA
coefficient, bid-ask spread, Hui-Heubel ratio, turnover value, inverse turnover
ratio and market efficiency coefficient). The indicator range is between 0 Note: Liquidity measure as median of the bid-ask price percentage difference
(higher liquidity) and 1 (lower liquidity). for the current EEA30 constituents of STOXX Europe Large 200, in %.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.
Sovereign-bond markets
A.20 A.21
Issuance and outstanding Issuance by credit rating
9 450 450
AAA
8 400 400
350
7 350
300 AA
6 300
250
5 250
200
4 200 150 A+
3 150 100
2 100 50
A-
0
1 50 4Q15 4Q16 4Q17 4Q18 4Q19 4Q20
0 0 AAA AA+ to AA-
4Q15 4Q16 4Q17 4Q18 4Q19 4Q20
Below AA- NR
Outstanding non-EA Outstanding EA
Non-EA issuance (rhs) EA issuance (rhs) Avg. rating (rhs)
Note: Sovereign bond gross issuance in the EEA30 by rating bucket, EUR bn.
5Y-MA issuance (rhs) Avg. rating=weighted average rating computed as a one-year moving average
Note: Sovereign bond gross issuance in the EEA30 (rhs), EUR bn, and of ratings converted to a numerical scale (AAA=1, AA+=2, etc.) excluding non-
outstanding amounts, EUR tn. Maturities < 12 months are excluded. rated bonds. Maturities < 12 months are excluded.
Sources: Refinitiv EIKON, ESMA. Sources: Refinitiv EIKON, ESMA.ESMA TRV Statistical Annex No. 1, 2021 7
A.22 A.23
Rating distribution Equity-sovereign bond correlation dispersion
100 1.0
80 0.5
60
0.0
40
-0.5
20
-1.0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
0 Top 25% Core 50%
4Q15 4Q16 4Q17 4Q18 4Q19 4Q20
Bottom 25% Median
AAA AA A BBB BB and lower NR Note: Dispersion of the correlation between daily returns of national equity
Note: Outstanding amount of sovereign bonds in the EEA30 as of issuance indices and national sovereign debt return index, for 16 countries in the EU27,
date by rating category, in % of the total. Maturities < 12 months are excluded. over a 60-day rolling window.
Sources: Refinitiv EIKON, ESMA. Sources: Refinitiv Datastream, ESMA.
A.24 A.25
Net issuance by country 10Y yields
150 450 4
100 300 3
50 150 2
0 0 1
-50 -150
0
-100 -300
IS
IE
IT
AT
BE
BG
EE
ES
MT
PT
PL
SE
SK
EEA30
CY
DE
DK
LU
NL
SI
CZ
HR
HU
LT
LV
NO
RO
FI
FR
GR
-1
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
1Y high 1Y low 4Q20 BE DE ES
Note: Quarterly net issuance of EEA30 sovereign debt by country, EUR bn. FR IT SE
Net issuance calculated as the difference between new issuance over the
quarter and outstanding debt maturing over the quarter. Highest and lowest US 1Y-MA
quarterly net issuance in the past year are reported. EEA30 total on right- Note: Yields on 10Y sovereign bonds, selected countries, in %. 1Y-MA=one-
hand scale. All maturities are included. year moving average of EA 10Y bond indices computed by Datastream.
Sources: Refinitiv EIKON, ESMA. Sources: Refinitiv Datastream, ESMA.
A.26 A.27
10Y spreads Yield dispersion
5 6
5
4
4
3 3
2
2
1
1 0
-1
0 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Top 25% Core 50%
ES GR IE IT PT Bottom 25% Median
Note: Selected 10Y EA sovereign bond risk premia (vs. DE Bunds), in %. Note: Yield dispersion on 10Y sovereign bonds of 16 EU27 countries, in %.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 1, 2021 8
A.28 A.29
Volatility Yield correlation dispersion
30 1.0
25
0.5
20
15
0.0
10
5 -0.5
0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
-1.0
BE DE ES Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
FR IT SE
US 1Y-MA Top 25% Core 50%
Note: Annualised 40-day volatility of 10Y sovereign bonds, selected countries, Bottom 25% Median
in %. 1Y-MA=one-year moving average of EA 10Y bond indices computed by Note: Dispersion of correlations between 10Y DE Bunds and 15 other EU27
Datastream. countries' sovereign bond redemption yields over a 60-day rolling window.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.
A.30 A.31
CDS spreads CDS notionals
60 14 40
12 35
50
30
10
40 25
8
20
30 6
15
4
20 10
2 5
10
0 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
0 DE ES FR
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
IE IT PT
Europe JP EU27 (rhs)
US 1Y-MA Europe Note: Value of outstanding net notional sovereign CDS for selected EU27
Note: Datastream CDS sovereign indices (5 years, mid-spread), in bps. countries, in USD bn.
Sources: Refinitiv Datastream, ESMA. Sources: DTCC, ESMA.
A.32 A.33
Bid-ask spreads ESMA composite sovereign bond liquidity index
10 1.0
0.8
8
0.6
6
0.4
4
0.2
2 0.0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Euro MTS Domestic MTS
0 1Y-MA Domestic 1Y-MA Euro MTS
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Note: Composite indicator of market liquidity in the sovereign bond
market for the domestic and Euro MTS platforms, computed by applying
Bid-ask spread 1Y-MA the principal component methodology to four input liquidity measures
Note: Bid-ask spread as weighted average of bid-ask spreads throughout a (Amihud illiquidity coefficient, Bid-ask spread, Roll illiquidity measure
month weighted by trading volume across 10 EU27 domestic markets (AT, and Turnover). The indicator range is between 0 (higher liquidity) and 1
BE, DE, ES, FI, FR, IE, IT, NL and PT) and Euro MTS, in EUR. (lower liquidity).
