TRV Statistical Annex - ESMA Report on Trends, Risks and Vulnerabilities No.1, 2023
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9 February 2023
ESMA50-164-2406
TRV Statistical Annex
ESMA Report on Trends, Risks and Vulnerabilities No.1, 2023ESMA TRV Statistical Annex No. 1, 2023 2 ESMA Report on Trends, Risks and Vulnerabilities – Statistical Annex No. 1, 2023 © European Securities and Markets Authority, Paris, 2023. All rights reserved. Brief excerpts may be reproduced or translated provided the source is cited adequately. The reporting period for this Report is 1 July 2022 to 31 December 2022, unless otherwise indicated. Legal reference for this Report: Regulation (EU) No. 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC, Article 32 ‘Assessment of market developments, including stress tests’, ‘1. The Authority shall monitor and assess market developments in the area of its competence and, where necessary, inform the European Supervisory Authority (European Banking Authority), and the European Supervisory Authority (European Insurance and Occupational Pensions Authority), the European Systemic Risk Board, and the European Parliament, the Council and the Commission about the relevant micro- prudential trends, potential risks and vulnerabilities. The Authority shall include in its assessments an analysis of the markets in which financial market participants operate and an assessment of the impact of potential market developments on such financial market participants.’ The information contained in this publication, including text, charts and data, exclusively serves analytical purposes. It does not provide forecasts or investment advice, nor does it prejudice, preclude or influence in any way past, existing or future regulatory or supervisory obligations by market participants. The charts and analyses in this report are, fully or in part, based on data not proprietary to ESMA, including from commercial data providers and public authorities. ESMA uses these data in good faith and does not take responsibility for their accuracy or completeness. ESMA is committed to constantly improving its data sources and reserves the right to alter data sources at any time. The third-party data used in this publication may be subject to provider-specific disclaimers, especially regarding their ownership, their reuse by non-customers and, in particular, their accuracy, completeness or timeliness, and the provider’s liability related thereto. Please consult the websites of the individual data providers, whose names are given throughout this report, for more details on these disclaimers. Where third-party data are used to create a chart or table or to undertake an analysis, the third party is identified and credited as the source. In each case, ESMA is cited by default as a source, reflecting any data management or cleaning, processing, matching, analytical, editorial or other adjustments to raw data undertaken. ISBN 978-92-95202-69-6, doi:10.2856/66589, ISSN 2599-8749, EK-AC-23-001-EN-N European Securities and Markets Authority (ESMA) Economics, Financial Stability and Risk Department 201-203 Rue de Bercy FR-75012 Paris risk.analysis@esma.europa.eu ESMA - 201-203 rue de Bercy - CS 80910 - 75589 Paris Cedex 12 - France - www.esma.europa.eu
ESMA TRV Statistical Annex No. 1, 2023 3
Table of contents
1. Market environment............................................................................................4
2. Securities markets ..............................................................................................5
2.1. Equity markets ...................................................................................................................... 5
2.2. Sovereign-bond markets....................................................................................................... 6
2.3. Corporate-bond markets ....................................................................................................... 9
2.4. Credit quality ....................................................................................................................... 10
2.5. Securities lending ............................................................................................................... 12
2.6. Short selling ........................................................................................................................ 12
2.7. Money markets ................................................................................................................... 13
2.8. Commodities ....................................................................................................................... 14
3. Asset management ..........................................................................................15
3.1. Fund industry ...................................................................................................................... 15
3.2. Money market funds ........................................................................................................... 17
3.3. Alternative funds ................................................................................................................. 18
3.4. Exchange-traded funds....................................................................................................... 20
4. Consumers .......................................................................................................22
4.1. Investment resources available to households................................................................... 22
4.2. Asset allocation by retail investors ..................................................................................... 22
4.3. Costs and performance ...................................................................................................... 24
4.4. Complaints .......................................................................................................................... 26
5. Infrastructures and services .............................................................................27
5.1. Trading venues and MiFID entities ..................................................................................... 27
5.2. Central counterparties ........................................................................................................ 28
5.3. Central securities depositories ........................................................................................... 29
5.4. Credit rating agencies ......................................................................................................... 30
5.5. Financial benchmarks ......................................................................................................... 31
6. Market based finance .......................................................................................32
6.1. Capital markets financing ................................................................................................... 32
6.2. SMEs .................................................................................................................................. 34
6.3. Market-based credit intermediation .................................................................................... 34
7. Sustainable finance ..........................................................................................36
7.1. ESG investing ..................................................................................................................... 36
7.2. Sustainable debt ................................................................................................................. 37
7.3. Carbon markets .................................................................................................................. 38
8. Financial innovation..........................................................................................40
8.1. Financial innovation ............................................................................................................ 40ESMA TRV Statistical Annex No. 1, 2023 4
Market environment
A.1 A.2
EU market price performance EU market volatilities
300 80
70
250
60
200 50
40
150 30
20
100
10
50 0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Equities Commodities Equities Commodities
Corporate bonds Sovereign bonds Corporate bonds Sovereign bonds
Note: Return indices on EA equities (Datastream regional index), global Note: Annualised 40D volatility of return indices on EA equities (Datastream
commodities (S&P GSCI) converted to EUR, EA corporate and sovereign regional index), global commodities (S&P GSCI) converted to EUR, EA
bonds (iBoxx EUR, all maturities). 01/04/2020=100. corporate and sovereign bonds (iBoxx EUR, all maturities), in %.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.
A.3 A.4
Economic policy uncertainty EU market confidence
525 50 40
450 20
40
375 0
300 30 -20
225 20 -40
150 -60
10
75 -80
Nov-20 Mar-21 Jul-21 Nov-21 Mar-22 Jul-22 Nov-22
0 0 Auxiliary activities Fin. intermediation
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Ins. and pension Overall fin. sector
Europe US Global VSTOXX (rhs) 1Y-MA overall
Note: Economic Policy Uncertainty Index (EPU), developed by Baker et al. Note: European Commission survey of EU27 financial services sector and
(www.policyuncertainty.com), based on the frequency of articles in European subsectors (NACE Rev.2 64, 65, 66). Confidence indicators are averages of
newspapers that contain the following triple: "economic" or "economy", the net balance of responses to questions on development of the business
"uncertain" or "uncertainty" and one or more policy-relevant terms. Global situation over the past three months, evolution of demand over the past three
aggregation based on PPP-adjusted GDP weights. Implied volatility of EURO months and expectation of demand over the next three months, in % of
STOXX 50 (VSTOXX), monthly average, on the right-hand side. answers received. Fin.=financial. Ins.=insurance.
