Chart TRV Statistical Annex - ESMA...ESMA Report on Trends, Risks and Vulnerabilities No. 1, 2020 19 February 2020 ESMA50-165-1041 ESMA TRV Statistical Annex No. 1, 2020 2 Table of

Chart

TRV Statistical Annex

ESMA Report on Trends, Risks and Vulnerabilities No. 1, 2020

19 February 2020

ESMA50-165-1041

ESMA TRV Statistical Annex No. 1, 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 32

Market based finance 34

Capital markets financing 34

Market-based credit intermediation 35

Sustainable finance 37

Green finance 37

Emissions trading 38

Financial innovation 39

Financial innovation 39


Market environment

A.1 A.2

Market price performance Market volatilities

A.3 A.4

Economic policy uncertainty EUR exchange rates

A.5 A.6

Exchange rate implied volatilities Market confidence

85

95

105

115

125

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19Equities CommoditiesCorporate bonds Sovereign bonds

Note: Return indices on EU equities (Datastream regional index), global

commodities (S&P GSCI) converted to EUR, EA corporate and sovereignbonds (iBoxx EUR, all maturities). 01/09/2017=100.Sources: Refinitiv Datastream, ESMA.

0

5

10

15

20

25

30

35

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19

Equities Commodities

Corporate bonds Sovereign bondsNote: Annualised 40D volatility of return indices on EU equities (Datastream

regional index), global commodities (S&P GSCI) converted to EUR, EAcorporate and sovereign bonds (iBoxx EUR, all maturities), in %.Sources: Refinitiv Datastream, ESMA.

0

5

10

15

20

25

0

100

200

300

400


EU US Global VSTOXX (rhs)Note: Economic Policy Uncertainty Index (EPU), developed by Baker et al.

(www.policyuncertainty.com), based on the frequency of articles in EUnewspapers that contain the following triple: "economic" or "economy","uncertain" or "uncertainty" and one or more policy-relevant terms. Globalaggregation based on PPP-adjusted GDP weights. Implied volatility of EURO

STOXX 50 (VSTOXX), monthly average, on the right-hand side.Sources: Baker, Bloom, and Davis 2015; Refinitiv Datastream, ESMA.

85

90

95

100

105

110

115


USD JPYGBP CHFEmerging 5Y-MA USD

Note: Spot exchange rates to Euro. Emerging is a weighted average (2016

GDP) of spot exchange rates for CNY, BRL, RUB, INR, MXN, IDR and TRY.01/09/2017=100. Increases in value represent an appreciation of EUR. 5Y-MAUSD=five-year moving average of the USD exchangerate.Sources: ECB, IMF, ESMA.

0

2

4

6

8

10

12

14

16


EUR-USD EUR-GBP

GBP-USD 5Y-MA EURNote: Implied volatilities for 3M options on exchange rates, in %. 5Y-MA EUR is

the five-year moving average of the implied volatility for 3M options on EUR-USD exchange rate.Sources: Refinitiv EIKON, ESMA.

0

10

20

30

40

Nov-17 Mar-18 Jul-18 Nov-18 Mar-19 Jul-19 Nov-19

Overall fin. sector Fin. intermediation

Ins. and pension Auxiliary activities

5Y-MA overallNote: European Commission survey of EU financial services sector and

subsectors (NACE Rev.2 64, 65, 66). Confidence indicators are averages of thenet balance of responses to questions on development of the business situationover the past three months, evolution of demand over the past three monthsand expectation of demand over the next three months, in % of answers

received. Fin.=financial. Ins.=insurance.Sources: European Commission, ESMA.


A.7 A.8

Portfolio investment flows by asset class Investment flows by resident sector

A.9 A.1

Institutional investment flows

-150

-100

-50

0

50

100

150

200

Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19Equity assets Equity liabilitiesLong-term debt assets Long-term debt liabilitiesShort-term debt assets Short-term debt liabilitiesTotal net flows

Note: Balance of Payments statistics, financial accounts, portfolio investments

by asset class, EUR bn, Assets=net purchases (net sales) of non-EA securitiesby EA investors. Liabilities=net sales (net purchases) of EA securities by non-EA investors. Total net flows=net outflows (inflows) from (into) the EA.Sources: ECB, ESMA.

-300

-150

0

150

300

450

600

750

900

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19Govt. & househ. Other financeIns. & pensions MFINFC 1Y-MA

Note: Quarterly Sector Accounts. Investment flows by resident sector in equity

(excluding investment fund shares) and debt securities, EUR bn. 1Y-MA=one-year moving average of all investment flows.Sources: ECB, ESMA.

-200

-100

0

100

200

300

400

500

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Real estate funds OtherInsurance & pensions Hedge fundsEquity funds Bond funds1Y-MA

Note: EA institutional investment flows by type of investor, EUR bn.

Other=financial vehicle corporations, mixed funds, other funds. 1Y-MA=one-year moving average of all investment flows.Sources: ECB, ESMA.


Securities markets

Equity markets A.10 A.11

Price performance Price performance of national indices

A.12 A.13

Equity prices by sector Price-earnings ratios

A.14 A.15

Return dispersion Implied volatility

80

90

100

110

120

130


EU US JP

Note: Datastream regional equity indices for the EU (in EUR), the US (inUSD) and Japan (in JPY). 01/12/2017=100.Sources: Refinitiv Datastream, ESMA.

70

80

90

100

110

120


EURO STOXX 50 CAC 40DAX FTSE 100FTSE MIB IBEX

Note: National equity indices from selected EU members. 01/12/2017=100.Sources: Refinitiv Datastream, ESMA.

60

70

80

90

100

110

120

130

140


Non-financia ls Banks

Insurance Financial services

Note: STOXX Europe 600 sectoral return indices. 01/12/2017=100.Sources: Refinitiv Datastream, ESMA.

0

5

10

15

20

25

30


US EA

10Y-AVG US 10Y-AVG EA

Note: Price-earning ratios based on average infl ation-adjus ted earni ngs fromthe previous 10 years (cyclically adjusted price-earning ratios). Averagescomputed from the most recent data point up to 10 years before.

Sources: Refinitiv Datastream, ESMA.

-10

-8

-6

-4

-2

0

2

4

6

8


Min Median Max

Note: Dispersion of the weekly returns on the main equity indices in the EU.Sources: Refinitiv Datastream, ESMA.

0

5

10

15

20

25

30

35

40


VIX (US) VSTOXX

5Y-MA VSTOXX

Note: Impli ed vol atility of EURO STOXX 50 (VST OXX) and S&P 500(VIX), in %.Sources: Refinitiv Datastream, ESMA.


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

0

10

20

30

40

50


VSTOXX 1M VSTOXX 3M

VSTOXX 12M VSTOXX 24M

Note: EURO STOXX 50 implied volatilities, measured as price indices, in %.Sources: Refinitiv Datastream, ESMA.

0.4

0.5

0.6

0.7

0.8

0.9

1.0


Banks Financial services

Insurance Non-financia l corporation

Note: Correlations betw een daily returns of the STOXX Europe 600 andSTOXX Europe 600 sectoral indices. Calculated over 60D rolling windows.Sources: Refinitiv Datastream, ESMA.

0.00

0.02

0.04

0.06

0.08

0.10

0.12

0.14

0.16

0.18


Illiquid ity index 2Y-MA

Note: Composite indicator of illiquidi ty in the equity market for the currentSTOXX Europe Large 200 constituents, computed by applying the principalcomponent methodology to six i nput liquidity measures (Amihud illiquidity

coefficient, bi d-ask spread, Hui-Heubel ratio, turnover value, inverse turnoverratio and market efficiency coefficient). The indicator r ange is between 0(higher liquidity) and 1 (lower liquidity).Sources: Refinitiv Datastream, ESMA.

0.00

0.02

0.04

0.06

0.08

0.10

0.12


Bid-ask spread 40D-MA 5Y-MA

Note: Liquidity measure as median of the bid-ask price percentage differ encefor the current EU constituents of STOXX Europe Large 200, in %.Sources: Refinitiv Datastream, ESMA.

0

100

200

300

400

500

0

2

4

6

8

10

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

Outstanding non-EA Outstanding EA

Non-EA issuance (rhs) EA issuance (rhs)

5Y-MA issuance (rhs)Note: Quarterly soverei gn bond issuance in the EU (rhs), EUR bn, andoutstanding amounts, EUR tn.Sources: Refinitiv EIKON, ESMA.

0

100

200

300

400

500

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

AAA AA+ to AA-

Below AA- Avg. rating (rhs)

Note: Quarterly sovereign bond issuance i n the EU by rating category, EURbn. Avg. rating=weighted average rating computed as a one-year movingaverage of ratings converted into a numerical scale (AAA=1, AA+=2, etc.).

Sources: Refinitiv EIKON, ESMA.

AAA

AA

A+

A-


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

0

25

50

75

100

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

AAA AA A BBB BB and lower

Note: Outstandi ng amount of sovereign bonds in the EU as of issuance dateby rating category, in % of the total.Sources: Refinitiv EIKON, ESMA.

