TRV Statistical Annex - ESMA
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E
TRV
ESMA Report on Trends, Risks and Vulnerabilities
Statistical
Annex
No. 2, 2020
19 February 2020
ESMA50-165-1152ESMA TRV Statistical Annex No. 2, 2020 2
Table of contents
Market environment 3
Securities markets 5
Equity markets 5
Sovereign-bond markets 6
Corporate-bond markets 9
Credit quality 11
Short selling 12
Money markets 13
Derivatives markets 14
Infrastructures and services 16
Trading venues and MiFID entities 16
Central counterparties 17
Central securities depositories 18
Credit rating agencies 19
Financial benchmarks 20
Asset management 22
Fund industry 22
Money market funds 25
Alternative funds 26
Exchange-traded funds 27
Consumers 29
Investment resources available to households 29
Asset allocation by retail investors 29
Costs and performance 31
Complaints 33
Market based finance 34
Capital markets financing 34
Market-based credit intermediation 36
Sustainable finance 38
Green finance 38
Emissions trading 39
Financial innovation 40
Financial innovation 40ESMA TRV Statistical Annex No. 2, 2020 3
Market environment
A.1 A.2
Market price performance Market volatilities
120 80
110 70
60
100
50
90
40
80
30
70
20
60 10
50 0
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Equities Commodities Equities Commodities
Corporate bonds Sovereign bonds Corporate bonds Sovereign bonds
Note: Return indices on EU28 equities (Datastream regional index), global Note: Annualised 40D volatility of return indices on EU28 equities (Datastream
commodities (S&P GSCI) converted to EUR, EA corporate and sovereign regional index), global commodities (S&P GSCI) converted to EUR, EA
bonds (iBoxx EUR, all maturities). 01/05/2018=100. corporate and sovereign bonds (iBoxx EUR, all maturities), in %.
A.3 A.4
Economic policy uncertainty EUR exchange rates
500 60 115
400 50 110
40
300 105
30
100
200
20
95
100 10
90
0 0
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
85
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Europe US Global VSTOXX (rhs)
USD JPY
Note: Economic Policy Uncertainty Index (EPU), developed by Baker et al. GBP CHF
(www.policyuncertainty.com), based on the frequency of articles in European
newspapers that contain the following triple: "economic" or " economy" , Emerging 5Y-MA USD
"uncertain" or "uncertainty" and one or more policy-relevant terms. Global Note: Spot exchange rates to Euro. Emerging is a weighted average (2016
aggregation based on PPP-adjusted GDP weights. Implied volatility of EURO GDP) of spot exchange rates for CNY, BRL, RUB, INR, MXN, IDR and TRY.
01/05/2018=100. Increases in value represent an appreciation of EUR. 5Y-
STOXX 50 (VSTOXX), monthly average, on the right-hand side.
Sources: Baker, Bloom, and Davis 2015; Refinitiv Datastream, ESMA.
A.5 A.6
Exchange rate implied volatilities Market confidence
14 40
12 20
0
10
-20
8
-40
6 -60
4 -80
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
2 Overall fin. sector Fin. intermediation
Ins. and pension Auxiliary activities
0 5Y-MA overall
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
EUR-USD EUR-GBP Note: European Commission survey of EU27 financial services sector and
subsectors (NACE Rev.2 64, 65, 66). Confidence in dicators are averages of the
1Y-MA USD 1Y-MA GBP net balance of responses to questions on develo pment of the business situation
Note: Implied v olatilities for 3M optio ns on exchange rates, in %. 1Y-MA USD over the past three months, evolution of demand over the past three months
(resp. 1Y-MA GBP) is the one-year moving average of the implied volatility for and expectation of demand over the next three months, in % of answers
3M options on EUR-USD (resp. EUR-GBP) exchange rate. received. Fin.=financial. Ins.=insurance.
Sources: Refinitiv EIKON, ESMA. Sources: European Commission, ESMA.ESMA TRV Statistical Annex No. 2, 2020 4
A.7 A.8
Portfolio investment flows by asset class Investment flows by resident sector
200 900
150
600
100
50
300
0
-50 0
-100
-150 -300
Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20
Equity assets Equity liabilities -600
Long-term debt assets Long-term debt liabilities 1Q15 1Q16 1Q17 1Q18 1Q19 1Q20
Short-term debt assets Short-term debt liabilities Govt. & househ. Other finance
Total net flows Ins. & pensions MFI
Note: Balance of Payments statistics, financial accounts, portfolio investments NFC 1Y-MA
by asset class, EUR bn, Assets=net purchases (net sales) of non-EA securities Note: Quarterly Sector Accounts. Investment flo ws by EA resident sector in
by EA investors. Liabilities=net sales (net purchases) of EA securities by non-
equity (excluding investment fund shares) and debt securities, EUR bn. 1Y-
EA investors. Total net flows=net outflows (inflows) from (into) the EA.
MA=one-year moving average of all investment flows.
Sources: ECB, ESMA.
Sources: ECB, ESMA.
A.9 A.1
Institutional investment flows
450
375
300
225
150
75
0
-75
-150
1Q15 1Q16 1Q17 1Q18 1Q19 1Q20
Real estate funds Other
Insurance & pensions Hedge funds
Equity funds Bond funds
1Y-MA
Note: EA institutional investment flows by type of investor, EUR bn.
Other=fin ancia l vehicle corporatio ns, mixed funds, other funds. 1Y-MA=one-
year moving average of all investment flows.
Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 2, 2020 5
Securities markets
Equity markets
A.10 A.11
Equity prices by sector Price performance of national indices
A.12 A.13
Price performance Price-earnings ratios
30
28
26
24
22
20
18
16
14
12
10
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
US EA
Average US Average EA
Note: Price Earning Ratios based on av erage inflation-adjusted earnings from
the prev ious 10 years (Cyclically Adjusted PE Ratio).
Sources: Thomson Reuters Datastream, ESMA.
A.14 A.15
Return dispersion Implied volatilityESMA TRV Statistical Annex No. 2, 2020 6 A.16 A.17 Implied volatility by option maturity Correlation STOXX Europe 600 and sectoral indices A.18 A.19 ESMA composite equity liquidity index Bid-ask spread Sovereign-bond markets A.20 A.21 Issuance and outstanding Issuance by credit rating
ESMA TRV Statistical Annex No. 2, 2020 7 A.22 A.23 Rating distribution Equity-sovereign bond correlation dispersion A.24 A.25 Net issuance by country 10Y yields A.26 A.27 10Y spreads Yield dispersion
ESMA TRV Statistical Annex No. 2, 2020 8
A.28 A.29
Volatility Yield correlation dispersion
A.30 A.31
CDS spreads CDS notionals
A.32 A.33
Bid-ask spreads ESMA composite sovereign bond liquidity index
10
8
6
4
2
0
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Bid -ask sp read 1Y- MA
Note: Bid-ask s pread as weighted average of bid-ask s preads throughout a
month weighted by tr ading v olume across 10 EU27 domes tic markets (AT,
BE, DE, ES, FI, FR, IE, IT, NL and PT) and Euro MTS, in bps.