Sources: Baker, Bloom, and Davis 2015; Refinitiv Datastream, ESMA. Sources: European Commission, ESMA.
A.5 A.6
EUR exchange rates ESMA composite indicator of systemic stress
120
115
110
105
100
95
90
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
USD JPY
GBP CHF
Emerging 1Y-MA USD
Note: Spot exchange rates to EUR. Emerging is an average of spot exchange
rates for CNY, BRL, RUB, INR, MXN, IDR and TRY weighted by GDP as of
start date year. 01/04/2020=100. Increases in value represent an appreciation
of EUR. 1Y-MA USD=one-year moving average of the USD exchange rate.
Sources: ECB, IMF, ESMA.ESMA TRV Statistical Annex No. 1, 2023 5
Securities markets
Equity markets
A.7 A.8
Global equity price performance by region EU equity price performance of national indices
170 160
150
140
130
120
110
100
90
70 80
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
CSI 300 EURO STOXX 50 EURO STOXX 50 CAC 40
NIKKEI 225 S&P 500 DAX FTSE 100
Global FTSE MIB IBEX
Note: Regional equity return indices. 01/04/2020=100. Note: European equity return indices. 01/04/2020=100.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.
A.9 A.10
EU equity price performance by sector US and EU equity price-earnings ratios
160 40
35
140 30
25
120 20
15
100 10
5
0
80 Nov-20 Mar-21 Jul-21 Nov-21 Mar-22 Jul-22 Nov-22
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 EA US
Banks Financial services 10Y-AVG EA 10Y-AVG US
Insurance Non-financials Note: Price-earning ratios based on average inflation-adjusted earnings from
the previous 10 years (cyclically adjusted price-earning ratios). Averages
Note: STOXX Europe 600 sectoral return indices. 01/04/2020=100. computed from the most recent data point up to 10 years before.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv Datastream, ESMA.
A.11 A.12
EU implied equity volatility EU implied equity volatility by option maturity
60 60
50 50
40 40
30 30
20 20
10 10
0
0 Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
VSTOXX 1M VSTOXX 3M
VIX VSTOXX 5Y-MA VSTOXX VSTOXX 12M VSTOXX 24M
Note: Implied volatility of EURO STOXX 50 (VSTOXX) and S&P 500 (VIX), in Note: EURO STOXX 50 implied volatilities, measured as price indices, in %.
%. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 1, 2023 6
A.13 A.14
EU equity bid-ask spread ESMA composite equity illiquidity index
14 0.48
0.47
12
0.46
10 0.45
8 0.44
0.43
6
0.42
4 0.41
0.40
2 Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Illiquidity index 1Y-MA
0 Note: Composite indicator of illiquidity in the equity market for the current
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 STOXX Europe Large 200 constituents, computed by applying the principal
component methodology to six input liquidity measures (Amihud illiquidity
Bid-ask spread 40D-MA 5Y-MA coefficient, bid-ask spread, Hui-Heubel ratio, turnover value, inverse turnover
ratio and market efficiency coefficient). The indicator range is between 0
Note: Liquidity measure as median of the bid-ask price percentage difference (higher liquidity) and 1 (lower liquidity).
for the current EEA30 constituents of STOXX Europe Large 200, in bps. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.
Sovereign-bond markets
A.15 A.16
EU sovereign bond issuance and outstanding EU sovereign bond issuance by credit rating
9 450 450
AAA
8 400 400
350
7 350
300 AA
6 300
250
5 250 200
4 200 150 A+
3 150 100
50
2 100 A-
0
1 50 4Q17 4Q18 4Q19 4Q20 4Q21 4Q22
0 0 AAA AA+ to AA-
4Q17 4Q18 4Q19 4Q20 4Q21 4Q22 Below AA- NR
Outstanding non-EA Outstanding EA Avg. rating (rhs)
Non-EA issuance (rhs) EA issuance (rhs) Note: Sovereign bond gross issuance in the EEA30 by rating bucket, EUR bn.
5Y-MA issuance (rhs) Avg. rating=weighted average rating computed as a one-year moving average
of ratings converted to a numerical scale (AAA=1, AA+=2, etc.) excluding non-
Note: Sovereign bond gross issuance in the EEA30 (rhs), EUR bn, and rated bonds. Maturities < 12 months are excluded.
outstanding amounts, EUR tn. Maturities < 12 months are excluded. Sources: Refinitiv EIKON, ESMA.
Sources: Refinitiv EIKON, ESMA.
A.17 A.18
EU sovereign bond rating distribution Net EU sovereign bond issuance by country
100 50 100
0 0
80
-50 -100
60
-100 -200
40
-150 -300
20 -200 -400
IS
IE
IT
BE
BG
EE
ES
MT
PL
PT
SE
SK
EEA30
AT
NL
SI
CY
CZ
HR
HU
DE
DK
LT
LU
LV
NO
RO
FI
FR
GR
0 1Y high 1Y low 4Q22
Note: Quarterly net issuance of EEA30 sovereign debt by country, EUR bn.
4Q17 4Q18 4Q19 4Q20 4Q21 4Q22
Net issuance calculated as the difference between new issuance over the
AAA AA A BBB BB and lower NR quarter and outstanding debt maturing over the quarter. Highest and lowest
quarterly net issuance in the past year are reported. EEA30 total on right-
Note: Outstanding amount of sovereign bonds in the EEA30 as of issuance hand scale. All maturities are included.
date by rating category, in % of the total. Maturities < 12 months are excluded. Sources: Refinitiv EIKON, ESMA.
Sources: Refinitiv EIKON, ESMA.ESMA TRV Statistical Annex No. 1, 2023 7
A.19 A.20
EU and US 10Y sovereign yields EU 10Y sovereign spreads
9 4
8
7
3
6
5
4 2
3
2
1 1
0
-1 0
-2
Dec-02 Dec-06 Dec-10 Dec-14 Dec-18 Dec-22
BE DE ES
-1
FR IT SE Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
US 1Y-MA ES GR IE IT PT
Note: Yields on 10Y sovereign bonds, selected countries, in %. 1Y-MA = one-
Note: Selected 10Y EA sovereign bond risk premia (vs. DE Bunds), in %.
year moving average of EA 10Y bond indices computed by Datastream. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.
