EU Derivatives Market Amounted to €660 Trillion In 2017, Says Report

EMIRA research study on derivatives markets published by the European Securities and Markets Authority (ESMA) has found that EU’s derivatives markets amounted to €660tn of gross notional outstanding transactions by 31 December 2017.

The first Annual Statistical Report on the European Union’s (EU) derivatives markets was based on data submitted under the European Markets and Infrastructure Regulation (EMIR). Its main goal is to contribute to ESMA’s risk assessment, to facilitate entity oversight by supervisory authorities, both national and European, and enhance supervisory convergence.

Steven Maijoor, Chair 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. In addition to allowing us to quantify the size of the market, at €660tn, it also allows us to observe that derivatives clearing rates are increasing significantly, showing that the EMIR clearing obligation works and is having the desired impact.”

Steven Maijoor, Chair of ESMA
Steven Maijoor, Chair of ESMA

According to the report, trade repositories reported a total of 74mn open transactions amounting to a gross notional outstanding of around EUR 660tn, including both over the counter (86% of the total) and exchange traded derivatives (14%) at the end of 2017.

Interest rate derivatives dominate the market in notional terms with 69% of the total amount outstanding, followed by currency derivatives, at 12%, while all other asset classes i.e. equity, credit and commodity derivatives, account for less than 5% of the total amount outstanding.
Additionally, central clearing rates for new transactions were found to be increasing significantly. For all outstanding contracts in Q4Q2017, central clearing rates were around 27% (25% in Q1Q2017) for credit derivatives and 58% (40% in Q1Q2017) for interest rate derivatives, including also contracts concluded before the clearing obligation came into force.