Sources: MTS, ESMA. Sources: MTS, ESMA.ESMA TRV Statistical Annex No. 1, 2021 9
A.34 A.35
Liquidity Liquidity dispersion
5 70
60
4
50
3 40
30
2
20
10
1
0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
0 Top 25% Core 50%
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Bottom 25% Median
Liquidity indicator 40D-MA 5Y-MA Note: Dispersion of liquidity measured as median across countries of the bid-
Note: Liquidity measured as median across countries of the bid-ask yields ask yields difference for 10Y sovereign bonds, in bps. 22 EEA30 countries are
difference for 10Y sovereign bonds, in bps. 22 EEA30 countries are included. included.
Sources: Refinitiv EIKON, ESMA. Sources: Refinitiv EIKON, ESMA.
A.36 A.37
Redenomination risk Bond futures liquidity
100 1.4
1.2
80
1.0
60
0.8
40
0.6
20 0.4
0.2
0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
BE DE ES FR 0.0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
IE IT PT
Note: Difference between 5Y CDS spreads under the 2014 ISDA definition
DE FR IT
(where debt redenomination is a credit event), and under the 2003 ISDA Note: One-month moving averages of the Hui-Heubel illiquidity indicator for
definition (where it is not), in bps. selected 10Y sovereign bond futures, in %.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.
Corporate-bond markets
A.38 A.39
Yields by credit rating Spreads by credit rating
2.5 300
2.0 250
1.5 200
1.0 150
0.5 100
0.0 50
-0.5 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
AAA AA A AAA AA A
BBB 1Y-MA BBB 1Y-MA
Note: : ICE BofAML EA corporate bond redemption yields by rating, in %. 1Y- Note: ICE BofAML EA corporate bond option-adjusted spreads by rating, in
MA=one-year moving average of all indices. bps. 1Y-MA=one-year moving average of all indices.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 1, 2021 10
A.40 A.41
Debt redemption profile by sector Rating distribution
525 200 100
450
100
80
375
300 0
60
225 -100
150 40
-200
75
20
0 -300
4Q20 4Q21 4Q22 4Q23 4Q24 4Q25
Non-financials Financials
0
1Y-change fin (rhs) 1Y-change non-fin (rhs) 4Q15 4Q16 4Q17 4Q18 4Q19 4Q20
Note: Quarterly redemptions over 5Y-horizon by EEA30 private financial and
AAA AA A BBB BB and lower NR
non-financial corporates, EUR bn. 1Y-change=difference between the sum of
this year's (four last quarters) and last year's (8th to 5th last quarters) Note: Outstanding amount of corporate bonds in the EEA30 as of issuance
redemptions. Maturities < 12 months are excluded. date by rating category, in % of the total. Maturities < 12 months are excluded.
Sources: Refinitiv EIKON, ESMA. Sources: Refinitiv EIKON, ESMA.
A.42 A.43
Hybrid capital instruments Sovereign-corporate yield correlation
30 800 1.0
700
25
600 0.5
20
500
15 400
0.0
300
10
200
5 -0.5
100
0 0
4Q15 4Q16 4Q17 4Q18 4Q19 4Q20
-1.0
Outstanding (rhs) Issuance Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
5Y-MA issuance
Top 25% Core 50%
Note: Hybrid capital instruments gross issuance in the EEA30, EUR bn, and
outstanding amounts (rhs), EUR tn. Maturities < 12 months are excluded. Bottom 25% Median
According to Refinitiv EIKON classification, hybrid capital refers to bonds Note: Dispersion of correlation between Barclays Aggregate for corporate and
having the qualities of both an interest-bearing security (debt) and equity. 10Y sovereign bond redemption yields for AT, BE, ES, FI, FR, IT and NL.
Sources: Refinitiv EIKON, ESMA. Sources: Refinitiv Datastream, ESMA.
A.44 A.45
Bid-ask spreads and Amihud indicator Turnover ratio and average trade size
0.7 0.4 18 2.0
0.6 16
0.3 14 1.5
0.5
12
0.4
10
0.2 1.0
0.3 8
0.2 6
0.1
4 0.5
0.1
2
0.0 0.0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 0 0.0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Bid-ask 1Y-MA Amihud (rhs)
Note: Markit iBoxx EUR Corporate bond index bid-ask spread, in %, Turnover Average transaction size (rhs)
computed as a one-month moving average of the iBoxx components in the Note: Average transaction size for the corporate bond segment as the ratio of
current composition. 1Y-MA=one-year moving average of the bid-ask spread. nominal amount of settlement instructions to number of settled instructions, in
Amihud liquidity coefficient index between 0 and 1. Highest value indicates EUR mn. Turnover is the one-month moving average of the ratio of trading
less liquidity. volume over outstanding amount, in %.
Sources: IHS Markit, ESMA. Sources: IHS Markit, ESMA.ESMA TRV Statistical Annex No. 1, 2021 11
Credit quality
A.46 A.47
SFI ratings issued by collateral type SFI ratings outstanding by collateral type
8,000 100%
2,000
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 Nov-20
0%
Jan-18 Aug-18 Mar-19 Oct-19 May-20 Dec-20
ABS CDO CMBS
OTH RMBS (rhs) RMBS (rhs) 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
12 100
10
80
8
6 60
4
40
2
0 20
4Q15 4Q16 4Q17 4Q18 4Q19 4Q20
Quasi high-quality collateral outstanding
High-quality collateral outstanding 0
Note: Outstanding amount of high-quality collateral in the EEA30, EUR tn. 4Q15 4Q16 4Q17 4Q18 4Q19 4Q20
High-quality collateral is the sum of outstanding debt securities issued by
AAA AA A BBB BB and lower NR
EEA30 governments with a rating equal to or higher than BBB-. Quasi high-
quality collateral is the outstanding corporate debt with a rating equal to or Note: Outstanding amount of covered bonds in the EEA30 as of issuance date
higher than AA-. Maturities < 12 months are excluded. by rating category, in % of the total. Maturities < 12 months are excluded.
Sources: Thomson Reuters EIKON, ESMA. Sources: Thomson Reuters EIKON, ESMA.