Sources: MTS, ESMA.ESMA TRV Statistical Annex No. 2, 2020 9 A.34 A.35 Liquidity Liquidity dispersion A.36 A.37 Redenomination risk Bond futures liquidity Corporate-bond markets A.38 A.39 Yields by credit rating Spreads by credit rating
ESMA TRV Statistical Annex No. 2, 2020 10 A.40 A.41 Debt redemption profile by sector Rating distribution A.42 A.43 Hybrid capital instruments Sovereign-corporate yield correlation A.44 A.45 Bid-ask spreads and Amihud indicator Turnover ratio and average trade size
ESMA TRV Statistical Annex No. 2, 2020 11
Credit quality
A.46 A.47
SFI ratings issued by collateral type SFI ratings outstanding by collateral type
100%
2,000 8,000
80%
1,600
6,000
1,200 60%
4,000
800 40%
2,000
400
20%
0 0
Nov-17 May-18 Nov-18 May-19 Nov-19 May-20
0%
ABS CDO CMBS Nov-17 May-18 Nov-18 May-19 Nov-19 May-20
OTH RMBS RMBS OTH CMBS CDO ABS
Note: Number of rated structured finance instruments by asset class.
Note: Outstanding EU ratings of structured finance instruments by asset
ABS=Asset-backed securities; CDO=Collateralised debt obligations;
class, in % of total. ABS=Asset-backed securities; CDO=Collateralised
CMBS=Commercial mortgage-backed securities; OTH=Other;
debt obligations; CMBS=Commercial mortgage-backed securities;
RMBS=Residential mortgage-backed securities.
OTH=other; RMBS=Residential mortgage-backed securities.
Sources: RADAR, ESMA.
Sources: RADAR, ESMA.
A.48 A.49
High-quality collateral outstanding Rating distribution of covered bonds
A.50 A.51
SFI rating changes Size of SFI rating changes
4
600
3
400
2
200
0 1
Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Downgrades Upgrades
Downgrades Upgrades
3M-MA downgrades 3M-MA upgrades
3M-MA downgrades 3M-MA upgrades
Note: Average size of upgrades and downgrades when credit rating agencies
Note: Number of rating changes on securitised assets. took rating actions on securitised assets, number of buckets traversed.
Sources: RADAR, ESMA. Sources: RADAR, ESMA.ESMA TRV Statistical Annex No. 2, 2020 12
A.52 A.53
Size of rating changes Non-financial corporate rating changes
2 30 100
1.5
20
60
1
10
0.5 20
0
0
-20
-0.5 -10
-1 -60
-20
-1.5
2015 2016 2017 2018 2019 2020 -30 -100
Jan-18 Jul-18 Jan-19 Jul-19 Jan-20 Jul-20
Non-Financials Covered bonds Financials ES IE IT PT GR ( rhs)
Insurance Sovereign Structured Finance Note: Number of upgrades minus downgrades of non-financial corporate
Note: Average change in notches for long-term ratings for issuers and issuers for ES, GR, IE, IT and PT, in % of outstanding ratings . Ratings from
instruments (excl ICAP and CERVED). 2020 is year-to-date. Fitch Ratings, Moody's and S&P's.
Sources: RADAR, ESMA. Sources: RADAR, ESMA.
A.54 A.55
Ratings drift Ratings volatility
8 8
4
6
0
4
-4
2
-8
Mar-18 Jul-18 Nov-18Mar-19 Jul-19 Nov-19 Mar-20 Jul-20
Non-financial Covered bond
0
Financial Insurance Mar-18 Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Jul-20
Sovereign Structured finance Non-financial Covered bond
Financial Insurance
Note: 3-month moving average of net rating changes in outstanding
Sovereign Structured finance
ratings from all credit rating agencies, excluding CERVED and ICAP, by
asset class, computed as the percentage of upgrades minus the Note: 3 month moving average of volatility of ratings by all credit rating
percentage of downgrades. EU-27+UK ratings. agencies, excluding CERVED and ICAP, by asset class computed as
Sources: RADAR, ESMA. number of rating changes over number of outstanding ratings.
Sources: RADAR, ESMA.
Short selling
A.56 A.57
Value of net short positions in EU shares Dispersion of net short positions in EU shares
0.6 300 7
6
0.5 250
5
0.4 200
4
0.3 150 3
0.2 100 2
1
0.1 50
0
Mar-18 Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20
0.0 0
Mar-18 Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Top 25% Core 50%
Market value Number of shares ( rhs) Bottom 25% Median
Note: M arket v alue of net s hort selling positions as perc entage of total market Note: Dispersion of net s hort selling positions by country in the EEA30 as
value in the EEA30. N umber of s hares part of a mai n national index on w hich percentage of market val ue of those positions rel ative to each country's blue-
short positions were reported by NCAs under the Short Selling Regulation. chip index market value.
Sources: National Competent Authorities, Refinitiv Datastream, ESMA. Sources: National Competent Authorities, Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 2, 2020 13
A.58 A.59
Value of net short positions in EU shares by sector Value of net short positions in EU sovereign debt
3.5 1.4
3.0 1.2
2.5 1.0
2.0 0.8
1.5 0.6
1.0 0.4
0.5 0.2
0.0 0.0
Mar-18 Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Mar-18 Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20
Manufactu ring Financial s
Info rma tio n technolo gy Util itie s Sho rt positions
Note: Average of net short positions in EEA30 s hares for manufacturing, Note: D uration-adjus ted net s hort s elling positions held in EEA30 s overei gn
financial, information technology and utilities, in % of issued share capital. debt, EUR tn.
Sources: National Competent Authorities, ESMA. Sources: National Competent Authorities, ESMA.
A.60 A.61
Net short positions in industrial shares and equity prices Net short positions in financial shares and equity prices
3.5 120 2.5 140
3.0 130
110
2.0
120
2.5
100
1.5 110
2.0
90 100
1.5
1.0
90
80
1.0
80
0.5
0.5 70
70
0.0 60 0.0 60
Mar-18 Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Mar-18 Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20
Manufactu ring Sectoral equity in dex (rhs) Financial s Sectoral equity in dex (rhs)
Note: Av erage of net short positions in EEA30 manufacturing shares, in % of
Note: Average of net short positions in EEA30 financial s hares , in % of issued
issued share c apital, and EEA30 industrial equity benchmark,
share capital, and EEA30 financial equity benchmark, 01/03/2018=100.
01/03/2018=100.
Sources: National Competent Authorities, Refinitiv Datastream, ESMA.
Sources: National Competent Authorities, Refinitiv Datastream, ESMA.
