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
                                                            ESMA50-165-1152
ESMA 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                                    43
ESMA 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 volatility
ESMA 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, ESMA
ESMA 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.
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