A.50 A.51
SFI rating changes Size of SFI rating changes
4
600
3
400
2
200 1
0
0 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Aug-18 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-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. 1, 2021 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
-60
-1 -20
-1.5
2015 2016 2017 2018 2019 2020 -30 -100
Aug-18Dec-18 Apr-19 Aug-19Dec-19 Apr-20 Aug-20Dec-20
Non-Financials Covered bonds Financials
ES IE IT PT GR (rsh)
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). . 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
Aug-18 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Non-financial Covered bond
0
Financial Insurance Aug-18 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Sovereign Structured finance Non-financial Covered bond
Financial Insurance
Note: 3-month moving average of net rating changes in outstanding
ratings from all credit rating agencies, excluding CERVED and ICAP, b y Sovereign Structured finance
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, b y asset class computed as
Sources: RADAR, ESMA. number of rating changes over number of outstanding ratings.
Sources: RADAR, ESMA.ESMA TRV Statistical Annex No. 1, 2021 13
Securities lending
A.56 A.57
Securities lending transactions by asset type Securities utilisation rate
30
25
20
15
10
5
0
Dec-18 Jun-19 Dec-19 Jun-20 Dec-20
Corporate bonds Sovereign bonds Equities
Note: Utilisation rate in percent, the ratio of the market value of securities lent
over the market value of securities available for lending.
Sources: FIS Astec Analytics, Quandl, ESMA.
A.58
Securities lending contract tenure
Short selling
A.59 A.60
Value of net short positions in EU shares Dispersion of net short positions in EU shares
0.7 250 6
0.6 5
200
0.5 4
150
0.4
3
0.3
100 2
0.2
1
50
0.1
0
Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20
0.0 0
Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20 Top 25% Core 50%
Market value Number of shares (rhs) Bottom 25% Median
Note: Market value of net short selling positions as percentage of total market Note: Dispersion of net short selling positions by country in the EEA30 as
value in the EEA30. Number of shares part of a main national index on which percentage of market value of those positions relative 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. 1, 2021 14
A.61 A.62
Value of net short positions in EU shares by sector Value of net short positions in EU sovereign debt
4.5 1.4
4.0
1.2
3.5
1.0
3.0
2.5 0.8
2.0
0.6
1.5
1.0 0.4
0.5 0.2
0.0
Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20 0.0
Manufacturing Financials Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20
Information technology Utilities Short positions
Note: Average of net short positions in EEA30 shares for manufacturing, Note: Duration-adjusted net short selling positions held in EEA30 sovereign
financial, information technology and utilities, in % of issued share capital. debt, EUR tn.
Sources: National Competent Authorities, ESMA. Sources: National Competent Authorities, ESMA.
A.63 A.64
Net short positions in industrial shares and equity prices Net short positions in financial shares and equity prices
4.5 140 2.5 140
4.0 130
120
3.5 2.0
100 120
3.0
1.5 110
2.5 80
100
2.0 60
1.0 90
1.5
40
1.0 80
20 0.5
0.5 70
0.0 0
Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20 0.0 60
Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20
Manufacturing Sectoral equity index (rhs)
Financials Sectoral equity index (rhs)
Note: Average of net short positions in EEA30 manufacturing shares, in % of
issued share capital, and EEA30 industrial equity benchmark, Note: Average of net short positions in EEA30 financial shares, in % of issued
01/03/2018=100. share capital, and EEA30 financial equity benchmark, 01/03/2018=100.
Sources: National Competent Authorities, Refinitiv Datastream, ESMA. Sources: National Competent Authorities, Refinitiv Datastream, ESMA.
Money markets
A.65 A.66
Interest rates Spreads to overnight index swap
0.1 150
0.0 125
-0.1 100
75
-0.2
50
-0.3
25
-0.4
0
-0.5
-25
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
-0.6 Euribor GBP Libor
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
USD Libor 5Y-MA Euribor
3M Euribor ECB rate EONIA ESTR Note: Spreads between 3M interbank rates and 3M overnight index swap, in
Note: Money market rates, in %. bps.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 1, 2021 15
A.67 A.68
Interbank overnight activity EONIA forwards
80 -0.2
70 -0.3
60 -0.3
-0.4
50
-0.4
40
-0.5
30
-0.5
20
-0.6
10
-0.6
0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 -0.7
Jan-19 Sep-19 May-20 Jan-21 Sep-21 May-22 Jan-23
EONIA ESTR SONIA
Note: 1M-MA of daily lending volumes on Euro Overnight Index Average EONIA Jan 21 Dec 20 Oct 20
(EONIA), EUR bn, Euro short-term rate (€STR), and Sterling Overnight Index
Note: Euro overnight index swap forwards, in %.
Average (SONIA), GBP bn.
Sources: ECB, Refinitiv EIKON, ESMA. Sources: Refinitiv EIKON, ESMA.
Commodity markets
A.69 A.70
Prices Volatility
175 300
150 250
125 200
100 150
75 100
50 50
25 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
0 Brent Energy
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Brent Energy Industrial metals Natural gas
Industrial metals Natural gas Precious metals 1Y-MA
Precious metals 1Y-MA
Note: Annualised 40-day volatility of S&P GSCI commodity indices and Brent
Note: S&P GSCI commodity indices and Brent price. 01/12/2018=100. 1Y- price, in %. 1Y-MA=one-year moving average computed using S&P GSCI.
MA=one-year moving average computed using S&P GSCI. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.
A.71 A.72
Open interest Implied volatility
2.5 625
2.0 500
1.5 375
1.0
250
0.5
125
0.0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Light crude oil Natural gas Light crude oil Natural gas
1Y-MA oil 1Y-MA gas 1Y-MA oil 1Y-MA gas
Note: Continuous future open interests on number of barrels, in million of Note: One-month implied volatility of at-the-money options, in %. 1Y-MA oil
contracts. 1Y-MA oil (gas)=one-year moving average of light crude oil futures (gas)=one-year moving average of light crude oil (natural gas).
