ESMA publishes first EU derivatives report
18 October 2018 Paris
Image: Shutterstock
Trade repositories reported a total of 74 million open transactions at the end of 2017, amounting to a gross notional outstanding of around €660 trillion, according to ESMA’s first annual statistic report on the EU’s derivatives markets.
These statistics included both over the counter (OTC) and exchange traded derivatives.
The report, based on data submitted under the European Markets and Infrastructure Regulation (EMIR), provides the first comprehensive market-level view of the EU’s derivatives markets.
It includes sections on market monitoring providing an analysis of structures and trends in the European derivatives markets, building on the indicators developed for risk monitoring; statistical methods dedicated to topical issues in developing and exploring derivatives data and derivatives market statistics.
In notional terms, interest rate derivatives dominated the market, with 69 percent of the total amount outstanding, followed by currency derivatives, at 12 percent, while all other asset classes, that is equity, credit and commodity derivatives, account for less than 5 percent of the total amount outstanding.
Central clearing rates for new transactions have been increasing significantly, demonstrating the effectiveness of the EMIR clearing obligation.
For all outstanding contracts in Q4 17, central clearing rates were around 27 percent (25 percent in the first quarter of 2017) for credit derivatives and 58 percent (40 percent in the first quarter of 2017) for interest rate derivatives, including contracts concluded before the clearing obligation came into force.
Steven Maijoor, chairman of ESMA, said: “The data gathered by ESMA as part of its EMIR responsibilities provides us with an unprecedented level of detail on derivatives transactions and exposures.”
He added: “ESMA’s analysis of this data provides, for the first time, new information about this market which will facilitate oversight and enhance supervisory convergence, thereby contributing to orderly markets and financial stability in the EU.”
These statistics included both over the counter (OTC) and exchange traded derivatives.
The report, based on data submitted under the European Markets and Infrastructure Regulation (EMIR), provides the first comprehensive market-level view of the EU’s derivatives markets.
It includes sections on market monitoring providing an analysis of structures and trends in the European derivatives markets, building on the indicators developed for risk monitoring; statistical methods dedicated to topical issues in developing and exploring derivatives data and derivatives market statistics.
In notional terms, interest rate derivatives dominated the market, with 69 percent of the total amount outstanding, followed by currency derivatives, at 12 percent, while all other asset classes, that is equity, credit and commodity derivatives, account for less than 5 percent of the total amount outstanding.
Central clearing rates for new transactions have been increasing significantly, demonstrating the effectiveness of the EMIR clearing obligation.
For all outstanding contracts in Q4 17, central clearing rates were around 27 percent (25 percent in the first quarter of 2017) for credit derivatives and 58 percent (40 percent in the first quarter of 2017) for interest rate derivatives, including contracts concluded before the clearing obligation came into force.
Steven Maijoor, chairman of ESMA, said: “The data gathered by ESMA as part of its EMIR responsibilities provides us with an unprecedented level of detail on derivatives transactions and exposures.”
He added: “ESMA’s analysis of this data provides, for the first time, new information about this market which will facilitate oversight and enhance supervisory convergence, thereby contributing to orderly markets and financial stability in the EU.”
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