A.21 A.22
EU sovereign yield correlation dispersion EU equity-sovereign bond returns correlation dispersion
1.0 1.0
0.5
0.5
0.0
0.0
-0.5
-0.5
-1.0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
-1.0 Top 25% Core 50%
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Top 25% Core 50% Bottom 25% Median
Bottom 25% Median Note: Dispersion of the correlation between daily returns of national equity
indices and national sovereign debt return index, for 16 countries in the EU27,
Note: Dispersion of correlations between 10Y DE Bunds and 15 other EU27 over a 60-day rolling window.
countries' sovereign bond redemption yields over a 60-day rolling window. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.
A.23 A.24
EU 10Y sovereign bond volatility Global sovereign CDS spreads
30 40
25
30
20
15
20
10
5 10
0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
0
BE DE ES Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
FR IT SE
US 1Y-MA Europe JP
Note: Annualised 40-day volatility of 10Y sovereign bonds, selected countries, US 1Y-MA Europe
in %. 1Y-MA=one-year moving average of EA 10Y bond indices computed by Note: Datastream CDS sovereign indices (5 years, mid-spread), in bps.
Datastream. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 1, 2023 8
A.25 A.26
EU sovereign bid-ask spread ESMA composite sovereign bond liquidity index
0.10 1.0
0.8
0.08
0.6
0.06
0.4
0.04
0.2
0.02
0.0
Dec-20 Apr -21 Aug -21 Dec-21 Apr -22 Aug -22 Dec-22
Eur o MTS Domestic MTS
0.00
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 1Y- MA Domestic 1Y- MA Eur o MTS
Note: Composite indicator of market liquidity in the sov ereign bond
Bid-ask spread 1Y-MA market for the domestic and Eur o MTS platforms, computed by applying
Note: Bid-ask spread as a monthly average of bid-ask spreads weighted by the principal c omponent methodology to four input liquidity measures
trading volumes for bonds both traded on one of 12 EU27 domestic markets (Amihud illiqui dity coefficient, Bid-ask spread, Roll illiquidity meas ure and
(AT, BE, DE, ES, FI, FR, GR, IE, IT, NL, PT and SI) and Euro MTS, in EUR. Turnover). T he indic ator range is between 0 (higher liquidity) and 1
Sources: MTS, ESMA. (lower liquidity).
Sources: MTS, ESMA.
A.27 A.28
EU sovereign bond liquidity EU sovereign bond liquidity dispersion
12 50
10 40
8 30
6
20
4
10
2
0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
0 Top 25% Core 50%
Dec-07 Dec-10 Dec-13 Dec-16 Dec-19 Dec-22
Bottom 25% Median
Liquidity indicator 40D-MA 5Y-MA Note: Dispersion of liquidity measured as median across countries of the bid-
Note: Liquidity measured as median across countries of the bid—ask yields ask yields difference for 10Y sovereign bonds, in bps. Lower figures mean
difference for 10Y sovereign bonds, in bps. Lower figures mean more liquidity more liquidity and vice-versa. 22 EEA30 countries are included.
and vice versa. 22 EEA30 countries are included. Sources: Refinitiv EIKON, ESMA.
A.29 A.30
EU sovereign bond futures liquidity EU sovereign bond redenomination risk
1.50 100
90
1.25 80
70
1.00 60
50
0.75
40
30
0.50
20
0.25 10
0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
0.00
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 BE DE ES FR
DE FR IT IE IT PT
Note: Difference between 5Y CDS spreads under the 2014 ISDA definition
Note: One-month moving averages of the Hui-Heubel illiquidity indicator for (where debt redenomination is a credit event), and under the 2003 ISDA
selected 10Y sovereign bond futures, in %. Lower figures mean more liquidity definition (where it is not), in bps.
and vice-versa. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 1, 2023 9
Corporate-bond markets
A.31 A.32
EU corporate yields by credit rating EU corporate spreads by credit rating
5.0 300
4.5
4.0 250
3.5
200
3.0
2.5
150
2.0
1.5 100
1.0
0.5 50
0.0
0
-0.5 Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
AAA AA A AAA AA A
BBB 1Y-MA
BBB 1Y-MA
Note: ICE BofAML EA corporate bond option-adjusted spreads by rating, in
Note: : ICE BofAML EA corporate bond redemption yields by rating, in %. 1Y- bps. 1Y-MA=one-year moving average of all indices.
MA=one-year moving average of all indices. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.
A.33 A.34
EU corporate rating distribution EU corporate bid-ask spread and Amihud indicator
100 70 0.25
60
80 0.20
50
40 0.15
60
30 0.10
40
20
0.05
10
20
0 0.00
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
0
4Q17 4Q18 4Q19 4Q20 4Q21 4Q22 Bid—ask 1Y-MA Amihud (rhs)
AAA AA A BBB BB and lower NR Note: Markit iBoxx EUR Corporate Bond Index bid—ask spread, in bps,
computed as a one-month moving average of the constituents bid—ask
Note: Outstanding amount of corporate bonds in the EEA30 as of issuance spread. 1Y-MA = one-year moving average of the bid—ask spread. Amihud
date by rating category, in % of the total. Maturities < 12 months are excluded. liquidity coefficient index between 0 and 1. Highest value indicates less
Sources: Refinitiv EIKON, ESMA. liquidity.
A.35 A.36
EU corporate debt redemption profile by sector EU sovereign-corporate yield correlation
600 300 1.0
500 200
0.5
400 100
300 0
0.0
200 -100
100 -200 -0.5
0 -300
4Q22 4Q23 4Q24 4Q25 4Q26 4Q27
Non-financials Financials -1.0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
1Y-change fin (rhs) 1Y-change non-fin (rhs) Top 25% Core 50%
Note: Quarterly redemptions over 5Y-horizon by EEA30 private financial and Bottom 25% Median
non-financial corporates, EUR bn. 1Y-change=difference between the sum of Note: Dispersion of correlation between Barclays Aggregate for corporate and
this year's (four last quarters) and last year's (8th to 5th last quarters) 10Y sovereign bond redemption yields for AT, BE, ES, FI, FR, IT and NL.
redemptions. Maturities < 12 months are excluded. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv EIKON, ESMA.ESMA TRV Statistical Annex No. 1, 2023 10
A.37 A.38
EU covered bond spreads EU hybrid capital instruments issuance
25 900
140
750
120 20
600
100 15
80 450
10
60 300
40 5
150
20 0 0
4Q17 4Q18 4Q19 4Q20 4Q21 4Q22
0 Outstanding (rhs) Issuance
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 5Y-MA issuance
Note: Hybrid capital instruments gross issuance in the EEA30, EUR bn, and
AAA AA A 1Y-MA
outstanding amounts (rhs), EUR tn. Maturities < 12 months are excluded.