Money markets
A.62 A.63
Interest rates Spreads to overnight index swapESMA TRV Statistical Annex No. 2, 2020 14 A.64 A.65 Interbank overnight activity EONIA forwards Derivatives markets A.66 A.67 OTC notional outstanding OTC market value A.68 A.69 ETD notional outstanding by product category ETD turnover by product category
ESMA TRV Statistical Annex No. 2, 2020 15 A.70 A.71 ETD notional outstanding by asset class ETD turnover by asset class A.72 A.73 ETD notional outstanding by exchange location ETD turnover by exchange location
ESMA TRV Statistical Annex No. 2, 2020 16 Infrastructures and services Trading venues and MiFID entities A.74 A.75 Equity trading by trading type Equity trading turnover by issuer origin A.76 A.77 Trading turnover by type of assets Share of turnover by type of assets A.78 A.79 Circuit-breaker occurrences by market capitalisation Circuit-breaker-trigger events by sector
ESMA TRV Statistical Annex No. 2, 2020 17
A.80 A.81
Number of trading venues and systematic internalisers Data reporting services providers
Central counterparties
A.82 A.83
Initial Margins held at EU CCPs Margin breaches
600 0.6% 1.6%
1.4%
0.5%
500
1.2%
0.4%
1.0%
400
0.3% 0.8%
300 0.6%
0.2%
0.4%
200 0.1%
0.2%
100 0.0% 0.0%
0
4Q17 1Q18 2Q18 3Q18 4Q18 1Q19 2Q19 3Q19 4Q19 1Q20 breaches of initial margin -average uncovered exposure
breaches of initial margin -peak uncovered exposure (rhs)
margin required additional margins
Note: Average and maximum margin breach size over the past 12 month at
Note: Initial margin required as well as additional margin posted by EU CCP, in selected EU CCPs, as a percentage of the total margin held, as of 31 March
EUR bn. 2020.
Sources: Clarus Financial Technology, CPMI-IOSCO PQD, ESMA. Sources: Clarus Financial Technology, PQD, ESMA.
A.84 A.85
IRD clearing volumes by CCP IRD subject to clearing obligation by CCP
100 % 800 100 % 200
80% 90% 160
600
60% 80% 120
400
40% 70% 80
200 60% 40
20%
50% 0
0% 0
1Q1 8 3Q1 8 1Q1 9 3Q1 9 1Q2 0
CME (E TD) LCH Swap Cle ar L td
ICE Fut Eur ope Eur ex (ETD) LCH Swap Cle ar L td Eur ex
Eur ex JPX (ETD) CME JSCC
CME (O TC) JSCC HKEX BME
TFX (ETD) LCH (ETD) Gra nd Total
HKEX BME
Note: Market shar e on OTC central clearing of basis swaps, fixed-to-float
Tota l volumes swaps, F orward rate agreements and ov ernight index ed swaps in EUR, USD,
Note: Quarterly noti onal volumes cleared for OTC and ETD IRDs in EUR,
USD, JPY or GBP, in %. Total volumes in EUR tn. JPY or GBP, in %. Quarterly notional volumes cleared, in EUR tn (rh axis).
Sources: Clarus Financial Technology, ESMA. Sources: Clarus Financial Technology, ESMA.ESMA TRV Statistical Annex No. 2, 2020 18
A.86 A.87
Credit derivatives clearing volumes by CCP Credit derivatives subject to clearing obligation by CCP
100 % 8 100 % 3
90%
80% 2.5
6 80%
70%
60% 2
60%
4
50% 1.5
40%
40%
2 1
20% 30%
20%
0.5
0% 0 10%
0% 0
ICE Clear Credit ICE Clear Euro pe
LCH CDSClear JSCC ICE Clear Credit ICE Clear Euro pe
ICE Fut US CME LCH CDSClear CME
Tota l volumes (rhs)
Tota l volumes (rhs)
Note: Quarterly noti onal volumes cl eared for CDS, CDX and CDX futur es & Note: Market share on OTC central clearing of iTraxx Europe and iTraxx
swaptions in EUR, USD, JPY or GBP, in %. Total volumes in EUR tn. Crossover, in %. Quarterly noti onal v olumes cleared, in EUR trillion (right
Sources: Clarus Financial Technology, ESMA. axis).
Sources: Clarus Financial Technology, ESMA.
A.88 A.89
IRD trading volumes CDS index trading volumes
400 100 25 100
350
80 20 80
300
250 60 15 60
200
150 40 10 40
100
20 5 20
50
0 0 0 0
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Cleared Non-cleared Cleared Non-cleared
% cleared 1Y-MA % cleared % cleared 1Y-MA % cleared
Note: Daily trading volumes for EU28-currency-denominated IRD products Note: Daily trading volumes for the main EUR CDS indices including Itraxx
(EUR, HUF, PLN, GBP). Products include IRS, basis swaps, FR A, inflation Europe, Itraxx Europe Crossover, Itraxx Europe Senior Financials. 40-day
swaps, OIS. 40-day moving average notional, USD bn. ISDA SwapsInfo data are moving average notional, USD bn. ISDA SwapsInfo data are based on publicly
based on publicly available data from DTCC Trade Repository LLC and available data from DTCC Trade Repository LLC and Bloomberg Swap Data
Bloomberg Swap Data Repository. Repository.
Central securities depositories
A.90 A.91
Settlement activity Settlement fails
3,000 600 14
2,500 500 12
10
2,000 400
8
1,500 300
6
1,000 200 4
500 100 2
0
0 0 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Government bonds 6M-MA gov Corporate bonds 6M-MA corp
Corporate bonds (rhs) 6M-MA corp (rhs) Equities 6M-MA equities
Equities (rhs) 6M-MA equities (rhs) Government bonds 6M-MA gov
Note: Share of failed settlement instructions in the EEA31, in % of value, one-
Note: Total value of settled transactions in the EEA31 as reported by NCAs, in
week moving averages.
EUR bn, one-week moving averages.
Sources: National Competent Authorities, ESMA.ESMA TRV Statistical Annex No. 2, 2020 19
A.92 A.93
Number of settlement instructions Number of failed settlement instructions
300 1,200 8
7
250 1,000
6
200 800 5
4
150 600
3
100 400
2
50 200 1
0
0 0 Jun-19 Aug-19 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20
Mar-19 Jun-19 Sep-19 Dec-19 Mar-20 Jun-20
Corporate bonds Equities Government bonds
Corporate bonds Government bonds Equities (rhs)
Note: Share of failed settlement instructions in the EEA31, in % of total number of instructions,
Note: Total number of settlement instructions in the EEA31 as reported by NCAs, in thousand, one-week moving averages. Dotted lines represent six-month moving averages.
one-week moving averages. Dotted lines represent six-month moving averages. Sources: National Competent Authorities,ESMA.
Sources: National Competent Authorities,ESMA.
Credit rating agencies
A.94 A.95
Ratings drift Ratings volatility
A.96 A.97
Outstanding ratings issued by the top 3 CRAs Outstanding ratings excluding the top 3 CRAs
130 2 ,50 0
120 2 ,10 0
110 1 ,70 0
100
1 ,30 0
90
9 00
80
5 00
70
4Q1 6 2Q1 7 4Q1 7 2Q1 8 4Q1 8 2Q1 9 4Q1 9 2Q2 0 1 00
Non-finan cia l Covered bond 4Q1 5 3Q1 6 2Q1 7 1Q1 8 4Q1 8 3Q1 9 2Q2 0
Financial Insu rance Non-finan cia l Covered bond
Sovere ign Sub -so ver eign Financial Insu rance
Sup ranationa l Structu red fina nce Sovere ign Sub -so ver eign
Note: Evol ution of outstanding ratings, indexed 3Q15=100. S&P, Moody's Structu red fina nce
and Fitch. Note: Evol ution of outs tanding rati ngs, indexed 3Q 15=100. All CRAs
Sources: RADAR, ESMA. excluding S&P, Moody's and Fitch. Sovereign on right hand axis.