(natural gas futures). Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 1, 2021 16
Derivatives markets
A.73 A.74
OTC notional outstanding OTC market value
700 25
600
20
500
400 15
300 10
200
5
100
0 0
1H15 1H16 1H17 1H18 1H19 1H20 1H15 1H16 1H17 1H18 1H19 1H20
Commodity Credit default swaps Commodity Credit default swaps
Equity-linked Foreign exchange Equity-linked Foreign exchange
Interest rate
Interest rate Note: Gross market values of outstanding OTC derivatives by category, USD
Note: Gross notional amounts of outstanding OTC derivatives by product tn. Gross market values represent the cost of replacing all open contracts at
category, USD tn. the prevailing market prices.
Sources: Bank for International Settlements, ESMA. Sources: Bank for International Settlements, ESMA.
A.75 A.76
ETD notional outstanding by product category ETD turnover by product category
125 0.30 16
14
0.25
100
12
0.20
10
75
0.15 8
6
50 0.10
4
0.05
25 2
0.00 0
Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20
0
3Q15 3Q16 3Q17 3Q18 3Q19 3Q20 Foreign exchange 1Y-MA FX
Foreign exchange Long-term interest rate Interest rate (rhs) 1Y-MA IR (rhs)
Short-term interest rate Note: Global average daily turnover in exchange-traded derivatives by product
Note: Open interest in exchange-traded derivatives by product category, in category, in USD tn. 1Y-MA IR=one-year moving average for interest rate, 1Y-
USD tn. MA FX=one-year moving average for foreign exchange.
Sources: Bank for International Settlements, ESMA. Sources: Bank for International Settlements, ESMA.
A.77 A.78
ETD notional outstanding by asset class ETD turnover by asset class
125 14
12
100
10
75 8
6
50
4
25 2
0
Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20
0 Futures Options
3Q15 3Q16 3Q17 3Q18 3Q19 3Q20
1Y-MA futures 1Y-MA options
Futures Options Note: Global average daily turnover in exchange-traded derivatives by asset
Note: Open interest in exchange-traded derivatives by asset class, in USD tn. class, in USD tn.
Sources: Bank for International Settlements, ESMA. Sources: Bank for International Settlements, ESMA.ESMA TRV Statistical Annex No. 1, 2021 17
A.79 A.80
ETD notional outstanding by exchange location ETD turnover by exchange location
125 14
12
100
10
75 8
6
50
4
2
25
0
Sep-18 Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20
0 Asia/Pacific Europe
3Q15 3Q16 3Q17 3Q18 3Q19 3Q20 North America Other
Asia/Pacific Europe North America Other 1Y-MA Europe
Note: Open interest in exchange-traded derivatives by exchange location, in Note: Global average daily turnover in exchange-traded derivatives by
USD tn. exchange location, in USD tn. "Europe" as defined by BIS.
Sources: Bank for International Settlements, ESMA. Sources: Bank for International Settlements, ESMA.ESMA TRV Statistical Annex No. 1, 2021 18
Infrastructures and services
Trading venues and MiFID entities
A.81 A.82
Equity trading by trading type Equity trading turnover by issuer origin
100% 2,500 900 35
800
30
80% 2,000 700
25
600
60% 1,500 500 20
400 15
40% 1,000
300
10
200
20% 500 5
100
0 0
0% 0 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Jul-20 Nov-20
Jan-19 Jun-19 Nov-19 Apr-20 Sep-20 Foreign issuer Domestic issuer
Lit Systematic internaliser
Dark pool Periodic auction 1Y-MA domestic 1Y-MA foreign (rhs)
OTC Total volumes (rhs) Note: Monthly equity turnover on EEA30 trading venues by origin of the
Note: type of equity trading in the EEA as a percentage of total volumes. Total traded equity, in EUR bn. Data for Aquis Exchange, CBOE Europe Equities,
equity trading volumes in EUR billions (right axis). OTC data includes volumes Equiduct, London Stock Exchange and Turquoise are not reported. Foreign
relative to the UK. Last available data point is December 2020. equities are issued in a country other than that of the trading venue.
Sources: FIRDS, FITRS, ESMA. Sources: FESE, ESMA.
A.83 A.84
Trading turnover by type of assets Share of turnover by type of assets
1,500 Bonds
44.8%
1,250
1,000
750
500
UCITS
250 0.3% Equities
49.8%
0 ETFs
Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Jul-20 Nov-20 5.1%
Bonds Equities ETFs UCITS Note: Share of turnover on EEA30 trading venues by asset class, in % of total
Note: Monthly turnover on EEA30 trading venues by type of assets, in EUR turnover over the reporting period. Data for Aquis Exchange, CBOE Europe
bn. Data for Aquis Exchange, CBOE Europe Equities, Equiduct, London Stock Equities, Equiduct, London Stock Exchange and Turquoise are not reported
Exchange and Turquoise are not reported for bonds, ETFs and UCITS. for bonds, ETFs and UCITS.
Sources: FESE, ESMA. Sources: FESE, ESMA.
A.85 A.86
Circuit-breaker occurrences by market capitalisation Circuit-breaker-trigger events by sector
3,500 100
3,000
80
2,500
60
2,000
1,500 40
1,000 20
500
0
0 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Basic materials, industrials and energy
Financials
Large caps Mid caps Small caps ETFs Healthcare, consumer cyclicals and non-cyclicals
Note: Number of daily circuit-breaker trigger events by type of financial Technology, utilities and telecommunications services
instrument and by market cap registered on 29 EEA30 trading venues for all Note: Percentage of circuit-breaker trigger events by economic sector
constituents of the STOXX Europe Large/Mid/Small 200 and a large sample registered on 29 EEA30 trading venues for all constituents of the STOXX
of ETFs tracking these indices or some of their subindices. Results displayed Europe Large/Mid/Small 200 and a large sample of ETFs tracking these
as weekly aggregates. indices or some of their subindices. Results displayed as weekly aggregates.