-1.0

-0.5

0.0

0.5

1.0


Top 25% Core 50%

Bottom 25% Median

Note: Dispersion of the correlation between daily returns of nati onal equityindices and nati onal soverei gn debt return index, for 17 countries in the EU,over 60D rolling windows.


-240

-180

-120

-60

0

60

120

180

-80

-60

-40

-20

0

20

40

60

80

AT

BE

BG

CY

CZ

DE

DK

EE

ES FI

FR

GB

GR

HR

HU IE IT LT

LU

LV

MT

NL

PL

PT

RO

SE SI

SK

EU

28

1Y high 1Y low 4Q19

Note: Quarterly net issuance of EU sovereign debt by country, EUR bn. Netissuance calculated as the difference betw een new issuance over the quarterand outstanding debt maturing over the quarter. Highest and lowest quarterly

net issuance in the past year are reported. EU total on right-hand scale.Sources: Refinitiv EIKON, ESMA.

-1

0

1

2

3

4


DE BE ESFR IT SEGB 5Y-MA

Note: Yi elds on 10Y sovereign bonds, sel ected EU members, in %. 5Y-MA=five-year moving average of EA 10Y bond indices computed byDatastream.


0

1

2

3

4

5

6


PT IE IT ES GR

Note: Selected 10Y EA sovereign bond risk premia (vs. DE Bunds), in %.Sources: Refinitiv Datastream, ESMA.

-2

-1

0

1

2

3

4

5

6


Top 25% Core 50%

Bottom 25% Median

Note: Dispersion of yields on 10Y sovereign bonds of 17 EU countries, in %.Sources: Refinitiv Datastream, ESMA.


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

0

2

4

6

8

10

12

14

16

18


DE BE ES

FR IT SE

GB 5Y-MA

Note: Annualised 40D volatility of 10Y sovereign bonds , selec ted EUmembers, in %. 5Y-MA=five-year moving average of EA 10Y bond indicescomputed by Datastream.


-1.0

-0.5

0.0

0.5

1.0


Top 25% Core 50%

Bottom 25% Median

Note: Dispersion of correlations betw een 10Y DE Bunds and other EUcountries' sovereign bond redemption yields over 60D rolling windows.Sources: Refinitiv Datastream, ESMA.

0

10

20

30

40

50

60


EU US 5Y-MA EU

Note: Datastream CDS sovereign indices (5 years, mid-spread).Sources: Refinitiv Datastream, ESMA.

0

10

20

30

40

50

60

0

2

4

6

8

10

12

14

16


DE ES FR

IE IT PT

EU28 (rhs)

Note: Val ue of outstanding net notional soverei gn CDS for selected countries,in USD bn.Sources: DTCC, ESMA.

0

1

2

3

4

5

6

7

8

9

10


Bid-ask spread 1Y-MA

Note: Bid-ask spread as weighted average of bid-ask spreads throughout amonth wei ghted by tr ading volume across 10 EU domestic markets (AT, BE,DE, ES, FI, FR, IE, IT, NL and PT) and Euro MTS, in bps.

Sources: MTS, ESMA.

0.0

0.2

0.4

0.6

0.8


Euro MTS Domestic MTS

1Y-MA Domestic 1Y-MA Euro MTS

Note: Composite indicator of market liquidity in the sovereign bond market forthe domestic and Euro MTS platforms, computed by applying the principalcomponent methodology to four input liquidity measures (Amihud illiquiditycoefficient, Bid-ask spread, Roll illiquidity measure and Turnover). Theindicator range is between 0 (higher liquidity) and 1 (lower liquidity).Sources: MTS, ESMA.


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

0

1

2

3

4

5


Liquidity indicator 40D-MA 5Y-MA

Note: Li quidity measured as median across countries of the bid-ask yieldsdifference for 10Y sovereign bonds, in bps. 21 EU countries are included.Sources: Refinitiv EIKON, ESMA.

0

5

10

15

20

25

30

35

40

45

50


Top 25% Core 50%

Bottom 25% Median

Note: Dispersion of li quidity measured as median across countries of the bid-ask yields difference for 10Y sovereign bonds, in bps. 21 EU countries areincluded.

Sources: Refinitiv EIKON, ESMA.

0

20

40

60

80

100

120


DE ES FR IE IT PT

Note: Difference between 5Y CDS spreads under the 2014 ISDA definition(where debt redenomination is a credit event), and under the ISDA definition(where it is not), in bps.


0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4


DE FR IT

Note: One-month moving averages of the Hui-Heubel illiqui dity indicator forselected 10Y sovereign bond futures, in %.Sources: Refinitiv Datastream, ESMA.

-0.5

0.0

0.5

1.0

1.5

2.0

2.5


A AA AAA BBB

Note: Markit iBoxx euro corporate bond indices for all maturities, in %. 5Y-MA=five-year moving average of all indices.Sources: Refinitiv Datastream, ESMA.

0

25

50

75

100

125

150

175

200

225


AAA AA A BBB

Note: EA corporate bond option-adjusted spreads by rating, in bps.Sources: Refinitiv Datastream, ESMA.


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

-250

-200

-150

-100

-50

0

50

0

50

100

150

200

250

300

350

4Q19 4Q20 4Q21 4Q22 4Q23 4Q24

Non-financia ls Financials

1Y-change fin (rhs) 1Y-change non-fin (rhs)

Note: Quarterly redemptions over 5Y-horizon by EU private financi al and non-financi al corporates, EUR bn. 1Y-change=dif ference between the sum of thisyear's (four last quarters) and last year's (8th to 5th last quarters)

redemptions.Sources: Refinitiv EIKON, ESMA.

0

25

50

75

100

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19


Note: Outstandi ng am ount of cor porate bonds in the EU as of issuance dateby rating category, in % of the total.Sources: Refinitiv EIKON, ESMA.

0

200

400

600

800

1,000

1,200

0

10

20

30

40

50

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

Outstanding (rhs) Issuance

5Y-MA issuance

Note: Quarterly hybrid capital instruments issuance in the EU, EUR bn, andoutstanding amounts (rhs), EUR tn. According to T homson Reuters EIKONclassification, hybrid capital refers to bonds having the qualiti es of both an

interest-bearing security (debt) and equity.Sources: Refinitiv EIKON, ESMA.

-1.0

-0.5

0.0

0.5

1.0


Top 25% Core 50%

Bottom 25% Median

Note: Dispersion of correlati on between Barclays Aggregate for cor porate and10Y sovereign bond redemption yields for AT, BE, ES, FI, FR, IT and NL.Sources: Refinitiv Datastream, ESMA.

0.0

0.2

0.4

0.6

0.8

1.0

0.0

0.1

0.2

0.3

0.4

0.5


Bid-ask 1Y-MA Amihud (rhs)

Note: Markit iBoxx EUR Corporate bond index bi d-ask spread, in %,computed as a one-month moving average of the iBoxx components in thecurrent composition. 1Y-MA=one-year m oving average of the bid-ask spread.

Amihud liquidity coefficient i ndex between 0 and 1. Highest value indicatesless liquidity.Sources: IHS Markit, ESMA.

0.0

0.5

1.0

1.5

2.0

0

2

4

6

8

10

12

14

16

18


Turnover Average transaction size (rhs)

Note: Average transacti on size for the corporate bond segment as the ratio ofnominal amount of settlement ins tructions to number of settled ins tructions, inEUR mn. Turnover is the one-month movi ng average of the rati o of trading

volume over outstanding amount, in %.Sources: IHS Markit, ESMA.


Credit quality A.46 A.47

SFI ratings issued by collateral type SFI ratings outstanding by collateral type

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

0

2,000

4,000

6,000

8,000

200

600

1,000

1,400

1,800

2,200

Jun-17 Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19

ABS CDO CMBS OTH RMBS

Note: Number of rated structured finance instruments by asset class.ABS=Asset-backed securities; CDO=Collateralised debt obligations;CMBS=Commercial mortgage-backed securities; OTH=Other;RMBS=Residential mortgage-backed securities.Sources: RADAR, ESMA.

0%

20%

40%

60%

80%

100%

Jun-17 Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19

RMBS OTH CMBS CDO ABS

Note: Outstanding EU ratings of structured finance instruments by asset class,in % of total. ABS=Asset-backed securities; CDO=Collateralised debtobligations; CMBS=Commercial mortgage-backed securities; OTH=other;RMBS=Residential mortgage-backed securities.Sources: RADAR, ESMA.

0

2

4

6

8

10

12

14

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

Quasi high-quali ty colla teral outstanding

High-quality collateral outstanding

Note: Outstandi ng am ount of high-quality coll ateral in the EU, EUR tn. High-quality collateral is the sum of outstanding debt securities issued by EUgovernm ents with a rati ng equal to or hi gher than BBB-. Quasi hi gh-quality

collateral is the outstanding corporate debt with a rating equal to or higherthan AA-.Sources: Thomson Reuters EIKON, ESMA.

0

25

50

75

100

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19


Note: Outs tanding am ount of covered bonds in the EU as of issuance date byrating category, in % of the total.Sources: Thomson Reuters EIKON, ESMA.

0

200

400

600

Aug-17 Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19

Downgrades Upgrades

3M-MA downgrades 3M-MA upgrades

Note: Number of rating changes on securitised assets.