: Sources: RADAR, ESMA.ESMA TRV Statistical Annex No. 2, 2020 20
A.98 A.99
Changes in outstanding structured finance ratings Changes in outstanding covered bond ratings
300 500
150 300
0
100
-150
-100
-300
Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Jul-20 -300
Jul-18 Nov-18 Mar-19 Jul-19 Nov-19 Mar-20 Jul-20
WD New Net change
New Withdrawn Net change
Note: Number of withdrawn and new rati ngs f or structur ed financ e
instruments. EU-27+UK ratings. Note: Number of withdrawn and new ratings for covered bonds.
Sources: RADAR, ESMA. Sources: RADAR, ESMA.
A.100
Share of outstanding ratings Big 3 CRAs vs. others
100
23
25
25
26
26
26
26
27
27
32
33
33
34
34
34
80
60
40
77
75
75
74
74
74
74
73
73
68
67
67
66
66
66
20
0
3Q1 6 1Q1 7 3Q1 7 1Q1 8 3Q1 8 1Q1 9 3Q1 9 1Q2 0
Big 3 Other CRA s
Note: Share of outst andi ng rati ngs from S&P, Moody's and Fitch, and
ratings from all other CRAs, in %.
Sources: RADAR, ESMA.
Financial benchmarks
A.101 A.102
EURIBOR rates IRSs linked to EONIA and Euribor by maturity
0 90
Trillions
80
-0.1
70
-0.2
60
-0.3 50
40
-0.4
30
-0.5
20
-0.6 10
-0.7 0
Jun-19 Sep -19 Dec-19 Mar-20 Jun-20 EONIA EURIB OR
1M 3M 12M Before end -2021 afte r en d-2021
Note: EURIBOR fixing for 3, 6 and 12 month maturities. Note: Gorss notional amount of IRS outstanding referencing EONIA, EONIA
Sources: EMMI, ESMA. SWAP rate and EURIBOR, by maturities. as of 27 March 2020, EUR tn.ESMA TRV Statistical Annex No. 2, 2020 21
A.103 A.104
IRDs linked to reference rates Number of banks contributing to €STR
35 160 40
30 140 35
120
25 30
100
20 25
80
15 20
60
10
40
15
5 20 10
0 0 5
FedFunds Other EEA Other TC SOFR LIBOR
IBORs BMs (RHS) 0
Before end -2021 afte r en d-2021 Oct-19 Dec-19 Feb-20 Apr-20 Jun-20
Note:Gorss notional amount of IRS outstanding r eferencing benchm arks, by Number of active banks
maturities. Other EEA i ncludes NIBOR, PRIBOR, STIBOR, WIBOR and
BUBOR, other Third c ountriy benc hmarks include BBSW, CDOR, JIBAR, Note: Number of banks reporting transactions before trimming
TIBOR, TELBOR and MOSPRIM. As of 27 March 2020, EUR tn. Sources: ECB, ESMA.
Sources: TRs, ESMA
A.105 A.106
€STR rate €STR volumes
70 700
Thousands
-0.48 60 600
50 500
-0.52
40 400
-0.56 30 300
20 200
-0.6
Oct-19 Dec-19 Feb-20 Apr-20 Jun-20 10 100
Rate at 25th percentile of volume 0 0
Rate at 75th percentile of volume Oct-19 Dec-19 Feb-20 Apr-20 Jun-20
Volume-weighted trimmed mean rate
Total volume Number of transactions (rhs)
Note: Rates at the 25th and 75th percentiles of total volumes as well as the
trimmed one, after removing the top and bottom 25% and calculating the Note: Total nominal value of transactions before trimming, in EUR bn. Number
mean of the remaining 50% of the volume-weighted distribution of rates. of transactions before trimming.
Sources: ECB ESMAESMA TRV Statistical Annex No. 2, 2020 22
Asset management
Fund industry
A.107 A.108
Fund performance Fund volatility
A.109 A.110
Entities authorised under UCITS Share of entities authorised under UCITS by country
1,400 30 Others
Sweden 28%
20 3%
1,380
Poland
10 4%
1,360
0 Ireland
1,340 8%
-10
1,320
-20 France
Spain 21%
1,300 -30 9%
4Q14 4Q15 4Q16 4Q17 4Q18 4Q19
Newly authorised entities Withdrawn entities
Number of entities United
Note: Number of entities authorised under the UCITS Directive by national Kingdom Luxembourg
competent authorities of the Member States and notified to ESMA. Newly 15%
12%
authorised entities and withdrawn entities on the right axis.
Note: Number of entities authorised under the UCITS Directive by national
Sources: ESMA Registers.
competent authorities and notified to ESMA, in %.
Sources: ESMA Registers.
A.111 A.112
Entities authorised under AIFMD Share of entities authorised under AIFMD by country
3,000 200 Others
Sweden 25%
2,750 3%
150 Ireland
4%
2,500
100 Germany
2,250 5%
50 United
2,000 Kingdom
26%
0
1,750
Luxem
bourg
1,500 -50 10%
4Q14 4Q15 4Q16 4Q17 4Q18 4Q19
Newly authorised entities Withdrawn entities Spain
Number of entities 10%
Note: Number of entities authorised under AIFMD by national competent France
authorities of the Member States and notified to ESMA. Newly authorised 17%
entities and withdrawn entities on the right axis. Note: Number of entities authorised under AIFMD by national competent
Sources: ESMA Registers. authorities and notified to ESMA, in %.
Sources: ESMA Registers.ESMA TRV Statistical Annex No. 2, 2020 23
A.113 A.114
Assets by market segment NAV by legal form
4.5 18
4.0 16
3.5 14
3.0 12
2.5
10
2.0
8
1.5
6
1.0
4
0.5
2
0.0
May-18 Sep -18 Jan-19 May-19 Sep -19 Jan-20 May-20 0
Bon d Equ ity HF 1Q1 5 1Q1 6 1Q1 7 1Q1 8 1Q1 9 1Q2 0
Mixed Other Real estate Non-UCITS UCITS
Note: AuM of EA funds by fund type, EUR tn. HF=Hedge funds. Note: NAV of EU28 funds, EUR tn.
Sources: ECB, ESMA. Sources: EFAMA, ESMA.
A.115 A.116
NAV by fund market segment Leverage by market segment
4.0 1.45
3.5 1.40
1.35
3.0
1.30
2.5
1.25
2.0
1.20
1.5
1.15
1.0 1.10
0.5 1.05
0.0 1.00
May-18 Sep -18 Jan-19 May-19 Sep -19 Jan-20 May-20 May-18 Sep -18 Jan-19 May-19 Sep -19 Jan-20 May-20
Bon d Equ ity HF
Bon d Equ ity HF Mixed Other Real estate
Mixed Other Real estate Note: Leverage of EA investm ent funds by fund type computed as the
Note: NAV of EA investment funds by fund type, EUR tn. HF=hedge funds. AuM/NAV ratio.