Note: iBoxx EUR covered bond option-adjusted spreads by rating, in bps. 1Y- According to Refinitiv EIKON classification, hybrid capital refers to bonds
MA=one-year moving average of all indices. having the qualities of both an interest-bearing security (debt) and equity.
Sources: Refinitiv Datastream, ESMA. Sources: Refinitiv EIKON, ESMA.
Credit quality
A.39 A.40
EU SFI ratings issued by collateral type EU SFI ratings outstanding by collateral type
10,000 500 100%
8,000 400 80%
6,000 300 60%
4,000 200
40%
2,000 100
20%
0 0
Dec-18 Dec-19 Dec-20 Dec-21 Dec-22 0%
ABS CDO Dec-18 Dec-19 Dec-20 Dec-21 Dec-22
RMBS CMBS (rhs)
OTH (rhs) RMBS OTH CMBS CDO ABS
Note: Outstanding ratings of EEA30 structured finance instruments by
Note: Number of rated EEA30 structured finance instruments by asset asset class, in % of total. ABS=Asset-backed securities;
class. ABS=Asset-backed securities (r.h.axis); CDO=Collateralised debt CDO=Collateralised debt obligations; CMBS=Commercial mortgage-
obligations; CMBS=Commercial mortgage-backed securities; backed securities; OTH=other; RMBS=Residential mortgage-backed
OTH=Other; RMBS=Residential mortgage-backed securities. Asset securities. Asset backed commercial paper omitted due to very small
backed commercial paper omitted due to very small sample size. sample size.
Sources: RADAR, ESMA. Sources: RADAR, ESMA.
A.41 A.42
Credit rating distribution of EU covered bonds EU SFI rating changes
100 500
80 400
60 300
40 200
20 100
0 0
4Q17 4Q18 4Q19 4Q20 4Q21 4Q22 Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22
Downgrades Upgrades
AAA AA A BBB BB and lower NR
3M-MA downgrades 3M-MA upgrades
Note: Outstanding amount of covered bonds in the EEA30 as of issuance date Note: Aggregate number of notch changes on securitised assets issued in the
by rating category, in % of the total. Maturities < 12 months are excluded. EEA30 with long-term ratings, for upgrades and downgrades.
Sources: Refinitiv EIKON, ESMA. Sources: RADAR, ESMA.ESMA TRV Statistical Annex No. 1, 2023 11
A.43 A.44
EU non-financial corporate rating changes Size of EU credit rating changes
40 100 2
1.5
60
20
1
20
0.5
0
-20 0
-20 -0.5
-60
-1
-40 -100 -1.5
Dec-18 Dec-19 Dec-20 Dec-21 Dec-22 2015 2016 2017 2018 2019 2020 2021 2022
ES IE IT PT GR rhs Non-financials Covered bonds Financials
Note: Number of upgrades minus downgrades of non-financial corporate Insurance Sovereigns Structured Finance
issuers for ES, GR, IE, IT and PT, in % of outstanding ratings. Ratings from Note: Average change in notches for long-term EEA30 ratings for issuers and
Fitch Ratings, Moody's and S&P's. instruments (excl. ICAP and CERVED).
Sources: RADAR, ESMA. Sources: RADAR. ESMA
A.45 A.46
EU credit ratings drift by asset class EU credit ratings volatility by asset class
6
8
3 6
0 4
-3 2
-6 0
Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22 Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22
Corporate (Fin) Corporate (Ins) Corporate (Fin) Corporate (Ins)
Corporate (NFC) Sovereign Corporate (NFC) Sovereign
Structured Finance Structured Finance
Note: 3-month moving average of net rating changes in EEA30 Note: 3-month moving average of net rating changes in EEA30
outstanding ratings from all credit rating agencies, excluding CERVED outstanding ratings from all credit rating agencies, excluding CERVED
and ICAP, by asset class, computed as the percentage of upgrades and ICAP, by asset class, computed as the percentage of upgrades
minus the percentage of downgrades. EEA30 ratings. Fin - Financials, minus the percentage of downgrades. EEA30 ratings. Fin - Financials,
Ins - Insurance, NFC - non-financials. Ins - Insurance, NFC - non-financials.
Sources: RADAR, ESMA. Sources: RADAR, ESMA.
A.47 A.48
EU corporate issuer downgrades EU credit rating outlook by rating category
100% 30%
80 100%
25%
80%
80%
60
20%
60% 60%
40 15%
40% 40%
10%
20
20% 20%
5%
0 0% 0% 0%
Jan-20 May-20 Nov-20 Apr-21 Sep-21 Feb-22 Jul-22 Dec-22 AAA AA A BBB BB B CCC
Unique issuers downgraded
Negative Outlook Positive Outlook
Downgrades share of rating changes (rhs)
3-wk moving average downgrade share (rhs) Stable Outlook % with outlook (r.h.s)
Note: Distribution of outlooks for EEA30 corporate non financial instruments
Note: Number of EEA30 corporate issuers with at least one bond downgraded, (ISINs) with outlook rated by the Big 5 (Fitch, Moody's, S&P, Scope and
and ratio of dowgraded corporate issues over upgrades and downgrades (3 DBRS) by category value over the total ratings per category value. Cutoff date
week moving average). 31/12/2022.
Sources:ESMA, RADAR Sources: RADAR, ESMA.ESMA TRV Statistical Annex No. 1, 2023 12
Securities lending
A.49 A.50
EU securities lending market value by asset type EU securities utilisation rate
200 30
180
25
160
140
20
120
100 15
80
10
60
40
5
20
- -
Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22 Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22
Corporate bonds Sovereign bonds Corporate bonds Sovereign bonds
Equities Note: Utilisation rate of securities issued in the EEA, by asset class.
Note: value on loan of securities issued in the EEA by asset class, in Utilisation rate in percent: the ratio of the market value of securities lent
EUR bn. over the market value of securities available for lending.
Sources: FIS Astec, Quandl, ESMA. Sources: FIS Astec, Quandl, ESMA.