Sources: Morningstar Real-Time Data, ESMA. Sources: Morningstar Real-Time Data, ESMA.ESMA TRV Statistical Annex No. 1, 2021 19
A.87 A.88
Number of trading venues and systematic internalisers Data reporting services providers
Approved
Regulated Systematic publication
market internaliser arrangement
126 173 16
Organised
trading Multilateral Approved
facility trading reporting
27 facility mechanism
144 21
Note: Number of data reporting servuces providers registered under MiFID
Note: Number of trading venues registered under MiFID II/MiFIR by EEA30 II/MiFIR by EEA30 National Competent Authorities and notified to ESMA, by
National Competent Authorities and notified to ESMA, by type. type.
Sources: ESMA Registers. Sources: ESMA Registers.
Central counterparties
A.89 A.90
Initial Margins held at EU and UK CCPs Margin breaches
600 0.9% 3.0%
0.8%
2.5%
500 0.7%
0.6% 2.0%
400 0.5%
1.5%
0.4%
300
0.3% 1.0%
0.2%
200 0.5%
0.1%
0.0% 0.0%
100
0
4Q1 7 2Q1 8 4Q1 8 2Q1 9 4Q1 9 2Q2 0 brea ch es of ini tia l margi n -avera ge uncove red exp osure
brea ch es of ini tia l margi n -avera ge uncove red exp osure
margin req uired add itio nal ma rgins
Note: Av erage and maximum margi n breach size over the past 12 month at
Note: Initi al margin required as well as additional margin posted by EU CCP, selected EU CCPs, as a percentage of the total margin held, as of 30
in EUR bn. September 2020.
Sources: Clarus Financial Technology, CPMI-IOSCO PQD, ESMA. Sources: Clarus Financial Technology, PQD, ESMA.
A.91 A.92
Initial margins held at EU and UK CCPs by asset class Initial margins by account type
600 100% 250
80% 200
500
60% 150
400
40% 100
300 20% 50
0% 0
200
100
From interoperable CCP Client gross
Client net House
0
Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Total amounts (rhs)
Note: Total initial margin required, split by house accounts (participants
CO CR CU EQ IR positions on their own account), client gross (when initial margin for the
Note: Outstanding amounts of intital margin required and excess collateral positions of indirect participants must be provided for each indirect
received by EU27 and UK CCPs for derivatives (CCP.A, CC&G,European participant’s own position) and client net (when positions are netted within a
Central Counterparty N.V and KDPW data missing). in EUR bn. Data points group of clients), in %. Total amounts in EUR bn (rhs).
for 29 May, 12 June and 16 October incomplete. Sources: Clarus Financial Technology, CPMI-IOSCO PQD, ESMA.
Sources: TRs, ESMA.ESMA TRV Statistical Annex No. 1, 2021 20
A.93 A.94
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 3Q2 0
CME (E TD) LCH Swap Cle ar L td
ICE Fut Eur ope Eur ex (ETD) LCH SwapClear Ltd Eurex
Eur ex JPX (ETD) CME JSCC
CME (O TC) JSCC HKEX BME
TFX (ETD) LCH (ETD) Total volumes (rhs)
HKEX BME
Note: Market share on OTC central clearing of basis swaps, fixed-to-float
Tota l volumes
Note: Quarterly noti onal volumes cleared for OTC and ETD IRDs in EUR, swaps, forward rate agreements and overnight indexed swaps in EUR, USD,
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.
A.95 A.96
Credit derivatives clearing volumes by CCP Credit derivatives subject to clearing obligation by CCP
100 % 8 100% 3
80% 80% 2.5
6
2
60% 60%
4
1.5
40%
40%
2 1
20%
20% 0.5
0% 0
0% 0
ICE Clear Credit ICE Clear Euro pe
LCH CDSClear JSCC ICE Clear Credit ICE Clear Europe
ICE Fut US Tota l volumes (rhs) LCH CDSClear CME
Total volumes (rhs)
Note: Quarterly noti onal volumes cl eared for CDS, CDX and CDX futur es & Note: Market share of OTC central clearing of iTraxx Europe and iTraxx
swaptions in EUR, USD, JPY or GBP, in %. Total volumes in EUR tn. Crossover, in %. Quarterly notional volumes cleared, in EUR trillion (right
Sources: Clarus Financial Technology, ESMA. axis).
Sources: Clarus Financial Technology, ESMA.
A.97 A.98
IRD trading volumes CDS index trading volumes
175 100 25 100
150
80 20 80
125
100 60 15 60
75 40
10 40
50
20
25 5 20
0 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 0 0
Cleared Non-cleared Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
% cleared 1Y-MA % cleared Cleared Non-cleared
Note: Daily trading volumes for EU27-currency-denominated IRD products. % cleared 1Y-MA % cleared
Products include IRS, basis swaps, FRA, inflation swaps, OIS. 40-day moving Note: Daily trading volumes for the main EUR CDS indices including Itraxx
average notional, USD bn. ISDA SwapsInfo data are based on publicly Europe, Itraxx Europe Crossover, Itraxx Europe Senior Financials. 40-day
available data from DTCC Trade Repository LLC and Bloomberg Swap Data moving average notional, USD bn. ISDA SwapsInfo data are based on
Repository. Reporting logic for indicating the cleared status of trades changed publicly available data from DTCC Trade Repository LLC and Bloomberg
for DTCC SDR on 21 Nov 2020. Swap Data Repository.
Sources: ISDA SwapsInfo, ESMA. Sources: ISDA SwapsInfo, ESMA.ESMA TRV Statistical Annex No. 1, 2021 21
Central securities depositories
A.99 A.100
Settlement activity Settlement fails
3,000 500 14
2,500 12
400
10
2,000
300 8
1,500
200 6
1,000
4
100
500 2
0 0 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-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: Total value of settled transactions in the EEA30 as reported by NCAs, in Note: Share of failed settlement instructions in the EEA30, in % of value, one-
EUR bn, one-week moving averages. week moving averages.
Sources: National Competent Authorities, ESMA. Sources: National Competent Authorities, ESMA.