Sources: ECB, ESMA. Sources: ECB, ESMA.
A.117 A.118
Fund flows by fund type Fund flows by regional investment focusESMA TRV Statistical Annex No. 2, 2020 24
A.119 A.120
Bond fund flows by regional investment focus Equity fund flows by regional investment focus
A.121 A.122
Net flows for bond funds Net asset valuation
1,000 14
750 12
500 10
250 8
0 6
-250 4
-500 2
-750 0
3Q14 2Q15 1Q16 4Q16 3Q17 2Q18 1Q19
AuM (rhs) Capital flows Valuation effect
Note: Net valuation effect related to the AuM of EA investment funds,
computed as the intraperiod change in AuM, net of flows received in the
respective period. Capital flows and valuation effects in EUR bn. AuM
expressed in EUR tn.
Sources: ECB, ESMA.
A.123 A.124
Liquidity risk profile of EU bond funds Cash as percentage of assetsESMA TRV Statistical Annex No. 2, 2020 25
A.125 A.126
Credit quality of bond funds’ assets Maturity of EU bond funds’ assets
Money market funds
A.127 A.128
MMF performance MMF flows by domicile
A.129 A.130
MMF flows by geographical focus Assets and leverage
1.4 1.04
1.2
1.03
1.0
0.8
1.02
0.6
0.4
1.01
0.2
0.0 1.00
1Q1 5 1Q1 6 1Q1 7 1Q1 8 1Q1 9 1Q2 0
AuM NAV
Levera ge ( rhs) 5Y- MA (rhs)
Note: NAV and AuM of EA MMFs, EUR tn. Lev erage c omputed as the
AuM/NAV ratio. 5Y-MA=five-year moving average of the leverage ratio.
Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 2, 2020 26
A.131 A.132
MMF maturity MMF liquidity
80 60
70
50
60
40
50
30
40
30 20
20 10
10
0
0 May-18 Sep -18 Jan-19 May-19 Sep -19 Jan-20 May-20
May-18 Sep -18 Jan-19 May-19 Sep -19 Jan-20 May-20 Daily li quidity Weekly liq uidity
WAM WAL Note: Daily and weekly liquidity includes all assets maturing overnight and
Note: Weighted average maturity (WAM) and weighted average life (WAL) of shares by AAA MMFs, securities issued by highly rated s overeigns with a
Europe-domiciled MMFs, in days. Aggregation carried out by wei ghti ng maturity of l ess than one year, in % of total assets. Aggregati on c arried out
individual MMFs' WAM and WAL by AuM. using individual Europe-domiciled MMF data weighted by AuM.
Sources: Fitch Ratings, ESMA. Sources: Fitch Ratings, ESMA.
Alternative funds
A.133 A.134
Hedge fund returns Hedge fund performance by strategy
30 10
20 5
10
0
0
-5
-10
-10
-20
-15
-30
-40 -20
FI
Multi
HF
RV
Macro
Distress
LS
Event
Arb
CTA
May-18 Sep -18 Jan-19 May-19 Sep -19 Jan-20 May-20
Corrido r 2n d/9 8th per c. Median
Corrido r 1st/3r d qu art. 3Q1 9 4Q1 9 1Q2 0 2Q2 0
Note: EU-domiciled hedge fund m onthly returns , in %. The graph s hows the Note: Growth of hedge fund performance indices by strategy: hedge fund
returns' median, the di fference between the returns c orresponding to the 2nd index (HF), arbitr age (Arb), commodity trading advisor (CTA), distress ed debt,
and 98th percentiles and the differenc e betw een the retur ns c orresponding to event driven, fixed i ncome (FI), long/short equity (LS), macr o, multi-strategy,
the 1st and 3rd quartiles. relative value (RV), in %.
Sources: Refinitiv Lipper, ESMA. Sources: Eurekahedge, ESMA.
A.135 A.136
Fund flows by domicile Assets and leverage
600 1.5
500
1.4
400
1.3
300
1.2
200
1.1
100
0 1.0
May-18 Sep -18 Jan-19 May-19 Sep -19 Jan-20 May-20
AuM NAV
Levera ge ( rhs) 1Y- MA (rhs)
Note: NAV and AuM of EA hedge funds , EUR bn. Lev erage c omputed as the
AuM/NAV ratio. 1Y-MA=one-year moving average for the leverage ratio.
Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 2, 2020 27
A.137 A.138
Alternative fund flows by geographical focus Direct and indirect property fund flows
68
41
14
-13
-40
Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19
Direct Indirect
Note: Two-month cumulative flows for direct and indirect EU property funds.
Indirect property funds invest in securities of real estate companies, inlcuding
Real Estate Investment Trusts (REITs).
Sources: Morningstar, ESMA.
Exchange-traded funds
A.139 A.140
Returns Volatility
A.141 A.142
NAV and number by domicile NAV by asset typeESMA TRV Statistical Annex No. 2, 2020 28
A.143 A.144
Tracking error Flows by domicile
A.145 A.146
Assets of leveraged European ETFs Average beta values for European ETFs
10 80
8
60
6
40
4
20
2
0 0
2012 2013 2014 2015 2016 2017 2018 2019
Leveraged (short) - assets Leveraged (long) - assets
Number of leveraged ETFs
Note: Total assets of leveraged long and leveraged short ETFs with primary
listings in Europe, in EUR bn and total number of products (rhs), in thousand.
Sources: ETFGI, ESMA
A.147 A.148
Assets of European ETFs by replication method Flows into European ETFs by replication method
600 1200 120
500 100
80
400 800
60
300
40
200 400
20
100 -
0 0 (20)
2012 2013 2014 2015 2016 2017 2018 2019 2012 2013 2014 2015 2016 2017 2018 2019
Physical - assets Synthetic - assets
Physical net flows Synthetic net flows
Physical - number (rhs) Synthetic - number (rhs)
Note: Total assets of physical and synthetic ETFs with primary listings in Note: Net flows of physical and synthetic ETFs with primary listings in Europe,
Europe, in EUR bn and total number of products (rhs). in EUR bn.
Sources: ETFGI, ESMA Sources: ETFGI, ESMAESMA TRV Statistical Annex No. 2, 2020 29
Consumers
Investment resources available to households
A.149 A.150
Disposable income Household saving and investment rates
4 14
12
3
10
8
2
6
4
1
2
0 0
4Q14 4Q15 4Q16 4Q17 4Q18 4Q19 1Q15 1Q16 1Q17 1Q18 1Q19 1Q20
Saving rate Investment rate
Disposable income 5Y-MA 5Y-MA saving 5Y-MA investment
Note: Annualised growth rate of household gross disposable income adjusted Note: EA household annual saving and investment rates, based on four-
for changes in pension entitlements for 16 EU27 countries (AT, BE, CZ, DE, quarter cumulated transactions, in %. 5Y-MA saving=five-year moving
DK, ES, FI, FR, IE, IT, NL, PL, PT, RO, SE and SI), in %. 5Y-MA=five-year average of the saving rate. 5Y-MA investment=five-year moving average of
moving average of the growth rate. the investment rate.