A.51 A.52
EU securities lending with open maturity Global sovereign bond utilisation rate by region
100 45
90 40
80 35
70
30
60
25
50
20
40
15
30
20 10
10 5
- -
Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22 Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22
Corporate bonds Sovereign bonds EEA30 US UK
Equities Note: Utilisation rate of sovereign bonds issued in EEA countries, in the
Note: value of open-ended lending over total lending by asset class, in US and in the UK. Utilisation rate in percent: the ratio of the market value
percentage. of securities lent over the market value of securities available for lending.
Sources: FIS Astec, Quandl, ESMA. Sources: FIS Astec, Quandl, ESMA.
Short selling
A.53 A.54
Dispersion of net short positions in EU shares Value of net short positions in EU shares by sector
10 2.0
9 1.8
8 1.6
7 1.4
6
1.2
5
1.0
4
0.8
3
0.6
2
0.4
1
0.2
0
Sep-20 Jan-21 May-21 Sep-21 Jan-22 May-22 Sep-22 0.0
Sep-20 Jan-21 May-21 Sep-21 Jan-22 May-22 Sep-22
Top 25% Core 50%
Energy Financials Healthcare
Bottom 25% Median Industrials Technology Telecom
Note: Dispersion of net short selling positions by country in the EEA30 as Note: Market value of net short selling positions in EA shares as percentage
percentage of market value of those positions relative to each country's blue- of market value of selected EA sectoral indices. The 0.1% reporting threshold
chip index market value. The 0.1% threshold entered into force on 31 January entered into force on 31 January 2022 for all EU countries. NO, IS and LI will
2022 for all EU countries. NO, IS and LI continue to use the 0.2% threshold continue to use the 0.2% reporting threshold until their national legislation is
until the CDR 2022/27 is incorporated in their national legislation. Partially or amended. Partially or fully missing data for the following countries: DK, GR,
fully missing data for the following countries: DK, GR, NL, PL and RO. NL, PL and RO.
Sources: NCAs, Refinitiv Datastream, ESMA. Sources: NCAs, Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 1, 2023 13
A.55 A.56
Net short positions in industrial shares and equity prices Net short positions in EU financial shares and equity prices
1.8 150 1.2 180
1.6 140 160
1.0
1.4 130 140
1.2 120 0.8 120
1.0 110 100
0.6
0.8 100 80
0.6 90 0.4 60
0.4 80 40
0.2
0.2 70 20
0.0 60 0.0 0
Sep-20 Jan-21 May-21 Sep-21 Jan-22 May-22 Sep-22 Sep-20 Jan-21 May-21 Sep-21 Jan-22 May-22 Sep-22
Industrials Sectoral equity index (rhs) Financials Sectoral equity index (rhs)
Note: Market value of net short selling positions in EA industrial shares as Note: Market value of net short selling positions in EA financial shares as
percentage of market value of EA industrial sectoral indice. 01/03/2020=100. percentage of market value of EA financial sectoral indice. 01/03/2020=100.
The 0.1% threshold entered into force on 31 January 2022 for all EU The 0.1% threshold entered into force on 31 January 2022 for all EU
countries. NO, IS and LI continue to use the 0.2% threshold until the CDR countries. NO, IS and LI continue to use the 0.2% threshold until the CDR
2022/27 is incorporated in their national legislation. Partially or fully missing 2022/27 is incorporated in their national legislation. Partially or fully missing
data for the following countries: DK, GR, NL, PL and RO. data for the following countries: DK, GR, NL, PL and RO.
Sources: NCAs, Refinitiv Datastream, ESMA. Sources: NCAs, Refinitiv Datastream, ESMA.
Money markets
A.57 A.58
Euro area interest rates Euribor rates by maturity
3.0 4.0
3.5
2.5
3.0
2.0
2.5
1.5 2.0
1.0 1.5
1.0
0.5
0.5
0.0
0.0
-0.5 -0.5
-1.0
-1.0 Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
1W 1M 3M 6M 1Y
3M Euribor ECB rate EONIA ESTR
Note: Euribor interest rates by maturity, in %.
Note: EA money market interest rates, in %. Sources: Refinitiv Datastream, ESMA.
Sources: Refinitiv Datastream, ESMA.
A.59 A.60
Interbank rate spreads to overnight index swap Interbank overnight activity
50 90
80
70
25 60
50
40
0 30
20
10
-25 0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Euribor GBP Libor ESTR SONIA
USD Libor 5Y-MA Euribor
Note: 1M-MA of daily lending volumes on Euro short-term rate (€STR), EUR
Note: Spreads between 3M interbank interest rates and 3M overnight index bn, and Sterling Overnight Index Average (SONIA), GBP bn.
swaps, in bps. Sources: ECB, Refinitiv EIKON, ESMA.
Sources: Refinitiv Datastream, ESMA.ESMA TRV Statistical Annex No. 1, 2023 14
Commodities
A.61 A.62
Dutch Natural Gas Futures open interest Dutch Natural Gas Futures net positions
2,500 500
Millions
Millions
400
2,000 300
200
100
1,500
0
-100
1,000
-200
-300
500
-400
-500
Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22
0
Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Jun-22 Dec-22 Commercials (hedging) Financials (other use)
Commercials Financials Investment Firms Commercials (other use)
Note: Net number of positions (long minus short) on Dutch Natural Gas Future
Note: Open interests on Dutch Natural Gas Futures by commercial, financials
held by commercial traders and financials traders (funds and other financial
traders (funds and other financial institutions) and investment firms, in mn.
institutions) in mn.
Spikes might reflect data quality issues.
Sources: ESMA Weekly Commodity Derivatives Positions Reporting, ESMA.
Sources: ESMA Weekly Commodity Derivatives Positions Reporting, ESMA.ESMA TRV Statistical Annex No. 1, 2023 15
Asset management
Fund industry
A.63 A.64
EU fund performance Volatility of EU fund returns
4.0 40
3.0
30
2.0
1.0 20
0.0
10
-1.0
-2.0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 0
Alternatives Equity Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Bond Commodity Alternative Equity Bond
Mixed Assets Real Estate Commodity Mixed Real Estate
Note: EU27-domiciled investment funds' annual average monthly returns, Note: Annualised 40D historical return volatility of EU27 domiciled mutual
asset weighted, in %. funds, in %.
Sources: Thomson Reuters Lipper, ESMA. Sources: Thomson Reuters Lipper, ESMA.