Sources: RADAR, ESMA.

1

2

3

4

Aug-17 Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19

Downgrades Upgrades3M-MA downgrades 3M-MA upgrades

Note: Average size of upgrades and downgrades when credit rating

agencies took rating actions on securitised assets, number of bucketstraversed.Sources: RADAR, ESMA.


A.52 A.53

Size of rating changes Non-financial corporate rating changes

A.54 A.55

Rating drift Rating volatility

Short selling A.56 A.57

Value of net short positions in EU shares Dispersion of net short positions in EU shares

-0.5

0

0.5

1

1.5

2

2015 2016 2017 2018 2019

Corporates Covered bonds Financials

Insurance Sovereign Structured Finance

Note: Average change in notches for long-term ratings that changed for issuer

types, covered bond instruments and structured finance,2019 is year-to-date.Sources: RADAR, ESMA.

-100

-60

-20

20

60

100

-30

-20

-10

0

10

20

30

Jun-17 Dec-17 Jun-18 Dec-18 Jun-19 Dec-19

ES IE IT PT GR (rhs)

Note: Number of upgrades minus downgrades of non-financial corporate

issuers for ES, GR, IE, IT and PT, in % of outstanding ratings. Ratings fromFitch Ratings, Moody's and S&P's.Sources: RADAR, ESMA.

-1

0

1

2

3

4

5

6

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19Non-financial Covered bond

Financial Insurance

Sovereign Structured financeNote: 3 month moving average of net change in ratings from all credit

rating agencies, excluding CERVED and ICAP, by asset class computedas a percentage number of upgrades minus percentage number ofdowngrades over number of outstanding ratings.Sources: RADAR, ESMA.

0

2

4

6

8

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19Non-financial Covered bondFinancial InsuranceSovereign Structured finance

Note: 3 month moving average of volatility of ratings by all credit rating

agencies, excluding CERVED and ICAP, by asset class computed asnumber of rating changes over number of outstanding ratings.Sources: RADAR, ESMA.

0

100

200

300

400

500

0.0

0.2

0.4

0.6

0.8

1.0

Jun-17 Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19

Market value Number of shares ( rhs)

Note: Market value of short selling posi tions as percentage of total marketvalue in the EU. Number of shar es part of a mai n national index on w hichshort positions were reported by NCAs under the EU Short Selling Regulati on

(rhs).Sources: National Competent Authorities, Refinitiv Datastream, ESMA.

0

1

2

3

4

5

6

7


Top 25% Core 50%

Bottom 25% Median

Note: Dispersion of net short positions by country as percentage of marketvalue of those positions relative to each country's blue-chip i ndex marketvalue.

Sources: National Competent Authorities, Refinitiv Datastream, ESMA.


A.58 A.59

Value of net short positions in EU shares by sector Value of net short positions in EU sovereign debt

A.60 A.61

Net short positions in industrial shares and equity prices Net short positions in financial shares and equity prices

Money markets A.62 A.63

Interest rates Spreads to overnight index swap

0.8

1.2

1.6

2.0

2.4

2.8

Jun-17 Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19Manufacturing Financials

Information technology Utilities

Note: Average of net short positions in EU shares for manufacturing, financialand information technology and utilities, in % of issued share capital.Sources: National Competent Authorities, ESMA.

0

250

500

750

1,000

1,250

1,500


Short positions

Note: D uration-adjus ted short positions held on soverei gns i n the EU, EUR tn.Sources: National Competent Authorities, ESMA.

80

90

100

110

120

1.6

2.0

2.4

2.8

3.2

Jun-17 Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19Average net short position

Sectoral equity index (rhs)

Note: Average of net short positions in EU manufacturing shares, in % ofissued share capital (left axis), and EU industrials equity benchmark (rightaxis), indexed 01/06/2017=100.Sources: Refinitiv EIKON, National Competent Authorities, ESMA.

70

80

90

100

110

120

130

1.2

1.4

1.6

1.8

2.0

2.2


Average net short position

Sectoral equity index (rhs)

Note: Average of net short positions in EU financial shares, in % of issuedshare capital (left axis), and EU financials equity benchmark (right axis),indexed 01/06/2017=100.Sources: Refinitiv EIKON, National Competent Authorities, ESMA.

-0.6

-0.5

-0.4

-0.3

-0.2

-0.1

0.0

0.1


3M Euribor ECB rate

EONIA ESTER

Note: Money market rates, in %.Sources: Refinitiv Datastream, ESMA.

0

10

20

30

40

50

60


Eur ibor GBP Libor

USD Libor 5Y-MA Eur ibor

Note: Spreads between 3M interbank rates and 3M overnight index swap, inbps.Sources: Refinitiv Datastream, ESMA.


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

0

10

20

30

40

50

60

0

5

10

15

20


EONIA SONIA (rhs) ESTER

Note: 1M-MA of daily lending volumes on Euro Overni ght Index Average(EONIA), EUR bn, and Sterling Overnight Index Average (SONIA), GBP bn.Sources: ECB, Refinitiv EIKON, ESMA.

-0.8

-0.7

-0.6

-0.5

-0.4

-0.3

-0.2

-0.1

0.0

Jan-18 Aug-18 Mar-19 Oct-19 May-20 Dec-20 Jul-21

EONIA Today 1M ago 3M ago

Note: Euro overnight index swap forwards, in %.Sources: Refinitiv EIKON, ESMA.

0

200

400

600

800

1H14 1H15 1H16 1H17 1H18 1H19

Commodity Credit default swaps

Equity-linked Foreign exchange

Interest rate

Note: Gross notional amounts of outs tanding OTC derivatives by productcategory, USD tn.Sources: Bank for International Settlements, ESMA.

0

5

10

15

20

25

1H14 1H15 1H16 1H17 1H18 1H19

Commodity Credit default swaps

Equity-linked Foreign exchange

Interest rate

Note: Gross market val ues of outstanding OTC derivatives by category, USDtn. Gross market values represent the cos t of replacing all open contracts atthe prevailing market prices.

Sources: Bank for International Settlements, ESMA.

0

20

40

60

80

100

120

140

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Short-term interest rate Long-term interest rate

Foreign exchange

Note: Open interest in exchange-traded derivatives by pr oduc t category, inUSD tn.Sources: Bank for International Settlements, ESMA.

0.0

0.1

0.2

0.3

0

2

4

6

8

10

12

14

16


Interest rate (rhs) 1Y-MA IR (rhs)

Foreign exchange 1Y-MA FX

Note: Gl obal aver age daily turnover in exchange-traded derivatives by productcategory, in U SD tn. 1Y-MA IR=one-year moving average for interest r ate, 1Y-MA FX=one-year moving average for foreign exchange.

Sources: Bank for International Settlements, ESMA.


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

0

20

40

60

80

100

120

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Options Futures

Note: Open interest in exchange-traded derivatives by asset class, in USD tn.Sources: Bank for International Settlements, ESMA.

0

2

4

6

8

10


Options Futures

1Y-MA options 1Y-MA futuresNote: Gl obal average daily turnover in exchange-traded derivatives by assetclass, in USD tn.Sources: Bank for International Settlements, ESMA.

0

20

40

60

80

100

120

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

North America Europe Asia/Pacific Other

Note: Open interest in exchange-traded derivatives by exchange location, inUSD tn.Sources: Bank for International Settlements, ESMA.

0

2

4

6

8

10


North America Europe

Asia/Pacific Other

1Y-MA Europe

Note: Global average daily turnover in exchange-traded derivatives byexchange location, in USD tn. "Europe" as defined by BIS.Sources: Bank for International Settlements, ESMA.


Infrastructures and services

Trading venues and MiFID entities A.74 A.75

Equity trading turnover 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

1.0

1.5

2.0

2.5

3.0

0%

20%

40%

60%

80%

100%

Nov-18 Feb-19 May-19 Aug-19 Nov-19

Systematic internalisers Lit

Frequent batch auctions OTC

Dark pool Tota l volumes (rhs)

Note: Type of equity tradi ng i n the EU as a percentage of total vol umes. T otalequity trading volumes in EUR trillion (right axis)Sources: FITRS, ESMA

0

5

10

15

20

25

30

35

40

45

50

0

100

200

300

400

500


Domestic issuer 1Y-MA domestic

Foreign issuer (rhs) 1Y-MA foreign (rhs)

Note: Monthly equity turnover on EU trading venues by origin of thetraded equity, in EUR bn. Data for London Stock Exchange, Equiduc t andBATS C hi-X Europe are not reported. F oreign equiti es are issued in a

country other than that of the trading venue.Sources: FESE, ESMA.

0

5

10

15

20

25

30

0

250

500

750

1,000

1,250

1,500


Bonds Equities

ETFs (rhs) UCITS ( rhs)

Note: Monthly turnover on EU trading venues by type of assets, in EURbn. Data for Aquis Exchange, BATS Chi-x Europe, Equiduct, LondonStock Exchange, T OM MTF and Turquoise are not reported for bonds,

ETFs and UCITS.Sources: FESE, ESMA.