Sources: Eurostat, ESMA. Sources: ECB, ESMA.
A.151 A.152
Investor sentiment Growth rates in financial assets
60 15
40
10
20
5
0
0
-20
-40 -5
-60 -10
-80
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 -15
EA institutional current EA retail current 1Q15 1Q16 1Q17 1Q18 1Q19 1Q20
EA institutional future EA retail future Currency and deposits Debt securities
Equities IF shares
Note: Sentix Sentiment Indicators for the EA retail and institutional investors on a Note: Quarterly asset growth rates of financial assets held by EU28
ten-year horizon. The zero benchmark is a risk-neutral position. households, in %. IF shares=investment fund shares.
Sources: Refinitiv Datastream, ESMA. Sources: ECB, ESMA.
Asset allocation by retail investors
A.153 A.154
Household assets to liabilities ratio Household financial assets by class
40 350 40 30
35
29
345 30
30
28
25 340 20
20 27
15 335 10
26
10
330
0 25
5 1Q15 1Q16 1Q17 1Q18 1Q19 1Q20
Other assets Pensions
0 325 Insurances IF shares
1Q15 1Q16 1Q17 1Q18 1Q19 1Q20
Equities Debt securities
Currency and deposits Securities (rhs)
Assets Liabilities Assets/liabilities ratio (rhs) Note: Financial assets of EU28 households, EUR tn, and share of securities
investments (debt securities, equities and IF shares) in total, in %. IF
Note: Financial assets and liabilities of EU28 households, EUR tn. shares=investment fund shares. Other financial assets=Insurance technical
Assets/liabilities ratio in %. reserves, financial derivatives, loans granted and other accounts receivable.
Sources: ECB, ESMA. Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 2, 2020 30
A.155 A.156
Share of securities investments in household assets Net financial asset flows
20 10
5
15
0
10
-5
1Q15 1Q16 1Q17 1Q18 1Q19 1Q20
5 Net financial liabilities Equity and IF shares
Other financial assets Debt securities
Currency and deposits Net financial flows
Note: Net acquisition of financial assets and net incurrence of liabilities for
EA households as a share of their gross disposable income adjusted for
0 changes in pension entitlements, based on a one-year rolling period, in %. IF
1Q15 1Q16 1Q17 1Q18 1Q19 1Q20 shares=investment fund shares. Other financial assets=Insurance technical
reserves, financial derivatives, loans granted and other accounts receivable.
Debt securities Equities IF shares Net financial flows=Net household lending (positive values) or borrowing
Note: Share of debt securities, equities and IF shares into the financial assets (negative values) to/from sectoral financial accounts. Liabilities mult iplied by -
of EU28 households, in %. IF shares=investment fund shares. 1 to present as outflows.
Sources: ECB, ESMA. Sources: ECB, ESMA.
A.157 A.158
Equity UCITS net flows by asset class Equity UCITS market size by management type
160 3 40
Thousands
120
30
2
80
20
40
1
10
0
-40 0 0
2Q16 2Q17 2Q18 2Q19 2Q20
ETFs
-80 Passive (excl. ETFs)
2Q16 2Q17 2Q18 2Q19 2Q20 Active (rhs)
Equity Bond Share passive and ETFs (rhs)
Mixed Alternative Note: EU equity UCITS market size by management type. All observations for
Money Market which information on fund value, fund performance, net flows, subscription
and redemption fees are available, EUR tn. Share of passive and ETFs in %,
Note: EU-27 UCITS annual netflows, retail investors, by assets class. right-hand size.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.
A.159 A.160
Equity UCITS net flows by management type Equity UCITS cumulative net flows
60 120 1000
Thousands
800
50
80
600
40
40 400
30 200
0 0
20
-200
-40
10
-400
0 -80 -600
2Q16 2Q17 2Q18 2Q19 2Q20 2Q16 2Q17 2Q18 2Q19 2Q20
Passive (excl. ETFs) ETFs Active (rhs) Active Passive (excl ETFs) ETFs
Note: EU equity UCITS annual net flows at quarterly frequencies, by Note: EU equity UCITS cumulative net flows by management type.
management type, EUR bn. Active right-hand size (rhs) axis. 2Q16=100.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.ESMA TRV Statistical Annex No. 2, 2020 31
Costs and performance
A.161 A.162
Portfolio returns Retail fund synthetic risk and reward indicator
1.5 7
6
1.0
5
0.5
4
0.0 3
-0.5 2
1
-1.0
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 0
Returns 5Y-MA Mar 18 Jul 18 Nov 18 Mar 19 Jul 19 Nov 19 Mar 20
Equity Bond
Note: Annual average gross returns for a stylised household portfolio, in %.
Asset weights, computed using ECB Financial Accounts by Institutional Mixed Alternative
Sectors, are 37% for collective investment schemes (of which 12% mutual Money Market
funds and 25% insurance and pension funds), 31% for deposits, 22% for Note:The calculated Synthetic Risk and Reward Indicator is based on ESMA
equity, 7% debt securities and 3% for other assets. Costs, fees and other SRRI guidelines. It is computed via a simple 5 year annualised volatility
charges incurred for buying, holding or selling these instruments are not taken measure which is then translated into categories 1-7 (with 7 representing
into account. higher levels of volatility).
Sources: Refinitiv Datastream, Refinitiv Lipper, ECB, ESMA. Sources: Refinitiv Lipper, ESMA.
A.163 A.164
Dispersion of returns all assets Net returns by asset class
30 16 30
20
10 8 15
0
-10 0 0
-20
2Q16 4Q16 2Q17 4Q17 2Q18 4Q18 2Q19 4Q19 2Q20
Bottom mid-tail 15 Core 50 -8 -15
2Q16 2Q17 2Q18 2Q19 2Q20
Top mid-tail 15 EU gross
EU net Bond Mixed Alternative
Note: Dispersion of net performances of EU UCITS, retail investors, adjusted Money Market Equity (rhs)
for total expense ratio and load fees, in %. Distribution represents selected EU
markets. Top mid-tail 15=distribution between the 75th and 90th percentile. Note: EU-27 UCITS evolution of gross annual performance, retail investors,
Bottom mid-tail 15=distribution between the 10th and 25th percentile. by assets class, %. Equity on the right hand side.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.
A.165 A.166
UCITS total cost dispersion by asset class Dispersion by absolute cost impact
2.5 1.8
1.6
2.5
2.0
1.5
1.0
0.5
0.0
EU average EU Member States
Note: Dispersion of total costs (ongoi ng costs , subscripti on and redemption fees) of UCITS funds,
computed as the difference between gross and net returns, by country, retail investors, %.
Sources: Refinitiv Lipper, ESMA.