A.65 A.66
EU fund assets by market segment EU fund NAV by legal form
6 20
18
5 16
14
4
12
10
3
8
2 6
4
1 2
0
0 3Q17 3Q18 3Q19 3Q20 3Q21 3Q22
Oct-20 Feb-21 Jun-21 Oct-21 Feb-22 Jun-22 Oct-22 AIFs UCITS
Alternative Bond Equity
Mixed Other Real estate Note: NAV of EEA30 funds, EUR tn.
Sources: EFAMA, ESMA.
Note: AuM of EA funds by fund type, EUR tn.
Sources: ECB, ESMA.
A.67 A.68
EU fund NAV by market segment EU fund leverage by market segment
6 1.35
1.30
5
1.25
4
1.20
3
1.15
2 1.10
1.05
1
1.00
0 Oct-20 Feb-21 Jun-21 Oct-21 Feb-22 Jun-22 Oct-22
Oct-20 Feb-21 Jun-21 Oct-21 Feb-22 Jun-22 Oct-22 Alternative Bond Equity
Alternative Bond Equity Mixed Other Real estate
Mixed Other Real estate Note: Leverage of EA investment funds by fund type computed as the
AuM/NAV ratio.
Note: NAV of EA investment funds by fund type, EUR tn. Sources: ECB, ESMA.
Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 1, 2023 16
A.69 A.70
EU fund flows by fund type EU fund flows by regional investment focus
12 12
10
8 6
6
4 0
2
0
-6
-2
-4
-12
-6
-8
-10 -18
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
-12 Emerging markets BF Global BF
4Q20 2Q21 4Q21 2Q22 4Q22
North America BF Europe BF
Alternative Bond Commodity Equity Mixed MMF Emerging markets EF Global EF
Note: EU27 fund quarterly net flows, in % of NAV.
Note: EU27 bond and equity funds (BF and EF) montlhy flows over time
Sources: Refinitiv Lipper, ESMA.
since 2004 by regional investment focus, in % of NAV.
Sources: Refinitiv Lipper, ESMA.
A.71 A.72
EU bond fund flows by regional investment focus EU equity fund flows by regional investment focus
8 6
6
4
4
2 2
0
0
-2
-4 -2
-6 -4
-8
-6
-10
-12 -8
-14
-10
-16 Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Western Europe North America
Europe BF North America BF
Global Emerging markets
Global BF Emerging markets BF Note: EU27 Equity fund monthly flows by regional investment focus, in %
Note: EU27 bond fund montlhy flows by regional investment focus, in % of
of NAV.
NAV.
Sources: Refinitiv Lipper, ESMA.
Sources: Refinitiv Lipper, ESMA.
A.73 A.74
Net flows in EU bond funds Net asset valuation of EU funds
1,000 18
16
500 14
12
0
10
8
-500
6
-1,000 4
2
-1,500 0
3Q17 3Q18 3Q19 3Q20 3Q21 3Q22
Capital flows Valuation effect AuM (rhs)
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
T , R respective period. Capital flows and valuation effects in EUR bn. AuM
expressed in EUR tn.
Sources: ECB, ESMA.
)
S R , SESMA TRV Statistical Annex No. 1, 2023 17
A.75 A.76
Liquidity risk profile of EU bond funds Cash held by EU corporate bond funds
9 0 5
8 5
7 10 4
15
6
20
5 3
25
4
30
3 2
35
2 40
1 45 1
0 50
Dec-17 Oct-18 Aug-19 Jun-20 Apr-21 Feb-22 Dec-22
0
BF maturity HY maturity Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
corridor 1st/3rd quart. Median
BF liquidity ratio (rhs) HY liquidity ratio (rhs)
Note: Median and difference between the first and 3rd quartile of the value of
Note: Quarterly effective average maturity of EU27 fund assets, in years; cash held by EU27 corporate bond funds, in % of portfolio holdings (%). Short
positions can have a negative value.
ESMA liquidity ratio (rhs, in reverse order).
Sources: Refinitiv Lipper, ESMA.
Sources: Refinitiv Lipper, ESMA.
A.77 A.78
Credit quality of EU bond funds’ assets Maturity of EU bond funds’ assets
6.0 10.0
5.5 9.5
5.0 9.0
4.5
8.5
BBB
4.0
8.0
3.5
7.5
3.0
Dec-17 Dec-18 Dec-19 Dec-20 Dec-21 Dec-22 7.0
BF HY 2Q17 2Q18 3Q19 3Q20 3Q21 3Q22
Note: Weighted average effective maturity of EU bond funds' assets, data in
Note: Quarterly average credit quality (S&P ratings; 1= AAA; 4= BBB;
years.
10 = D) for EU27-domiciled funds .
Sources: Refinitiv Lipper, ESMA.
Money market funds
A.79 A.80
EU MMF performance MMF flows by domicile
2 10
8
1 6
4
0 2
0
-2
-1
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
-4
2nd/98th perc. Weighted average
Median -6
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Note: EU27-domiciled MMFs' average yearly returns by month, asset-
weighted, in %. The graph shows the median and average asset-weighted EU US
returns and the difference between the returns corresponding to the 98th
and the 2nd percentile (light blue corridor). Note: Monthly net flows for MMFs by domicile, in % of NAV.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.ESMA TRV Statistical Annex No. 1, 2023 18
A.81 A.82
EU MMF flows by geographical focus EU MMF assets and leverage
10 1.6 1.05
8 1.4
1.04
6 1.2
4 1.0 1.03
2 0.8
0.6 1.02
0
-2 0.4
1.01
-4 0.2
-6 0.0 1.00
3Q17 3Q18 3Q19 3Q20 3Q21 3Q22
AuM NAV
-8
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 Leverage (rhs) 5Y-MA (rhs)
Note: NAV and AuM of EA MMFs, EUR tn. Leverage computed as the
Emerging markets Global AuM/NAV ratio. 5Y-MA=five-year moving average of the leverage ratio.
North America Western Europe Sources: ECB, ESMA.
Note: EU27 MMF monthly net flows by geographical focus, in % of NAV.
Sources: Refinitiv Lipper, ESMA.