Bonds29.3%

ETFs1.6%

Equities69.0%

UCITS0.1%

Note: Share of turnover on EU trading venues by asset class , in % of totalturnover over the reporting period. Data for Aquis Exchange, BATS C hi-xEurope, Equiduc t, London Stock Exchange, TOM MTF and Turquoise are not

reported for bonds, ETFs and UCITS.Sources: FESE, ESMA.

0

75

150

225

300

375

450


Large caps Mid caps Small caps ETFs

Note: Number of daily circuit-breaker trigger events by type of financialinstrument and by market cap r egister ed on 34 EEA trading venues for allconstituents of the STOXX Europe Large/Mid/Small 200 and a large

sample of ETFs tracking these indices or some of their subindices.Results displayed as weekly aggregates.Sources: Morningstar Real-Time Data, ESMA.

0

25

50

75

100


Technology, utili ties and telecommunications services

Financials

Healthcare, consumer cyclicals and non-cyclicals

Basic materia ls, industrials and energy

Note: Percentage of circuit-breaker trigger events by economic sectorregistered on 34 EEA trading venues for all constituents of the STOXXEurope Large/Mid/Small 200 and a large sampl e of ETFs tracking these

indices or some of their subindices. Results displ ayed as weeklyaggregates.Sources: Morningstar Real-Time Data, ESMA.


A.80 A.81

Number of trading venues and systematic internalisers Data reporting services providers

Central counterparties A.82 A.83

Value cleared Trade size

A.84 A.85

OTC derivatives central clearing rates Share of transactions cleared by CCPs

M ultilateral trading facility

220

Organised trading

facility74

Regulated market

136

Systematic internaliser

221

Note: Number of trading venues registered under MiFID II/MiFIR bynational competent authorities and notified to ESMA, by type.Sources: ESMA Registers.

Approv ed reporting

mechanism29

56%

Approv ed publication

arrangement23

44%

Note: Number of data reporting servuces providers registered underMiFID II/MiFIR by national competent authorities and notified to ESMA,by type.

Sources: ESMA Registers.

0

100

200

300

400

500

600

700

2012 2013 2014 2015 2016 2017 2018

Cash ETD OTC Repo

Note: Volume of transactions cleared by reporti ng CCPs. Annual data, EURtn, for cash, repos, non-OTC and OTC derivatives . LCH Ltd, although thelargest CCP in terms of volume in the OTC segment, is not reported owing to

uneven reporting during the period.Sources: ECB, ESMA.

0

5

10

15

20

0.0

0.2

0.4

0.6

0.8

1.0

1.2

2012 2013 2014 2015 2016 2017 2018

Cash ETD OTC Repo (rhs)

Note: Average size of transactions cleared by reporting CCPs, for cash,repos, non-OTC and OTC derivatives. Annual data, EUR mn. LCH Ltd,although the larges t CCP in terms of vol ume in the OTC segment, is not

reported owing to uneven reporting during the period.Sources: ECB, ESMA.

0

20

40

60

80

1Q18 2Q18 3Q18 4Q18

CD IRD

Note: Clearing ratios of gross outstandi ng notional for interest r ate derivativesand credit derivatives in %.Sources: TRs, ESMA.

EUREX Clearing

46%

ICE Clear Europe

21%

LCH SA20%

CCG6%

Others7%

Note: Share of volume of transactions cl eared by reporting CCPs for cash,repos, non-OTC and OTC derivatives, 2018. LCH Ltd, although the largestCCP in terms of volume i n the OTC segm ent, is not reported owing to uneven

reporting during the period.Sources: ECB, ESMA.


A.86 A.87

IRD trading volumes CDS index trading volumes

A.88 A.89

EU Index CDS clearing volumes OTC Interest rate derivatives clearing

Central securities depositories A.90 A.91

Settlement activity Settlement fails

0

20

40

60

80

100

0

50

100

150

200

250


Cleared Non-cleared

% cleared 1Y-MA % cleared

Note: D aily tradi ng volumes for EU-currency-denominated IRD products(EUR, HUF, PLN, GBP). Products i nclude IRS, basis sw aps, FRA, i nflati onswaps, OIS. 40-day movi ng aver age notional, USD bn. ISDA Swaps Info data

are based on publicly avail able data from DTCC Trade R epository LLC andBloomberg Swap Data Repository.Sources: ISDA SwapsInfo, ESMA.

0

20

40

60

80

100

0

2

4

6

8

10

12

14

16

18


Cleared Non-cleared

% cleared 1Y-MA % cleared

Note: D aily tradi ng volumes for the main EUR CDS indices i ncludi ng ItraxxEurope, I traxx Europe Crossover, Itraxx Europe Senior Financials. 40- daymoving average notional, USD bn. ISDA SwapsInfo data are based on

publicly availabl e data from DTCC Trade R epository LLC and BloombergSwap Data Repository.Sources: ISDA SwapsInfo, ESMA.

0

0.5

1

1.5

2

2.5

3

0%

20%

40%

60%

80%

100%

3Q17 4Q171Q182Q183Q18 4Q181Q192Q193Q19

CME ICE Clear Credit

ICE Clear Europe LCH CDSClear

Note: Market share on OTC central clearing of iTraxx Europe and iTraxxCrossover, in %. Quarterly noti onal volumes cleared, in EUR trillion (rightaxis).

Sources: Clarus Financial Technology, ESMA.

0

40

80

120

160

200

0%

20%

40%

60%

80%

100%

3Q174Q171Q182Q183Q184Q181Q192Q193Q19

BME CME (OTC)

Eurex HKEX

JSCC LCH SwapClear Ltd

Total volumes (rhs)

Note: M arket share on OTC central clearing of basis swaps, fixed-float sw aps,FRAs and OIS in EUR, USD, JPY or GBP, in %. Quarterly notional volumescleared, in EUR trillion (right axis).

Sources: Clarus Financial Technology, ESMA.

0

100

200

300

400

500

0

500

1,000

1,500

2,000

2,500


Government bonds 6M-MA gov

Corporate bonds (rhs) 6M-MA corp (rhs)

Equities (rhs) 6M-MA equities (rhs)

Note: T otal value of settled transactions in the EU as reported by NCAs, inEUR bn, one-week moving averages.Sources: National Competent Authorities, ESMA.

0

2

4

6

8


Corporate bonds 6M-MA corp

Equities 6M-MA equities

Government bonds 6M-MA gov

Note: Share of failed settlement ins tructions in the EU, in % of value, one-week moving averages.Sources: National Competent Authorities, ESMA.


A.92 A.93

Securities held in CSD accounts Value of settled transactions

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

0

10

20

30

40

50

60

2012 2013 2014 2015 2016 2017 2018

Clearstream Crest Euroclear

Iberclear Monte Titoli Others

Note: Value of securities held by EU CSDs in accounts, EUR tn.Sources: ECB, ESMA.

0

200

400

600

800

1000

1200

1400

2012 2013 2014 2015 2016 2017 2018

Clearstream Crest Euroclear

Iberclear Monte Titoli Others

Note: Value of settlement instructions processed by EU CSDs, EUR tn.Sources: ECB, ESMA.

-1

0

1

2

3

4

5

6

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19Non-financial Covered bond

Financial Insurance

Sovereign Structured financeNote: 3 month moving average of net change in ratings from all credit ratingagencies, excluding CERVED and ICAP, by asset class computed as apercentage number of upgrades minus percentage number of downgradesover number of outstanding ratings.Sources: RADAR, ESMA.

0

2

4

6

8

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19Non-financial Covered bondFinancial InsuranceSovereign Structured finance

Note: 3 month moving average of volatility of ratings by all credit ratingagencies, excluding CERVED and ICAP, by asset class computed as numberof rating changes over number of outstanding ratings.Sources: RADAR, ESMA.

70

80

90

100

110

120

4Q16 2Q17 4Q17 2Q18 4Q18 2Q19 4Q19

Non-financial Covered bondFinancial InsuranceSovereign Sub-sovereignSupranational Structured finance

Note: Evolution of outstanding ratings, indexed 3Q15=100. S&P, Moody'sand Fitch.Sources: RADAR, ESMA.

100

500

900

1,300

1,700

2,100

2,500

3Q15 1Q16 3Q16 1Q17 3Q17 1Q18 3Q18 1Q19 3Q19

Non-financial Covered bondFinancial InsuranceSovereign Sub-sovereignSupra-national Structured finance

Note: Evolution of outstanding ratings, indexed 3Q15=100. All CRAsexcluding S&P, Moody's and Fitch. Sovereign on right hand axis.Sources: RADAR, ESMA.


A.98 A.99

Changes in structured finance instrument ratings Changes in outstanding covered bond ratings

A.100

Share of outstanding ratings Big 3 CRAs vs. others

Financial benchmarks A.101

€STR rate and volumes

A.102

IRDs linked to EONIA and Euribor by maturity

-300

-150

0

150

300

Oct-17 Feb-18 Jun-18 Oct-18 Feb-19 Jun-19 Oct-19

Withdrawn New Net change

Note: Number of withdrawn and new ratings for structured financeinstruments.Sources: RADAR, ESMA.

-300

-100

100

300

500


New Withdrawn Net change

Note: Number of withdrawn and new ratings for covered bonds.Sources: RADAR, ESMA.