2 1.4
1.2
1.5 1.0
0.8
1 0.6
0.4
0.5 0.2
0.0
0
2Q16 2Q17 2Q18 2Q19 2Q20 2Q16 2Q17 2Q18 2Q19 2Q20
EU-27 Equity Bond Mixed Alternative Money Market EU-27 average EU Member States
Note: EU-27 UCITS dispersion of total costs (ongoing costs, subscription and Note: EU-27 UCITS dispersion of total costs (ongoing costs, subscription and
redemption fees), computed as the difference between gross and net returns, redemption fees) of UCITS funds, computed as the difference between gross
per asset class, retail investors, %. and net returns, by country, retail investors, %.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.ESMA TRV Statistical Annex No. 2, 2020 32
A.167 A.168
Equity UCITS total costs by management type Equity UCITS net returns by management type
2 30
20
1.5
10
1
0
0.5
-10
0 -20
2Q16 2Q17 2Q18 2Q19 2Q20 2Q16 2Q17 2Q18 2Q19 2Q20
Active Passive ETFs Active Passive ETFs
Note: EU equity UCITS, evolution of total costs, ongoing costs (TER), Note: EU equity UCITS evolution of net annual performance, net of ongoing
subscription and redemption fees by management type, %. costs (TER), subscription and redemption fees by management tye, %.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.ESMA TRV Statistical Annex No. 2, 2020 33
Complaints
A.169 A.170
Total complaints Complaints data by type of firm
6,000 100 5,000
4,500
80 4,000
3,500
4,000 60 3,000
2,500
40 2,000
1,500
20 1,000
2,000 500
0 0
1Q18 3Q18 1Q19 3Q19 1Q20
0 Art3-exempt firm UCITS Manco
1Q18 3Q18 1Q19 3Q19 1Q20 MiFID IF Credit institution
Total with firm type reported
NCA Firms (rhs)
Note: Share of complaints for quarterly-reporting NCAs (n=17) received direct
Average total (rhs) from consumers and via firms by type of firm involved, excluding complaints
with firm type recorded, %. 'Total with firm type reported'=Number of
Note: Number of complaints recorded by quarterly-reporting NCAs (n=17) via complaints via these reporting channels excluding those with no firm type
given reporting channels. "NCA"=Reports lodged directly by consumers with recorded. 'MiFID IF'=MiFID investment firm. 'UCITS Manco'=UCITS
NCAs. "Firms"=Complaints recorded by NCAs via firms. "Average management company. 'Art3-exempt firm'=Firm exempt under Article 3 of
total"=average total number from 2Q17 to 2Q19. MiFID.
Sources: ESMA complaints database Sources: ESMA complaints database
A.171 A.172
Complaints by cause Complaints data by instrument
100 2,500 100 1,500
80 2,000 80
1,000
60 1,500 60
40 1,000 40
500
20 500 20
0 0
1Q18 3Q18 1Q19 3Q19 1Q20 0 0
1Q18 3Q18 1Q19 3Q19 1Q20
Withdrawals Unauth. bus.
Equities CFDs
General admin Fees/terms
Options/futures/swaps UCITS/AIFs
Appr/suit Info quality Structured securities Debt securities
Total with cause reported Total with instrument cited
Note: Share of complaints for quarterly-reporting NCAs (n=17) received direct Note: Share of complaints from quarterly-reporting NCAs (n=17) received
from consumers and via firms by underlying cause, excluding complaints with direct from consumer and via f irms by type of financial instrument, where
no cause recorded, %. 'Unauth. bus.'=Unauthorised business. none of the instruments listed was reported. 'Total with instrument
'Appr/suit'=Appropriateness or suitabilit y assessment. 'Info quality'=Qualit y or cited'=number of complaints via these reporting channels excluding those
lack of information. 'Total with cause reported'=Number of complaints via with instrument type not reported or reported as 'other' or 'N/A'. 'Total
these reporting channels including those with none of the listed causes complaints'=number of complaints via these reporting channel whether or not
recorded. further categorisation possible. 'CFDs''=Contracts for Differences.
Sources: ESMA complaints database Sources: ESMA complaints database
A.173
Complaints by MiFID II category
100 1,800
1,600
80 1,400
1,200
60
1,000
800
40
600
20 400
200
0 0
1Q18 3Q18 1Q19 3Q19 1Q20
Investment advice
Portfolio management
Execution of orders
Total with MiFID service reported
Note: Share of complaints for quarterly-reporting NCAs (n=17) received direct
from consumers and via firms recorded as associated with a given MiFID
service, excluding complaints with no such category recorded, all reporting
channels, %. 'Total with MiFID service reported'=Total complaints received
via these reporting channels recorded as associated with a MiFID service.
Sources: ESMA complaints databaseESMA TRV Statistical Annex No. 2, 2020 34 Market based finance Capital markets financing A.174 A.175 Total market financing Equity issuance by deal type A.176 A.177 Equity issuance by sector Corporate bond issuance and outstanding A.178 A.179 Corporate bond issuance by sector Securitised products issuance and outstanding
ESMA TRV Statistical Annex No. 2, 2020 35 A.180 A.181 MMFs and other financial institutions Non-bank wholesale funding SMEs A.182 A.183 SME trading volumes Share of SME trading volumes on Growth Markets A.184 A.185 Number of SME issuers by market type Secondary market liquidity of SME shares
ESMA TRV Statistical Annex No. 2, 2020 36
Market-based credit intermediation
A.186 A.187
Sovereign repo market specialness US shadow banking liabilities
A.188 A.189
MMFs and other financial institutions Financial market interconnectedness
A.190 A.191
Credit terms in SFT and OTC derivatives Securities financing conditions
3.3 3.2
3.2
3.1
3.1
3.0 3.0
2.9
2.9
2.8
2.7 2.8
1Q1 5 1Q1 6 1Q1 7 1Q1 8 1Q1 9 1Q2 0 1Q1 5 1Q1 6 1Q1 7 1Q1 8 1Q1 9 1Q2 0
Price te rms Non-pr ice terms Demand fo r fundin g Liq uidity and functio ning
Note: Wei ghted average of r esponses to the questi on: "Over the pas t thr ee Note: Weighted average of respons es to the questi ons "Ov er the pas t thr ee
months, how have terms offered as refl ected across the entire spectrum of months, how has demand for funding/how have liquidity and func tioni ng for all
EUR-denominated instrum ents in s ecurities financing and OTC derivatives EUR-denominated c ollater al types c hanged?" 1=decreas ed/deteriorated
transacti on ty pes changed?" 1=tightened considerably, 2=ti ghtened considerably, 2=decreas ed/deteriorated s omewhat, 3=remained basically
somewhat, 3=remained basically unchanged, 4= eased s omewhat, and unchanged, 4=increased/improved somew hat, and 5=increased/improv ed
5=eased considerably. considerably.
Sources: ECB, ESMA. Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 2, 2020 37
A.192 A.193
Sovereign repo market turnover Covered bond issuance and outstanding
300
250
200
150
100
50
0
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Vol ume 1M-MA 5Y- MA
Note: Repo transacti on vol umes ex ecuted through CCPs in sev en s overei gn
EUR repo markets (AT, BE, DE, FI, FR, IT and NL), EUR bn.