A.83 A.84
EU MMF maturity EU MMF liquidity
70 60
60 50
50 40
40 30
30
20
20
10
10
0
Oct-20 Feb-21 Jun-21 Oct-21 Feb-22 Jun-22 Oct-22
0
Oct-20 Feb-21 Jun-21 Oct-21 Feb-22 Jun-22 Oct-22 Daily liquidity Weekly liquidity
WAM WAL Note: Daily and weekly liquidity includes all assets maturing overnight and
Note: Weighted average maturity (WAM) and weighted average life (WAL) of shares by AAA MMFs, securities issued by highly rated sovereigns with a
Europe-domiciled MMFs, in days. Aggregation carried out by weighting maturity of less than one year, in % of total assets. Aggregation carried out
individual MMFs' WAM and WAL by AuM. using individual Europe-domiciled MMF data weighted by AuM.
Alternative funds
A.85 A.86
EU hedge fund returns EU alternative fund performance by strategy
15
24
14
10
4
-6
5
-16
-26 0
-36
Dec-20 Jun-21 Dec-21 Jun-22 Dec-22
-5
Corridor 2nd/98th perc. HF CTA Event LS Multi
Corridor 1st/3rd quart.
Median 4Q21 1Q22 2Q22 3Q22 4Q22
Note: EU27-domiciled hedge funds' monthly returns, %. The graph Note: Growth in hedge fund performance indices by strategy: Hedge fund
index (Total), arbitrage, Commodity Trading Advisor (CTA), distressed debt,
shows the returns' median, the difference between the returns event driven, fixed income, long/short equity, macro, multi-strategy, relative
corresponding to the 98th and 25th percentiles (light blue corridor) and value (RV), in %.
the difference between the returns corresponding to the 1st and 3rd Sources: Eurekahedge, ESMA.
quartiles (dotted line corridor).
Sources: Lipper Tass, ESMA.ESMA TRV Statistical Annex No. 1, 2023 19
A.87 A.88
EU alternative fund flows by domicile EU alternative fund assets and leverage
3 700 1.5
600
2 1.4
500
1
1.3
400
0
300
1.2
-1 200
1.1
100
-2
0 1.0
-3 Oct-20 Feb-21 Jun-21 Oct-21 Feb-22 Jun-22 Oct-22
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 AuM NAV
Leverage (rhs) 1Y-MA (rhs)
EU27 US Note: NAV and AuM of EA alternative funds, EUR bn. Leverage computed as
Note: Alternative mutual fund monthly net flows by domicile, in % of NAV. the AuM/NAV ratio. 1Y-MA=one-year moving average for the leverage ratio.
Data on alternative mutual funds represent only a subset of the entire Sources: ECB, ESMA.
alternative fund industry.
Sources: Refinitiv Lipper, ESMA.
A.89 A.90
Alternative fund flows by geographical focus Direct and indirect EU property fund flows
10 8
8
6
6
4 4
2
2
0
-2 0
-4
-2
-6
-8 -4
-10
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 -6
Apr-20 Oct-20 Apr-21 Oct-21 Apr-22
Emerging markets Global North America Western Europe
Direct Indirect
Note: EU27-domiciled alternative mutual funds net flows by geographical Note: Two-month cumulative flows for direct and indirect EU27-domiciled
investment focus, in % of NAV. Data on alternative mutual funds represent property funds. Indirect property funds invest in securities of real estate
only a subset of the entire alternative fund industry. companies, inlcuding Real Estate Investment Trusts (REITs), in EUR bn.
Sources: Refinitiv Lipper, ESMA. Sources: Morningstar, ESMA.ESMA TRV Statistical Annex No. 1, 2023 20
Exchange-traded funds
A.91 A.92
EU ETF returns EU ETF returns volatility
8 18
16
6
14
4 12
10
2
8
0 6
4
-2
2
-4
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
2nd/98th perc. Weighted average
Volatility
Median
Note: EU27-domiciled ETFs' average yearly returns by month, asset- Note: Annualised 40-day historical return volatility of EU27-domiciled ETFs, in %.
weighted, in %. The graph shows the median and average asset-weighted Sources: Refinitiv Lipper, ESMA.
returns and the difference between the returns corresponding to the 98th
and the 2nd percentile (light blue corridor).
Sources: Refinitiv Lipper, ESMA.
A.93 A.94
EU ETF and NAV by domicile EU ETF NAV by asset type
3,500 10 1,600
9 1,400
3,000
8
1,200
2,500 7
1,000
6
2,000
800
5
1,500 600
4
1,000 3 400
2 200
500
1
0
0 0 Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 Alternative Bond Commodity Equity
EU27 ETF NAV (rhs) US ETF NAV (rhs) Mixed assets Money market Other
EU27 ETFs US ETFs Note: NAV of EU27 ETFs by asset type, EUR bn.
Sources: Refinitiv Lipper, ESMA.
Note: NAV, EUR tn, and number of ETFs by domicile.
Sources: Refinitiv Lipper, ESMA.
A.95 A.96
EU ETF tracking error EU and US ETF flows by domicile
1.4 2.5
1.2
2.0
1.0
1.5
0.8
1.0
0.6
0.4 0.5
0.2 0.0
0.0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 -0.5
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
ETF
MF index trackers Non-UCITS EU27 US
Note: Tracking error defined as standard deviation of mutual fund excess
Note: ETF net flows by domicile, in % of NAV.
returns compared with benchmark. The graph shows the tracking error for Sources: Refinitiv Lipper, ESMA
EU27 ETFs and mutual funds both UCITS and non-UCITS. Yearly standard
deviation reported on monthly frequency. End-of-month data.
Sources: Refinitiv Lipper, ESMA.ESMA TRV Statistical Annex No. 1, 2023 21
A.97 A.98
Assets of leveraged EU ETFs Average beta values for EU ETFs
10 80
3.0
2.0
8
60 1.0
0.0
6
40 -1.0
4 -2.0
-3.0
20
2 -4.0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Unleveraged (Short) Unleveraged (long)
0 0 Leveraged (short) Leveraged (long)
2014 2016 2018 2020 2022
Leveraged (short) - assets
Note: Annual average beta for leveraged and unleveraged EU27 ETFs.
Leveraged (long) - assets Leveraged ETFs are self-reported. The annual average monthly beta is
Number of leveraged ETFs measured as the volatility of a fund return in comparison to its
Note: Total assets of leveraged long and leveraged short ETFs with benchmark. An unleveraged ETF replicating its benchmark will typically
primary listings in Europe, in EUR bn and total number of products (rhs), have a beta close to 1.0.
in thousand. Sources: Refinitiv Lipper, ESMA.