79

78

76

75

76

76

75

74

75

74

70

69

67

67

68

21

22

24

25

24

24

25

26

25

26

30

31

33

33

32

0

20

40

60

80

100

2Q16 4Q16 2Q17 4Q17 2Q18 4Q18 2Q19 4Q19

Big 3 Other CRAs

Note: Share of outstanding ratings from S&P, Moody's and Fitch, and ratingsfrom all other CRAs, in %.Sources: RADAR, ESMA.


A.103

IRDs linked to reference rates

A.104

Number of benchmark administrators

A.105 A.106

Derivatives referencing EURIBOR by maturity Derivatives referencing EONIA by maturity


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

A.111 A.112

Entities authorised under AIFMD Share of entities authorised under AIFMD by country

-1

-0.5

0

0.5

1

1.5

2

2.5

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19Alternatives EquityBond CommodityMixed Assets Real Estate

Note: EU-domiciled investment funds' annual average monthly returns,asset-weighted, in %.Sources: Refinitiv Lipper, ESMA.

0

4

8

12

16

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19Alternative Equity Bond

Commodity Mixed Real Estate

Note: Annualised 40D historical return volatility of EU domiciled mutual funds,in %.Sources: Refinitiv Lipper, ESMA.

-30

-20

-10

0

10

20

30

1,300

1,320

1,340

1,360

1,380

1,400

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

Newly authorised entities Withdrawn entities

Number of entities

Note: Number of entities authorised under the UCITS Directive by nationalcompetent authorities of the Member States and notified to ESMA. Newlyauthorised entities and withdrawn entities on the right axis.Sources: ESMA Registers.

France21%

Luxembourg15%

United Kingdom

12%

Spain9%

Ireland8%

Poland4%

Sweden3%

Others28%

Note: Number of entities authorised under the UCITS Directive by nationalcompetent authorities and notified to ESMA, in %.Sources: ESMA Registers.

-50

0

50

100

150

200

1,500

1,750

2,000

2,250

2,500

2,750

3,000

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

Newly authorised entities Withdrawn entities

Number of entities

Note: Number of entities authorised under AIFMD by national competentauthorities of the Member States and notified to ESMA. Newly authorisedentities and withdrawn entities on the right axis.Sources: ESMA Registers.

United Kingdom

26%

France17%

Spain10%

Luxembourg10%

Germany5%

Ireland4%

Sweden3%

Others25%

Note: Number of entities authorised under AIFMD by national competentauthorities and notified to ESMA, in %.Sources: ESMA Registers.


A.113 A.114

Assets by market segment NAV by legal form

A.115 A.116

NAV by fund market segment Leverage by market segment

A.117 A.118

Fund flows by fund type Fund flows by regional investment focus

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

Dec-08 Feb-11 Apr-13 Jun-15 Aug-17 Oct-19Bond Equity HF

Mixed Other Real estate

Note: AuM of EA funds by fund type, EUR tn. HF=Hedge funds.Sources: ECB, ESMA.

0

2

4

6

8

10

3Q14 3Q15 3Q16 3Q17 3Q18 3Q19

Non-UCITS UCITS

Note: NAV of EU fund industry, EUR tn. Quarterly data.Sources: EFAMA, ESMA.

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0



Note: EA investment funds’ NAV by fund type, EUR tn.Sources: ECB, ESMA.

1.00

1.05

1.10

1.15

1.20

1.25

1.30

1.35

1.40



Note: EA investment funds' leverage by fund type computed as the AuM/NAVratio.Sources: ECB, ESMA.

-4%

-2%

0%

2%

4%

6%

8%

4Q17 1Q18 2Q18 3Q18 4Q18 1Q19 2Q19 3Q19 4Q19

Bond Equity Mixed MMF

Note: EU-domiciled funds' quarterly flows, in % of NAV.Sources: Refinitv Lipper, ESMA.

-10

-7

-4

-1

2

5


Emerging markets BF Global BFNorth America BF Europe BFEmerging markets EF Global EF

Note: Bond and equity funds (BF and EF) over time since 2004 by regionalinvestment focus, in % of NAV.Sources: REFINITIV Lipper, ESMA.


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

A.123 A.124

Liquidity risk profile of EU bond funds Cash as percentage of assets

-5

-3

-1

1

3

5

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19Europe BF North America BF

Global BF Emerging markets BFNote: Bond flows by regional investment focus, in % of NAV.Sources: REFINITIV Lipper, ESMA.

-3

-1

1

3


Western Europe North America Global Emerging markets

Note: Equity flows by regional investment focus, in % of NAV.Sources: REFINITIV Lipper, ESMA.

-20

-10

0

10

20

30

Dec-17 Jun-18 Dec-18 Jun-19 Dec-19

Government Emerging HY

Corporate MixedBonds Other

Note: Two-month cumulative net flows for bond funds, EUR bn. Fundsinvesting in corporate and government bonds that qualify for another categoryare only reported once e.g. funds investing in emerging government bondsreported as Emerging; funds investing in HY corporate bonds reported asHY).Sources: Refinitiv Lipper, ESMA.

0

2

4

6

8

10

12

14

-750

-500

-250

0

250

500

750

1,000

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 therespective period. Capital flows and valuation effects in EUR bn. AuMexpressed in EUR tn.Sources: ECB, ESMA.

0

1

2

3

4

5


Cash 4Y-AVG

Note: Cash held by EU corporate bond funds, in % of portfolio holdings (%).Short positions can have a negative value.Sources: Refinitiv Lipper, ESMA.


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

7.0

7.5

8.0

8.5

9.0

9.5

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

Note: Weighted average effective maturity of EU bond funds' assets, data inyears.Sources: Refinitiv Lipper, ESMA

-2

-1

0

1


2nd/98th perc. Weighted average

Median

Note: EU-domiciled MMFs' average yearly returns by month, asset-weighted,in %. The graph shows the median and average asset-weighted returns andthe difference between the returns corresponding to the 98th and the 2ndpercentile (light blue corridor).Sources: Refinitiv Lipper, ESMA.

-4

-2

0

2

4


EU US

Note: MMF net flows by domicile, in % of NAV.Sources: Refinitiv Lipper, ESMA.

-15

-10

-5

0

5

10

15

20



Note: MMF net flows by geographical focus, in % of NAV.Sources: Refinitiv Lipper, ESMA.

1.00

1.01

1.02

1.03

1.04

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

3Q14 3Q15 3Q16 3Q17 3Q18 3Q19AuM NAV

Leverage (rhs) 5Y-MA (rhs)

Note: NAV and AuM of EA MMFs, EUR tn. Leverage computed as theAuM/NAV ratio. 5Y-MA lev=five-year moving average for the leverage ratio.Sources: ECB, ESMA.


A.131 A.132

MMF maturity MMF liquidity

Alternative funds A.133 A.134

Hedge fund returns Hedge fund performance by strategy

A.135 A.136

Fund flows by domicile Assets and leverage

0

10

20

30

40

50

60

70

80


WAM WAL

Note: Weighted average maturity (WAM) and weighted average life (WAL) ofEU prime MMFs, in days. Aggregation carried out by weighting individualMMFs' WAM and WAL by AuM.Sources: Fitch Ratings, ESMA.

0

5

10

15

20

25

30

35

40

45


Daily liquidity Weekly liquidity

Note: Daily and weekly liquidity includes all assets maturing overnight andshares by AAA MMFs, securities issued by highly rated sovereigns with amaturity of less than one year, in % of total assets. Aggregation carried outusing individual MMF data weighted by AuM.Sources: Fitch Ratings, ESMA.

-20

-15

-10

-5

0

5

10

May-17 Sep-17 Jan-18 May-18 Sep-18 Jan-19 May-19

Corridor 2nd/98th perc. Corridor 1st/3rd quart.Median

Note: EU-domiciled hedge funds' monthly returns, in %. The graph shows thereturns' median, the difference between the returns corresponding to the 2nd and98th percentiles and the difference between the returns corresponding to the 1st

and 3rd quartiles.Sources: Refinitiv Lipper, ESMA.

-8

-6

-4

-2

0

2

4

6

HF Arb CTA Dis Event FI LS Macro Multi RV

3Q18 4Q18 1Q19 2Q19

Note: Growth of hedge fund performance indices by strategy: hedge fundindex (HF), arbitrage (Arb), commodity trading advisor (CTA), distressed debt(Dis), event driven, fixed income (FI), long/short equity (LS), macro, multi-strategy, relative value (RV), in %.Sources: Eurekahedge, ESMA.

-6

-4

-2

0

2

4


US EU

Note: Alternative mutual funds net flows by domicile, in % of NAV. Data onalternative mutual funds represents only a subset of the entire alternative fundindustry.Sources: Refinitiv Lipper, ESMA.

1.0

1.1

1.2

1.3

1.4

1.5

0

100

200

300

400

500

600


AuM NAVLeverage (rhs) 5Y-AVG lev (rhs)

Note: NAV and AuM of EA hedge funds, EUR bn. Leverage computed as theAuM/NAV ratio. 5Y-MA lev=five-year moving average for the leverage ratio.Sources: ECB, ESMA.