A.101 A.102
Number of settlement instructions Number of failed settlement instructions
300 900 8
7
250 750
6
200 600
5
150 450 4
3
100 300
2
50 150
1
0 0 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Corporate bonds 6M-MA corp Corporate bonds 6M-MA corp
Government bonds 6M-MA gov Equities 6M-MA equities
Equities (rhs) 6M-MA equities (rhs) Government bonds 6M-MA gov
Note: Total number of settlement instructions in the EEA30 as reported by Note: Share of failed settlement instructions in the EEA30, in % of total
NCAs, in thousand, one-week moving averages. Dotted lines represent six- number of instructions, one-week moving averages. Dotted lines represent
month moving averages. six-month moving averages.
Sources: National Competent Authorities, ESMA. Sources: National Competent Authorities, ESMA.
Credit rating agencies
A.103 A.104
Ratings drift Ratings volatilityESMA TRV Statistical Annex No. 1, 2021 22
A.105 A.106
Outstanding ratings issued by the top 3 CRAs Outstanding ratings excluding the top 3 CRAs
130 4,500
4,100
120 3,700
3,300
110
2,900
100 2,500
2,100
90 1,700
1,300
80
900
70 500
4Q16 2Q17 4Q17 2Q18 4Q18 2Q19 4Q19 2Q20 4Q20 100
Non-financial Covered bond 3Q15 2Q16 1Q17 4Q17 3Q18 2Q19 1Q20 4Q20
Financial Insurance Non-financial Covered bond
Sovereign Sub-sovereign Financial Insurance
Supranational Structured finance Sovereign Sub-sovereign
Note: Evolution of outstanding ratings, indexed 3Q15=100. S&P, Structured finance
Moody's and Fitch. Note: Evolution of outstanding ratings, indexed 3Q15=100. All CR As
Sources: RADAR, ESMA. excluding S&P, Moody's and Fitch. Sovereign on right hand axis.
Sources: RADAR, ESMA.
A.107 A.108
Changes in outstanding structured finance ratings Changes in outstanding covered bond ratings
300 500
150 300
0
100
-150
-100
-300
Aug-18Dec-18 Apr-19 Aug-19Dec-19 Apr-20 Aug-20Dec-20 -300
Aug-18 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
WD New Net change
New Withdrawn Net change
Note: Number of withdrawn and new ratings for structured finance
instruments. EU-27+UK ratings. Note: Number of withdrawn and new ratings for covered bonds.
Sources: RADAR, ESMA. Sources: RADAR, ESMA.
A.109
Share of outstanding ratings Big 3 CRAs vs. others
100
23
23
24
24
24
24
25
25
29
30
30
31
31
31
32
32
32
80
60
40
77
77
76
76
76
76
75
75
71
70
70
69
69
69
68
68
68
20
0
4Q16 2Q17 4Q17 2Q18 4Q18 2Q19 4Q19 2Q20 4Q20
Big 3 Other CRAs
Note: Share of outstanding ratings from S&P, Moody's and Fitch, and
ratings from all other CRAs, in %.
Sources: RADAR, ESMA.ESMA TRV Statistical Annex No. 1, 2021 23
Financial benchmarks
A.110 A.111
EURIBOR rates IRSs linked to EONIA and Euribor by maturity
0 140
Trillions
-0.1 120
-0.2 100
-0.3 80
-0.4 60
-0.5
40
-0.6
20
-0.7
Dec-19 Mar-20 Jun-20 Sep -20 Dec-20 0
EONIA EURIB OR
1W 1M 3M 6M 12M
Before end -2021 afte r en d-2021
Note: EURIBOR accross maturities. Note: Gr oss notional amount of IRS outstandi ng referencing EONIA, EONIA
Sources: EMMI, ESMA. SWAP rates and EURIBOR by maturity date (before or after end-2021), as of
2 October 2020, EUR tn.
Sources: TRs, ESMA
A.112 A.113
IRDs linked to reference rates Number of banks contributing to €STR
350 35 40
Trillions
300 30 35
250 25 30
200 20 25
150 15
20
100 10
15
50 5
10
0 0
1Q20 2Q20 3Q20 4Q20 5
LIBOR EURIBOR 0
SONIA (rhs) EONIA (rhs) Dec-19 Mar-20 Jun-20 Sep -20 Dec-20
SOFR (rhs)
Number of acti ve banks
Note: Gross notional amount of IRS outstanding referencing benchmarks,
Note: Number of banks reporting transactions before trimming.
EUR tn.
Sources: TRs, ESMA Sources: ECB, ESMA.
A.114 A.115
€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
Dec-19 Mar-20 Jun-20 Sep -20 Dec-20 10 100
Rate at 2 5th pe rcen til e of volu me 0 0
Rate at 7 5th pe rcen til e of volu me Dec-19 Feb-20 Apr -20 Jun-20 Aug -20 Oct-20 Dec-20
Vol ume-weighted tri mmed mean rate
Tota l volume Number of transaction s (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 calc ulating the Note: T otal nominal v alue of trans actions befor e trimming, in EUR bn. Number
mean of the remaining 50% of the volume-weighted distribution of rates. of transactions before trimming.
Sources: ECB ESMA Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 1, 2021 24
Asset management
Fund industry
A.116 A.117
Fund performance Fund volatility
2.5 60
2.0
50
1.5
40
1.0
0.5 30
0.0
20
-0.5
10
-1.0
-1.5 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Alternative Bond Commodity Alternative Bond Commodity
Equity Mixed assets Real estate Equity Mixed assets Real estate
Note: EU27-domiciled investment fund annual average of monthly returns, Note: Annualised 40-day historical return volatility of EU27-domiciled
asset-weighted, in %. investment funds, in %.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA
A.118 A.119
Entities authorised under UCITS Share of entities authorised under UCITS by country
1,225 30 Others
Sweden 29%
4%
1,200 Italy
20
4%
1,175
Poland
10 France
5%
1,150 24%
0
1,125
Ireland
-10 9%
1,100
1,075 -20
4Q15 4Q16 4Q17 4Q18 4Q19 4Q20 Spain
Newly authorised entities Withdrawn entities 10%
Luxembourg
Number of entities 15%
Note: Number of entities authorised under the UCITS Directive by EEA30
National Competent Authorities and notified to ESMA. Newly authorised Note: Number of entities authorised under the UCITS Directive by EEA30
entities and withdrawn entities on the right axis. National Competent Authorities and notified to ESMA, in %.