Sources: RepoFunds Rate, ESMA.ESMA TRV Statistical Annex No. 2, 2020 38
Sustainable finance
Green finance
A.194 A.195
Green bonds outstanding Green bond issuance
350 60 45
40
300 50
35
250
40 30
200 25
30
150 20
20 15
100
10
50 10
5
0 0 0
2Q15 2Q16 2Q17 2Q18 2Q19 2Q20 2Q15 2Q16 2Q17 2Q18 2Q19 2Q20
Public sector Private sector Private sector Public sector
Share private sector (rhs) 5Y-MA issuance
Note: Outstanding amount of green bonds in the EEA30 by sector, EUR bn, Note: Green bond gross issuance in the EEA30 by sector, EUR bn.
and share of private sector (rhs), in %. Sources: Refinitiv EIKON, ESMA.
Sources: Refinitiv EIKON, ESMA.
A.196 A.197
Green bonds outstanding from private sector Green bond credit quality
175 3.0
150 2.5 AAA
125
2.0 AA
100
1.5 A
75
1.0 BBB
50
25 0.5 High-yield
0 0.0 Non-ra ted
2Q15 2Q16 2Q17 2Q18 2Q19 2Q20
Non-financial sector Financial sector
% corp. bond mkt (rhs) 0 20 40 60 80 100
Note: Outstanding amount of corporate green bonds in the EEA30 by sector, Private Pub lic
EUR bn, and share in corporate bond market (rhs), in %.
Note: Outst andi ng am ount of green bonds in the EEA30 by credit rating and
Sources: Refinitiv EIKON, ESMA.
sector, EUR bn
Sources: Refinitiv EIKON, ESMA.
A.198 A.199
Green bond maturity buckets Maturity distribution of green and conventional bonds
350 100 %
90%
300
80%
250 70%
60%
200
50%
150 40%
30%
100
20%
50 10%
0%
Pub lic sector Private sector Conventional
0
201 4 201 5 201 6 201 7 201 8 201 9 202 0 gree n b onds gree n b onds corpora te bon ds
0-5 years 5-10 years 10-2 0 year s >2 0 years 0-5 years 5-10 years 10-2 0 year s >2 0 years
Note: Distribution of green bonds and c orporate bonds outs tanding in the
Note: Outst anding amount of green bonds in the EEA30 by maturity buck et,
EU by maturity bucket, in %.
EUR bn.
Sources: Climate Bonds Initiative, Refinitiv EIKON, ESMA.
Sources: Refinitiv EIKON, ESMA.ESMA TRV Statistical Annex No. 2, 2020 39
A.200 A.201
Sovereign green bond liquidity Green bond currencies
0.5
Eur o
0.4
EEA ex. Eu ro
0.3
British Pound
0.2
US Dol lar
0.1
Jun-17 Dec-17 Jun-18 Dec-18 Jun-19 Dec-19 Jun-20 Rest of the worl d
Conventional bonds Green bonds
Note: Average bid-ask spread for green bonds and other bonds issued 0 50 100 150 200 250 300
by the same sovereign issuer traded on EuroMTS, in bps. Note: Outstanding amount of green bonds in the EEA30 by currency, EUR bn.
Sources: MTS, ESMA. Sources: Refinitiv EIKON, ESMA.
A.202 A.203
ESG index performance ESG index risk-adjusted returns
120 30 40
115 25
30
110 20
105 15 20
100 10
10
95 5
90 0 0
85 -5
-10
80 -10
75 -15 -20
2014 2015 2016 2017 2018 2019 2020
70 EURO STOXX 50 EURO STOXX 50 - ESG
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Main index - risk-adjusted ESG index - risk-adjusted
Euro Stoxx 50 Euro Stoxx - ESG Leaders 50 Note: Annual returns of the EURO STOXX 50 and its ESG leaders subindice,
in %. Risk-adjusted returns, on rhs, measured as Sharpe ratios. Current year
Note: Euro Stoxx 50 ESG leaders and broader indices, indexed with data year-to-date.
01/06/2018=100. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.
Emissions trading
A.204 A.205
Emission allowance prices Emission allowance turnover
30 90
80
25
70
20 60
50
15
40
10 30
20
5
10
0 0
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
EUA 1Y-MA EUA 1Y-MA
Note: Daily settlement price of European Emission Allowances (EUA) on Note: Monthly turnover of European Emission Allowances (EUA) on European
European Energy Exchange spot market, in EUR/tCO2. Energy Exchange, in EUR mn.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 2, 2020 40
Financial innovation
Financial innovation
A.206 A.207
Funds with AI/FinTech investment focus Cloud services
12 800
10 600
8 400
6 200
4 0
2 -200
0 -400
Jun-18 Dec-18 Jun-19 Dec-19 Jun-20
Net flows (rhs) Total AuM
Note: Total AuM, EUR bn, and monthly net flows, EUR mn, for selected EU-
domiciled funds (n=32) whose name includes reference to AI, automation,
FinTech or robotics.
Sources: Morningstar Direct, ESMA
A.208 A.209
Type of impact of IT incidents on trade repositories Crypto-Asset market capitalisation
400
350
10%
300
250
200
28%
150
62% 100
50
0
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Bitcoin Mkt. Cap. Ethereum Mkt. Cap. Others Mkt. Cap.
Note: Market capitalisation of Bitcoin, Ethereum and other crypto-currencies, in
Data availability Data integrity/accuracy Data confidentiality EUR bn.
Note: ESMA analysis of impact type of IT incidents reported for trade
repositories in the EU, 2018-19
Sources: ESMA
A.210 A.211
Crypto-Asset prices Crypto-Asset price volatility
12 0.8 250
10 200
0.6
150
8
100
6 0.4
50
4
0.2 0
2 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Bitcoin Ethereum
EUR/USD Gold
0 0.0 Note: Annualised 30-day historical volatility of EURO STOXX 50, EUR/USD spot
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20 rate returns and USD-denominated returns for Bitcoin, Ethereum and gold, in %.
Bitcoin Ethereum (rhs) Sources: Refinitiv Datastream, ESMA.
Note: Prices of selected crypto-assets, EUR thousand.ESMA TRV Statistical Annex No. 2, 2020 41
A.212 A.213
Bitcoin futures markets Root cause of IT incidents on trade repositories
10 40
30 5% 3%
8
5%
20
6
20%
10
4
0 17%
2
-10
11%
0 -20
Jun-18 Oct-18 Feb-19 Jun-19 Oct-19 Feb-20 Jun-20
Configuration error Human/procedural error
CBOE futures CME futures Monthly change Infrastructure failure / perf. IT operations
Note: Total open interest in Bitcoin futures, in thousand of contracts, and change Release deployment Software development
in monthly average total open interest, in %. Note: ESMA analysis of root cause of IT incidents reported for trade
repositories in the EU 2018-19. None of the incidents were cliassified in the
remaining category of IT security. "Perf."=performance.
Sources: ESMAYou can also read