A.137 A.138

Alternative fund flows by geographical focus Direct and indirect property fund flows

Exchange-traded funds A.139 A.140

Returns Volatility

A.141 A.142

NAV and number by domicile NAV by asset type

-5

-2

1

4

7



Note: Alternative mutual funds' net flows by geographical focus, in % of NAV.Data on alternative mutual funds represents only a subset of the entirealternative fund industry.Sources: Refinitiv Lipper, ESMA.

-40

-13

14

41

68


Direct Indirect

Note: Two-month cumulative flows for direct and indirect EU property funds.Indirect property funds invest in securities of real estate companies, inlcudingReal Estate Investment Trusts (REITs).Sources: Morningstar, ESMA.

-4

-2

0

2

4


2nd/98th perc. Weighted average

Median

Note: EU-domiciled ETFs' average yearly returns by month, asset-weighted,in %. The graph shows the median and average asset-weighted returns andthe difference between the returns corresponding to the 98th and the 2ndpercentile (light blue corridor).Sources: Refinitiv Lipper, ESMA.

0

2

4

6

8

10

12


ETF

Note: Annualised 40D historical return volatility of EU-domiciled ETF, in %.Sources: Refinitiv Lipper, ESMA.

1,000

1,500

2,000

2,500

0

1

2

3

4

5

6

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19EUUSNumber of EU ETFs (rhs)Number of US ETFs (rhs)

Note: NAV of ETFs, EUR tn, and number of ETFs.Sources: Refinitiv Lipper, ESMA.

0

200

400

600

800

1000

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19Mixed Assets Alternatives Money Market

Commodity Other Bond

Note: NAV of EU ETFs by asset type, EUR bn.Sources: Refinitiv Lipper, ESMA.


A.143 A.144

Tracking error Flows by domicile

A.145 A.146

Assets of leveraged European ETFs Average beta values for European ETFs

A.147 A.148

Assets of European ETFs by replication method Flows into European ETFs by replication method

0.0

0.3

0.6

0.9

1.2

1.5


ETFs

MFs index trackers UCITS

MFs index trackers Non-UCITS

Note: Tracking error defined as standard deviation of fund excess returnscompared to benchmark. The graph shows the tracking error for ETF andmutual funds both UCITS and non-UCITS. Yearly standard deviation reportedon monthly frequency. End-of-month data.Sources: Refinitiv Lipper, ESMA.

-2

-1

0

1

2

3

4


EU US

Note: ETF net flows by domicile, in % of NAV.Sources: Refinitiv Lipper, ESMA.

0

20

40

60

80

0

2

4

6

8

10

2012 2013 2014 2015 2016 2017 2018 2019Leveraged (short) - assets Leveraged (long) - assetsNumber of leveraged ETFs

Note: Total assets of leveraged long and leveraged short ETFs with primarylistings in Europe, in EUR bn and total number of products (rhs), in thousand.Sources: ETFGI, ESMA

-3.0

-1.5

0.0

1.5

3.0


Unleveraged (Short) Unleveraged (long)

Leveraged (short) Leveraged (long)

Note: Leveraged ETFs are self-reported. The annual average monthly beta ismeasured as the volatility of a fund return in comparison to its benchmark. Anunleveraged ETF replicating its benchmark will typically have a beta close to1.0.Sources: Refinitiv Lipper, ESMA.

0

400

800

1200

0

100

200

300

400

500

600

2012 2013 2014 2015 2016 2017 2018 2019Physical - assets Synthetic - assets

Physical - number (rhs) Synthetic - number (rhs)Note: Total assets of physical and synthetic ETFs with primary listings inEurope, in EUR bn and total number of products (rhs).Sources: ETFGI, ESMA

(20)

-

20

40

60

80

100

120

2012 2013 2014 2015 2016 2017 2018 2019

Physical net flows Synthetic net flows

Note: Net flows of physical and synthetic ETFs with primary listings in Europe,in EUR bn.Sources: ETFGI, ESMA


Consumers

Investment resources available to households A.149 A.150

Disposable income Household saving and investment rates

A.151 A.152

Investor sentiment Growth rates in financial assets

Asset allocation by retail investors A.153 A.154

Household assets to liabilities ratio Household financial assets by class

-1

0

1

2

3

4

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Weighted average 5Y-MA

Note: Annualised growth rate of weighted-average gross disposable incomefor 11 countries (AT, BE, DE, ES, FI, FR, IE, IT, NL, PT and SI), in %.Sources: Eurostat, Refinitiv Datastream, ESMA.

6

8

10

12

14

2Q15 2Q16 2Q17 2Q18 2Q19

Saving rate Investment rate

5Y-MA saving 5Y-MA investment

Note: Household annual saving and i nvestment rates, based on four-quarter cumulated transacti ons, %. 5Y-MA saving=five-year movingaverage of the saving rate. 5Y-MA investment=five-year moving average

of the investment rate.Sources: ECB, ESMA

-30

-20

-10

0

10

20

30

40

50

60


EA institutional current EA retail current

EA institutional future EA retail fu ture

Note: Sentix Sentiment Indicators for the EA retail and institutional investorson a ten-year horizon. The zero benchmark is a risk-neutral position.Sources: Refinitiv Datastream, ESMA.

-8

-6

-4

-2

0

2

4

6

8

10

12

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Currency and deposits Debt securities

Equities IF shares

Note: Quarterly asset growth rates of financial assets held by EU households,in %. IF shares=investment fund shares.Sources: ECB, ESMA.

310

320

330

340

350

0

10

20

30

40

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Assets Liabilities Assets/liabil ities ratio (rhs)

Note: Financial assets and liabilities of EU households, EUR tn.Assets/liabilities ratio in %.Sources: ECB, ESMA.

25

26

27

28

29

30

0

10

20

30

40

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Other assets PensionsInsurances IF sharesEquities Debt securitiesCurrency and deposits Securi ties (rhs)

Note: Financial assets of EU househol ds, EUR tn, and share of securitiesinvestments (debt securities , equities and IF shares) in total , in %. IFshares=inves tment fund shar es. Other financial assets=Insurance technical

reserves, financial derivatives, loans granted and other accounts receivable.Sources: ECB, ESMA.


A.155 A.156

Share of securities investments in household assets Net financial asset flows

A.157 A.158

Equity UCITS market size by management type Equity UCITS netflows by management type

A.159

Cumulative netflows equity UCITS

0

5

10

15

20

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Debt securities Equities IF shares

Note: Share of debt securities, equities and IF shares into the fi nanci al assetsof EU households, in %. IF shares=investment fund shares.Sources: ECB, ESMA.

-5

0

5

10

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Net financial liab ilities Equity and IF sharesOther financial assets Debt securitiesCurrency and deposits Net financial flows

Note: N et acquisition of financial assets and net incurrence of li abilities for EAhouseholds as a share of their gross disposabl e income adjusted for changesin pension entitl ements, based on a one-year rolling period, in %. IF

shares=inves tment fund shares . Other financial assets=Insurance technicalreserves, financi al derivatives, loans granted and other accounts receivable.Net financial flows=Net household lending (positive values) or borrowing(negative values) to/from sectoral financial accounts . Liabilities multiplied by -1 to present as outflows.Sources: ECB, ESMA.

0

10

20

30

40

0

1

2

3

4

ETFs Passive (excl. ETFs)

Active Share passive and ETFs

Note: M arket size for EU-domiciled UCITS equity, actively and passivelymanaged, and ETFs. All observations for which information on fund value,fund performance, net flows, subscription and redempti on fees are avail able,

EUR tn. Share of passive and ETFs in %, right-hand size.Sources: Refinitiv Lipper, ESMA.

-130

-100

-70

-40

-10

20

50

80

110

Active Passive (excl. ETFs) ETFs

Note: EU-domiciled equity UCITS by managem ent type, ac tive passive, andETFs. Annual netflows at quarterly frequencies, EUR bn.Sources: Refinitiv Lipper, ESMA.

100

300

500

700

900

1,100

1,300

3Q12 3Q13 3Q14 3Q15 3Q16 3Q17 3Q18 3Q19

Active Passive ETFs

Note: EU domiciled equity UCITS by management type, active, passiveand ETFs. Cumulative net flows, 3Q12=100.Sources: Refinitiv Lipper, ESMA.


Costs and performance A.160 A.161

Dispersion of returns all assets Absolute costs

A.162 A.163

Retail fund synthetic risk and reward indicator Portfolio returns

A.164 A.165

Net returns by asset class Dispersion in the absolute cost impact

-20

-10

0

10

20

30

4Q15 2Q16 4Q16 2Q17 4Q17 2Q18 4Q18 2Q19 4Q19

Bottom mid-tail 15 Core 50

Top mid-ta il 15 EU gross

EU net

Note: Net returns of UCITS, retail investors, adjusted for total expense rati oand load fees, in %. Distributi on represents selected EU markets. Top mid-tail15=distribution between the 75th and 90th percentile. Bottom mid-tail

15=distribution between the 10th and 25th percentile.Sources: Refinitiv Lipper, ESMA.