Sources: ESMA Registers. Sources: ESMA Registers.
A.120 A.121
Entities authorised under AIFMD Share of entities authorised under AIFMD by country
2,250 125 Others
Netherlands 30%
100 4%
2,000 France
Italy 23%
75 5%
1,750 50
25
1,500
0 Ireland
6%
1,250 -25 Germany
4Q15 4Q16 4Q17 4Q18 4Q19 4Q20
6%
Newly authorised entities Withdrawn entities Spain
Luxembourg
Number of entities 12% 14%
Note: Number of entities authorised under AIFMD by EEA30 National
Competent Authorities and notified to ESMA. Newly authorised entities and Note: Number of entities authorised under AIFMD by EEA30 National
withdrawn entities on the right axis. Competent Authorities and notified to ESMA, in %.
Sources: ESMA Registers. Sources: ESMA Registers.ESMA TRV Statistical Annex No. 1, 2021 25
A.122 A.123
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
Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Oct-20 0
Alternative Bond Equity 3Q15 3Q16 3Q17 3Q18 3Q19 3Q20
Mixed Other Real estate Non-UCITS UCITS
Note: AuM of EA funds by fund type, EUR tn. Note: NAV of EU28 funds, EUR tn.
Sources: ECB, ESMA. Sources: EFAMA, ESMA.
A.124 A.125
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
Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Oct-20 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Oct-20
Alternative Bond Equity
Alternative Bond Equity Mixed Other Real estate
Mixed Other Real estate Note: Leverage of EA investment funds by fund type computed as the
Note: NAV of EA investment funds by fund type, EUR tn. AuM/NAV ratio.
Sources: ECB, ESMA. Sources: ECB, ESMA.
A.126 A.127
Fund flows by fund type Fund flows by regional investment focus
5
0
-5
-10
-15
-20
-25
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Emerging markets BF Emerging markets EF
Europe BF Europe EF
Global BF Global EF
North America BF North America EF
Note: EU27 bond and equity fund net flows (BF and EF) by regional
investment focus, in % of NAV.
Sources: Refinitiv Lipper, ESMA.ESMA TRV Statistical Annex No. 1, 2021 26
A.128 A.129
Bond fund flows by regional investment focus Equity fund flows by regional investment focus
4 1
2 0
0 -1
-2 -2
-4 -3
-6 -4
-8 -5
-10 -6
-12 -7
-14 -8
-16 -9
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Western Europe North America Global Emerging markets Emerging markets Global North America Western Europe
Note: EU27 bond fund net flows by regional investment focus, in % of NAV. Note: EU27 equity fund net flows by regional investment focus, in % of NAV.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.
A.130 A.131
Net flows for bond funds Net asset valuation
40 1,000 16
750 14
20
500 12
0 250
10
0
-20 8
-250
-40 6
-500
-750 4
-60
-1,000 2
-80
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 -1,250 0
3Q15 3Q16 3Q17 3Q18 3Q19 3Q20
Corporate Government Emerging
HY Mixed Other Capital flows Valuation effect AuM (rhs)
Note: Two-month cumulative net flows for EU27 bond funds, EUR bn. Funds Note: Net valuation effect related to the AuM of EA investment funds,
investing in corporate and government bonds that qualify for another category computed as the intraperiod change in AuM, net of flows received in the
are only reported once (e.g. funds investing in emerging government bonds respective period. Capital flows and valuation effects in EUR bn. AuM
reported as emerging; funds investing in HY corporate bonds reported as HY). expressed in EUR tn.
Sources: Refinitiv Lipper, ESMA. Sources: ECB, ESMA.
A.132 A.133
Liquidity risk profile of EU bond funds Cash as percentage of assets
9 0 5.0
8 5 4.5
7 10 4.0
15 3.5
6
20 3.0
5
25 2.5
4
30 2.0
3
35 1.5
2 40 1.0
1 45 0.5
0 50 0.0
Dec-18 Jun-19 Dec-19 Jun-20 Dec-20 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
BF maturity HY maturity 25th perc Median 75th perc
BF liquidity ratio (rhs) HY liquidity ratio (rhs) Note: Median, 25th and 75th percentile of the value of cash held by EU27
Note: Effective a verage maturity of fund assets in years; ESMA liquidity ratio corporate bond funds, in % of portfolio holdings. Short positions can have a
(rhs, in reverse order). negative value.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.ESMA TRV Statistical Annex No. 1, 2021 27
A.134 A.135
Credit quality of bond funds’ assets Maturity of EU bond funds’ assets
3.5 5.2
3.4 5.1
3.3 5.0
3.2 4.9
3.1 4.8
3.0 4.7
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
BF HY (rhs)
Note: Average credit quality of assets held in investment grade bond funds
(BF) compared with high yield bond funds (HY) based on S&P ratings; 1=
AAA; 4= BBB; 10 = D).
An increase implies a deterioration of the credit quality.
Sources: Refinitiv Lipper, ESMA.
Money market funds
A.136 A.137
MMF performance MMF flows by domicile
1.0 30
25
0.5
20
0.0 15
10
-0.5
5
-1.0 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
2nd/98th perc. Median
Weighted average -5
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Note: EU27-domiciled MMF average yearly returns by month, in %. The graph
shows the median and average asset-weighted returns and the difference EU27 US
between the returns corresponding to the 98th and 2nd percentile. Note: MMF net flows by domicile, in % of NAV.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.