0

0.2

0.4

0.6

0

1

2

3

4Q15 4Q16 4Q17 4Q18 4Q19EU EquityBond MixedAlternative Money Market (rhs)

Note: Total costs (ongoi ng costs, subscription and redemptionfees) of UCITS funds, retail inves tors, %. Money market funds onthe right hand side.

Sources: Refinitiv Lipper, ESMA.

1

2

3

4

5

6

7


Alternative BondCommodity EquityMoney market Real estate

Note: The calculated synthetic risk and reward indicator (SSRI) is based on

ESMA SRRI guidelines. It is computed via a simple 5-year annualisedvolatility measure which is then translated into categories 1-7 (with 7representing higher levels of volatility).Sources: Refinitiv Lipper, ESMA.

-0.5

0.0

0.5

1.0


Returns 5Y-MA

Note: Annual average gross returns for a s tylised househol d portfolio, i n%. Asset weights, computed using ECB Financial Accounts byInstitutional Sectors, are 37% for collec tive i nvestment schemes (of

which 12% mutual funds and 25% insurance and pensi on funds), 31%for deposits , 22% for equity, 7% debt securities and 3% for other assets .Costs, fees and other charges i ncurred for buying, holding or sellingthese instruments are not taken into account.Sources: Refinitiv Datastream, Refinitiv Lipper, ECB, ESMA.

-15

0

15

30

4Q15 4Q16 4Q17 4Q18 4Q19-8

0

8

16

Bond Mixed Alternative

Money Market Equity ( rhs)

Note: Evolution of net returns, excludi ng ongoing cos ts (TER) and subscriptionand redempti on fees for UCITS funds, by assets class, %. Equity on the righthand side.


0.0

0.5

1.0

1.5

2.0

2.5

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.

EU average EU Member States

0.0

0.5

1.0

1.5

2.0

2.5

Note: Dispersion of total cos ts (ongoing costs , subscripti on and redemptionfees) of UCITS funds, computed as the differ ence betw een gross and netreturns, by country, retail investors, %.


EU average EU Member States

4Q15 4Q16 4Q17 4Q18 4Q19


A.166 A.167

UCITS total cost dispersion by asset class Equity UCITS total costs by management type

A.168

Equity UCITS net returns by management type

Complaints A.169 A.170

Total complaints Complaints data by type of firm

0

0.5

1

1.5

2

2.5

EU Equity Bond Mixed Alternative Money Market

Note: Dispersion of total cos ts (ongoing costs , subscripti on and redemptionfees) of UCITS funds, computed as the differ ence betw een gross and netreturns, per asset class, retail investors, %.


4Q15 4Q16 4Q17 4Q18 4Q19 0

0.4

0.8

1.2

1.6

2

Active Passive ETFs

Note: Evolution of total costs, ongoing costs (TER), subscription andredemption fees for UCITS funds, by management type, %.Sources: Refinitiv Lipper, ESMA.

4Q15 4Q16 4Q17 4Q18 4Q19

-20

-10

0

10

20

30

Active Passive ETFs

Note: Evolution of net returns, gross net of ongoing costs (TER) andsubscription and redemption fees for UCITS funds, by assets class, %.Sources: Refinitiv Lipper, ESMA.

0

2,000

4,000

6,000

2Q17 4Q17 2Q18 4Q18 2Q19

NCA

Firms (rhs)

Average total (rhs)

Note: Number of complaints recorded by quarterly-reporting NCAs

(n=17) via given reporting channels. " NCA"=Reports lodged directly byconsumers with NCAs. " Firms" =Complaints recorded by NCAs via firms." Average total"=average total number from 2Q17 to 2Q19.Sources: ESMA complaints database

0

1,000

2,000

3,000

4,000

5,000

0

20

40

60

80

100

2Q17 4Q17 2Q18 4Q18 2Q19Art3-exempt firmUCITS MancoMiFID IFCredit institutionTotal with firm type reported

Note: Share of complaints for quarterly-reporting NCAs (n=17) received direct

from consumers and via firms by type of firm involved, excluding complaintswith firm type recorded, %. 'Total with firm type reported'=Number ofcomplaints via these reporting channels excluding those with no firm typerecorded. 'MiFID IF'=MiFID investment firm. 'UCITS Manco'=UCITS

management company. 'Art3-exempt firm'=Firm exempt under Article 3 ofMiFID.Sources: ESMA complaints database


A.171 A.172

Complaints by cause Complaints data by instrument

A.173

Complaints by MiFID II category

0

500

1,000

1,500

2,000

2,500

3,000

0

20

40

60

80

100

2Q17 4Q17 2Q18 4Q18 2Q19Withdrawals Unauth. bus.General admin Fees/termsAppr/suit Info qualityTotal with cause reported

Note: Share of complaints for quarterly-reporting NCAs (n=17) received direct

from consumers and via firms by underlying cause, excluding complaints withno cause recorded, %. 'Unauth. bus.'=Unauthorised business.'Appr/suit'=Appropriateness or suitability assessment. 'Info quality'=Quality orlack of information. 'Total with cause reported'=Number of complaints via

these reporting channels including those with none of the listed causesrecorded.Sources: ESMA complaints database

0

500

1,000

1,500

0

20

40

60

80

100

2Q17 4Q17 2Q18 4Q18 2Q19

Equities CFDs

Options/futures/swaps UCITS/AIFs

Structured securities Debt securities

Total with instrument cited

Note: Share of complaints from quarterly-reporting NCAs (n=17) received

direct from consumer and via firms by type of financial instrument, wherenone of the instruments listed was reported. 'Total with instrumentcited'=number of complaints via these reporting channels excluding thosewith instrument type not reported or reported as 'other' or 'N/A'.

'CFDs''=Contracts for Differences.Sources: ESMA complaints database

0

500

1,000

1,500

2,000

2,500

3,000

0

20

40

60

80

100

2Q17 4Q17 2Q18 4Q18 2Q19Investment advicePortfolio managementExecution of ordersTotal 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 givenMiFID service, excluding complaints with no such category recorded, allreporting channels, %. 'Total with MiFID service reported'=Totalcomplaints received via these reporting channels recorded as associated

with a MiFID service.Sources: ESMA complaints database


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

-10

0

10

20

30

0

25

50

75

100

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Debt securities Equity, IF shares

Loans Unlisted shares

Others Mkt. financing growth (rhs)

Note: Quarterly Sector Accounts. Liabilities of non-financial corporations(NFC), by debt type as a share of total liabilities. Others include: financialderivatives and employee stock options; insurance, pensions andstandardised guarantee schemes; trade credits and advances of NFC; otheraccounts receivable/payable. Mkt. financing growth (rhs)= annual growth indebt securities and equity and investment fund (IF) shares, right axis, in %.Sources: ECB, ESMA.

0.0

0.5

1.0

1.5

2.0

0

20

40

60

80

100

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Outstanding (rhs) Retained issuance Placed issuance

Note: Issuance, EUR bn, and outstanding amount, EUR tn, of securitisedproducts in Europe, retained and placed.Sources: AFME, ESMA.


A.180 A.181

MMFs and other financial institutions Non-bank wholesale funding

Market-based credit intermediation A.182 A.183

EU shadow banking liabilities US shadow banking liabilities

0

20

40

60

80

100

120

0

5

10

15

20

25

30

35

40

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

FVC IF

MMF Other OFI

IF + MMF (rhs) OFI + MMF (rhs)Note: Total assets for EA MMF and other financial institutions (OFI):investment funds (IF), financial vehicle corporations (FVC), Other OFIestimated with ECB Quarterly Sector Accounts, in EUR tn. Expressed in % ofbank assets on rhs.Sources: ECB, ESMA.

-6

-4

-2

0

2

4

6

0.0

0.5

1.0

1.5

2.0

2.5

1Q14 1Q15 1Q16 1Q17 1Q18 1Q19

Sec. assets net of ret. sec.Resid. OFI debt securitiesMMF debt securitiesIF debt securitiesMMF deposits

Note: Amount of wholesale funding provided by Euro area non-banks, EURtn, and growth rate (rhs), in %. Resid. OFI reflects the difference between thetotal financial sector and the known sub-sectors within the statistical financialaccounts (i.e. assets from banking sector, insurances, pension funds,financial vehicle corporations, investment funds and moneymarket funds).Sources: ECB, ESMA.

0

5

10

15

20

25

0

2

4

6

8

10

12

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19ABCP ABS

MMF Repo

Note: Size of shadow banking system proxied by amounts of ABS and ABCPoutstanding, size of the EU repo market and EU securities on loan(collateralised with cash), and liabilities of MMF, in EUR tn. Expressed in % ofbank liabilities on rhs.Sources: ECB, AFME, ICMA, Finance, ESMA.

0

20

40

60

80

100

0

5

10

15

20

3Q14 3Q15 3Q16 3Q17 3Q18 3Q19ABS & GSE CP

MMF RepoNote:Size of shadow banking system proxied by liabilities of ABS issuers,government-sponsored enterprise (GSE) and pool securities, opencommercial paper (CP), size of the US repo and securities lending(collateralised with cash) markets, and liabilities of MMF, in USD tn.Expressed in % of bank liabilities on rhs.Sources: Federal Reserve Flow of Funds, Refinitiv Datastream,ESMA.