A.138 A.139
MMF flows by geographical focus Assets and leverage
25 1.6 1.05
20 1.4
1.04
15 1.2
1.0 1.03
10
0.8
5
0.6 1.02
0
0.4
-5 1.01
0.2
-10
0.0 1.00
3Q15 3Q16 3Q17 3Q18 3Q19 3Q20
-15 AuM NAV
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Leverage (rhs) 5Y-MA (rhs)
Emerging markets Global North America Western Europe Note: NAV and AuM of EA MMFs, EUR tn. Leverage computed as the
Note: EU27 MMF net flows by geographical focus, in % of NAV. AuM/NAV ratio. 5Y-MA=five-year moving average of the leverage ratio.
Sources: Refinitiv Lipper, ESMA. Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 1, 2021 28
A.140 A.141
MMF maturity MMF liquidity
80 60
70
50
60
40
50
30
40
30 20
20 10
10
0
0 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Oct-20
Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Oct-20 Daily liquidity Weekly liquidity
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 sovereigns with a
Europe-domiciled MMFs, in days. Aggregation carried out by weighting maturity of less than one year, in % of total assets. Aggregation carried 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.142 A.143
Hedge fund returns Hedge fund performance by strategy
A.144 A.145
Fund flows by domicile Assets and leverage
2 600 1.5
0
500
1.4
-2
400
-4 1.3
-6 300
-8 1.2
200
-10
1.1
100
-12
-14 0 1.0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Oct-20
EU27 US AuM NAV
Note: Alternative mutual fund net flows by domicile, in % of NAV. Data on Leverage (rhs) 1Y-MA (rhs)
alternative mutual funds represent only a subset of the entire alternative fund Note: NAV and AuM of EA alternative funds, EUR bn. Leverage computed as
industry. the AuM/NAV ratio. 1Y-MA=one-year moving average for the leverage ratio.
Sources: Refinitiv Lipper, ESMA. Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 1, 2021 29
A.146 A.147
Alternative fund flows by geographical focus Direct and indirect property fund flows
10
5
0
-5
-10
-15
-20
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Emerging markets Global North America Western Europe
Note: EU27 alternative mutual fund net flows by geographical focus, in % of
NAV. Data on alternative mutual funds represent only a subset of the entire
alternative fund industry.
Sources: Refinitiv Lipper, ESMA.
Exchange-traded funds
A.148 A.149
Returns Volatility
4 40
3 35
2 30
1 25
0
20
-1
15
-2
10
-3
5
-4
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 0
2nd/98th perc. Weighted average Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
Median
Note: Average yearly returns by month of EU27-domiciled ETFs, in %. The Volatility
graph shows the median and average asset-weighted returns and the Note: Annualised 40-day historical return volatility of EU27-domiciled ETFs, in
difference between the returns corresponding to the 98th and 2nd percentile. %.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.
A.150 A.151
NAV and number by domicile NAV by asset type
3,000 6 1000
2,500 5
800
2,000 4
600
1,500 3
400
1,000 2
200
500 1
0 0 0
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
EU27 ETF NAV (rhs) US ETF NAV (rhs) Alternative Bond Commodity Equity
EU27 ETFs US ETFs Mixed assets Money market Other
Note: NAV, EUR tn, and number of ETFs by domicile. Note: NAV of EU27 ETFs by asset type, EUR bn.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.ESMA TRV Statistical Annex No. 1, 2021 30
A.152 A.153
Tracking error Flows by domicile
1.4 4
1.2 3
1.0
2
0.8
1
0.6
0.4 0
0.2 -1
0.0 -2
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
ETF
-3
MF index trackers Non-UCITS
MF index trackers UCITS -4
Note: Tracking error defined as standard deviation of mutual fund excess Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20
returns compared with benchmark. The graph shows the tracking error for
EU27 ETFs and mutual funds both UCITS and non-UCITS. Yearly standard
EU27 US
deviation reported on monthly frequency. End-of-month data. Note: ETF net flows by domicile, in % of NAV.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA
A.154 A.155
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 2020
Leveraged (short) - assets
Leveraged (long) - assets
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.
A.156 A.157
Assets of European ETFs by replication method Flows into European ETFs by replication method
1000 1500 140
120
800
100
1000
600 80
60
400
40
500
20
200
-
0 0 (20)
2012 2014 2016 2018 2020 2012 2013 2014 2015 2016 2017 2018 2019 2020
Physical - assets Synthetic - assets
Physical - number (rhs) Synthetic - number (rhs) Physical net flows Synthetic net flows
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, in EUR bn and total number of products (rhs). Europe, in EUR bn.
Sources: ETFGI, ESMA Sources: ETFGI, ESMAESMA TRV Statistical Annex No. 1, 2021 31
Consumers
Investment resources available to households
A.158 A.159
Disposable income Household saving and investment rates
4 18
16
3
14
2
12
1 10
0 8
6
-1
4
-2 2
-3 0
2Q15 2Q16 2Q17 2Q18 2Q19 2Q20 3Q15 3Q16 3Q17 3Q18 3Q19 3Q20
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.160 A.161
Investor sentiment Growth rates in financial assets
40 10
20
5
0
0
-20
-5
-40
-10
-60
-80 -15
Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 3Q15 3Q16 3Q17 3Q18 3Q19 3Q20
EA institutional current EA retail current Currency and deposits Debt securities
EA institutional future EA retail future Equities IF shares
Note: Sentix Sentiment Indicators for the EA retail and institutional investors Note: Quarterly asset growth rates of financial assets held by EU27
on a 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.162 A.163
Household assets to liabilities ratio Household financial assets by class
35 350 35 34
30 33
30 345
25
32
25
340 20
31
20 15
335 30
15 10
330 5 29
10
0 28
325 3Q15 3Q16 3Q17 3Q18 3Q19 3Q20
5
Other assets Pensions
Insurances IF shares
0 320 Equities Debt securities
3Q15 3Q16 3Q17 3Q18 3Q19 3Q20 Currency and deposits Securities (rhs)
Note: Financial assets of EU27 households, EUR tn, and share of securities
Assets Liabilities Assets/liabilities ratio (rhs) investments (debt securities, equities and IF shares) in total, in %. IF
Note: Financial assets and liabilities of EU27 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.You can also read