A.184 A.185

MMFs and other financial institutions Financial market interconnectedness

A.186 A.187

Credit terms in SFT and OTC derivatives Securities financing conditions

A.188 A.189

Sovereign repo market turnover Covered bond issuance and outstanding

0

20

40

60

80

100

120

0

5

10

15

20

25

30

35

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19IF MMFFVC Other OFIOFI + MMF (rhs) IF + MMF (rhs)

Note: Total assets for EA MMF and other financial institutions (OFI):investment funds (IF), financial vehicle corporations (FVC), Other OFIestimated with ECB Quarterly Sector Accounts, i n EUR tn. In % of bank

assets on rhs.Sources: ECB, ESMA.

60

65

70

75

80

0

5

10

15

20

2Q14 2Q15 2Q16 2Q17 2Q18 2Q19

Tota l funds Hedge funds

Bond funds MMF (rhs)Note: Loan and debt securities vis-à-vis MFI counterparts, as a share of totalassets. EA i nvestment funds and MMF, in %. Total funds i ncludes: bondfunds, equity funds, mixed funds, real estate funds , hedge funds, MMF and

other non-MMF investment funds.Sources: ECB, ESMA.

2.7

2.8

2.9

3.0

3.1

3.2

3.3

3Q14 3Q15 3Q16 3Q17 3Q18 3Q19

Price terms Non-pr ice terms

Note: Wei ghted aver age of responses to the question: "Over the past threemonths, how have terms offer ed as reflected across the entire spec trum ofsecurities financing and OTC derivatives tr ansac tion types changed?"

1=tightened considerably, 2=tightened somewhat, 3=remained basicallyunchanged, 4=eased somewhat, and 5=eased considerably.Sources: ECB, ESMA.

2.7

2.8

2.9

3.0

3.1

3.2

3.3

3Q14 3Q15 3Q16 3Q17 3Q18 3Q19

Demand for funding Liquidity and functioningNote: Wei ghted average of responses to the ques tions " Over the past threemonths, how has demand for fundi ng/how have liqui dity and functioning for allcollateral types changed?" 1=decreased/deteriorated considerably,

2=decreased/deteriorated somewhat, 3=remained basically unchanged,4=increased/improved somewhat, and 5=increased/improved considerably.Sources: ECB, ESMA.

100

150

200

250

300


Volume 1M-MA 5Y-MA

Note: Repo transac tion volumes executed through CCPs in seven sovereignEUR repo markets (AT, BE, DE, FI, FR, IT and NL), EUR bn.Sources: RepoFunds Rate, ESMA.

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0

25

50

75

100

125

150

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

Outstanding (rhs) Issuance

5Y-MA issuanceNote: Quarterly covered bond issuance in the EU, EUR bn, and outstandingamounts (rhs), EUR tn.Sources: Refinitiv EIKON, ESMA.


Sustainable finance

Green finance A.190 A.191

Green bonds outstanding Green bond issuance

A.192 A.193

Green bond private sector issuance Green bond credit quality

A.194 A.195

Green bond maturity buckets Maturity distribution of green and conventional bonds

20%

25%

30%

35%

40%

45%

50%

55%

0

50

100

150

200

250

300

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

Public sector Private sector

Private share ( rhs)

Note: Net cumulative green bond issuance in the EU by issuer type, EUR bn,and private sector share (right axis), in %.Sources: Climate Bonds Initiative, Refinitiv EIKON, ESMA.

0

5

10

15

20

25

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

Th

ou

sa

nd

s

Private sector Public sector

Note: Gross quarterly green bond issuance in the EU by issuer type, EUR bn.Sources: Climate Bonds Initiative, Refinitiv EIKON, ESMA.

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

0

20

40

60

80

100

120

140

160

4Q14 4Q15 4Q16 4Q17 4Q18 4Q19

Th

ou

sa

nd

s

Non-financia l sector Financial sector

% of corp. bonds (rhs)

Note: Net cum ulative am ount of green bonds issued by financial and non-financi al corpor ates in the EU, EUR bn, and share of overall cor porate bondmarket, in % (rhs).

Sources: Climate Bonds Initiative, Refinitiv EIKON, ESMA.

0

10

20

30

40

50

60

70

80

90

AAA AA A BBB Non-IG Not rated

Th

ou

sa

nd

s

Private sector Public sector

Note: Green Bonds outstanding in the EU, by credit rating and issuer sector,EUR bn.Sources: Climate Bonds Initiative, Refinitiv EIKON, ESMA.

0

50

100

150

200

250

300

2013 2014 2015 2016 2017 2018 2019

0-5 years 5-10 years 10-20 years >20 years

Note: N et cumulative green bonds issuance in the EU by maturity bucket ,EUR bn.Sources: Climate Bonds Initiative, Refinitiv EIKON, ESMA.

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Public sector

green bonds

Private sector

green bonds

Conventional

corporate bonds

0-5 years 5-10 years 10-20 years >20 years

Note: Distribution of green bonds and corporate bonds outs tanding in theEU by maturity bucket, in %.Sources: Climate Bonds Initiative, Refinitiv EIKON, ESMA.


A.196 A.197

Green bond liquidity Green bond currencies

A.198 A.199

ESG share price performance ESG index risk-adjusted returns

Emissions trading

A.200 A.201

Emission allowance prices Emission allowance turnover

0.1

0.2

0.3

0.4

0.5


Conventional bonds Green bonds

Note: Average bid-ask spread for green bonds and other bonds issuedby the same issuer traded on EuroMTS, in bps.Sources: MTS, ESMA.

0 50 100 150 200 250

Rest of the Wor ld

British Pound

US Dol lar

Other EEA

Euro

Note: Green bonds outstanding in the EU by currency, EUR bn.Sources: Climate Bonds Initiative, Refinitiv EIKON, ESMA.

80

90

100

110

120

130


EA GB US

Note: MSCI ESG leaders total return indices, denominated i n USD, indexedwith 01/11/2017=100.Sources: Refinitiv Datastream, ESMA.

-20

-10

0

10

20

30

40

-15

-10

-5

0

5

10

15

20

25

30

2014 2015 2016 2017 2018 2019

EURO STOXX 50 EURO STOXX 50 - ESG

Main index - risk-adjusted ESG index - risk-adjusted

Note: Annual returns of the EURO STOXX 50 and its ESG leaders subindex,in %. Risk-adjusted returns, on rhs, measured as Sharpe ratios . Current yeardata year-to-date.


0

5

10

15

20

25

30

35


EUA 1Y-MA

Note: Daily settlement price of European Emission Allow ances (EUA) onEuropean Energy Exchange spot market, in EUR/tCO2.Sources: Refinitiv Datastream, ESMA.

0

10

20

30

40

50

60

70

80

90


EUA 1Y-MA

Note: Monthly turnover of European Emission Allowances (EUA) on EuropeanEnergy Exchange, in EUR mn.Sources: Refinitiv Datastream, ESMA.


Financial innovation

Financial innovation A.202 A.203

Total net assets in world’s largest MMFs Crypto-Assets market capitalisation

A.204 A.205

Crypto-Asset prices Crypto-Asset price volatility

A.206 A.207

Bitcoin futures market ICO issuances

0

50

100

150

200

250

3Q14 3Q15 3Q16 3Q17 3Q18 3Q19

Fidelity Government Cash ReservesJP Morgan US GovernmentYu'e Bao

Note: Fund value of 3 largest MMFs as of 30 June 2019, EUR bn. 'Yu'eBao'=TianHong Income Box Money Market Fund. 2Q18 value for Yu'e Baointerpolated.Sources: Morningstar Direct, ESMA.

0

100

200

300

400

500

600

700


Bitcoin Mkt. Cap. Ethereum Mkt. Cap. Others Mkt. Cap.

Note: Bitcoin, Ethereum and other crypto-currencies market capitalisation, inEUR bn.

0.0

0.2

0.4

0.6

0.8

1.0

1.2

0

2

4

6

8

10

12

14

16

18


Bitcoin Ethereum (rhs)

Note: Prices of selected crypto-assets, EUR thousand.Sources: Refinitiv Datastream, ESMA.

0

25

50

75

100

125

150

175


Bitcoin EthereumEUR/USD GoldEURO STOXX 50

Note: Annualised 30-day historical volatility of EURO STOXX 50, EUR/USDspot rate returns and USD-denominated returns for Bitcoin, Ethereum andgold, in %.Sources: Refinitiv Datastream, ESMA.

-40

-20

0

20

40

60

0

2

4

6

8

10

Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19

CBOE futures CME futures Monthly change

Note: Total open interest in Bitcoin futures, in thousand of contracts, andchange in monthly average total open interest, in %.Sources: Refinitiv Datastream, ESMA.

0

1

2

3

4

5

6


Note: Global monthly volumes raised in ICOs in EUR bn.Sources: Coinschedule.com, ESMA.


Documents

Chart TRV Statistical Annex - ESMA...ESMA Report on Trends, Risks and Vulnerabilities No. 1, 2020 19 February 2020 ESMA50-165-1041 ESMA TRV Statistical Annex No. 1, 2020 2 Table of