A.99 A.100
Assets of EU ETFs by replication method Flows into EU ETFs by replication method
1500 2000 200
160
1500
1000 120
1000 80
500 40
500
0
0 0 -40
2014 2016 2018 2020 2022 2014 2016 2018 2020 2022
Physical - assets Synthetic - assets
Physical - number (rhs) Synthetic - number (rhs) Physical net flows Synthetic net flows
Note: Total assets of physical and synthetic ETFs with primary listings in Note: Net flows of physical and synthetic ETFs with primary listings in
Europe, in EUR bn and total number of products (rhs). Europe, in EUR bn.
Sources: ETFGI, ESMA Sources: ETFGI, ESMAESMA TRV Statistical Annex No. 1, 2023 22
Consumers
Investment resources available to households
A.101 A.102
EU household disposable income growth EU household saving and investment rates
7 25
6
5 20
4
15
3
2
10
1
0
5
-1
-2 0
2Q17 2Q18 2Q19 2Q20 2Q21 2Q22
-3
2Q17 2Q18 2Q19 2Q20 2Q21 2Q22 Saving rate Investment rate
5Y-MA saving 5Y-MA investment
Disposable income 5Y-MA Note: EA household annual saving and investment rates, based on four-
Note: Annualised growth rate of household gross disposable income adjusted quarter cumulated transactions, in %. 5Y-MA saving=five-year moving
for changes in pension entitlements for EU27 countries, in %. 5Y-MA=five- average of the saving rate. 5Y-MA investment=five-year moving average of
year moving average of the growth rate. the investment rate.
Sources: Eurostat, ESMA. Sources: ECB, ESMA.
A.103 A.104
EU investor sentiment EU household asset growth
60 12
40 10
20 8
0 6
-20 4
-40 2
-60 0
-2
-80 2Q17 2Q18 2Q19 2Q20 2Q21 2Q22
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
EA institutional current EA retail current Financial assets Real assets
EA institutional future EA retail future 5Y-MA fin. assets 5Y-MA real assets
Note: Sentix Sentiment Indicators for the EA retail and institutional investors Note: Annualised growth rate real and financial assets of EA households, in
on a ten-year horizon. The zero benchmark is a risk-neutral position. %. 5Y-MA=five-year moving average of the growth rates.
Sources: Refinitiv Datastream, ESMA. Sources: ECB, ESMA.
Asset allocation by retail investors
A.105 A.106
EU household growth rates in financial assets EU household financial assets by class
40 40 35
35
30
34
30
20
25 33
10 20
15 32
0
10
31
-10
5
-20 0 30
2Q17 2Q18 2Q19 2Q20 2Q21 2Q22 2Q17 2Q18 2Q19 2Q20 2Q21 2Q22
Other assets Pensions
Currency and deposits Debt securities Insurances IF shares
Equities Debt securities
Equities IF shares Currency and deposits Securities (rhs)
Note: Financial assets of EU27 households, EUR tn, and share of securities
Note: Average annualised growth rates of financial asset classes held by investments (debt securities, equities and IF shares) in total, in %. IF
EU27 households, in %. IF shares=investment fund shares. Ins.=insurance shares=investment fund shares. Other financial assets=Insurance technical
companies, Other assets=other accounts receivable/payable. reserves, financial derivatives, loans granted and other accounts receivable.
Sources: ECB, ESMA. Sources: ECB, ESMA.ESMA TRV Statistical Annex No. 1, 2023 23
A.107 A.108
Share of securities investments in EU household assets EU household net financial asset flows
25 18
15
12
20
9
6
15 3
0
-3
10 -6
2Q17 2Q18 2Q19 2Q20 2Q21 2Q22
Net financial liabilities Equity and IF shares
5 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 changes
0 in pension entitlements, based on a one-year rolling period, in %. IF
2Q17 2Q18 2Q19 2Q20 2Q21 2Q22 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 multiplied by -
of EU27 households, in %. IF shares=investment fund shares. 1 to present as outflows.
Sources: ECB, ESMA. Sources: ECB, ESMA.
A.109 A.110
UCITS net flows by asset class for retail investors Equity UCITS market size by management type
200 4 40
150
3 30
100
2 20
50
1 10
0
0 0
-50 3Q17 3Q18 3Q19 3Q20 3Q21 3Q22
Passive (excl. ETFs)
-100 ETFs
3Q18 3Q19 3Q20 3Q21 3Q22 Active
Alternative Bond Equity Share passive and ETFs (rhs)
Note: EU27 equity UCITS market size, retail and institutional investors, by
Mixed Money market management type. All observations for which information on fund value,
Note: EU27 UCITS annual net flows, retail investors only, at quarterly performance, net flows, subscription and redemption fees are available, in
frequency by asset class, EUR bn. EUR tn. Share of passive and ETFs, in %.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.
A.111 A.112
Equity UCITS net flows by management type Bond UCITS market size by management type
250 2.5 25
200 2 20
150
1.5 15
100
1 10
50
0.5 5
0
0 0
-50 3Q17 3Q18 3Q19 3Q20 3Q21 3Q22
Passive (excl. ETFs)
-100 ETFs
3Q17 3Q18 3Q19 3Q20 3Q21 3Q22 Active
Share passive and ETFs (rhs)
Active ETFs Passive (excl. ETFs) Note: EU27 bond UCITS market size, retail and institutional investors, by
management type. All observations for which information on fund value,
Note: EU27 equity UCITS annual net flows from retail and institutional performance, net flows, subscription and redemption fees are available, in
investors at quarterly frequency by management type, EUR bn. EUR tn. Share of passive and ETFs, in %.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.ESMA TRV Statistical Annex No. 1, 2023 24
A.113 A.114
Bond UCITS net flows by management type Equity active funds closet index indicator
250 12
200 10
8
150
6
100
4
50
2
0
0
2Q18 2Q19 2Q20 2Q21 2Q22
-50
ASESMA TRV Statistical Annex No. 1, 2023 25
A.119 A.120
Equity UCITS total costs by management type Equity UCITS net performance by management type
175 50
150 40
125 30
100 20
75 10
50 0
25 -10
0 -20
3Q17 3Q18 3Q19 3Q20 3Q21 3Q22 3Q17 3Q18 3Q19 3Q20 3Q21 3Q22
Active ETFs Passive (excl. ETFs) Active ETFs Passive (excl. ETFs)
Note: Evolution of total costs (ongoing costs (TER), subscription and Note: Evolution of net annual performance (net of ongoing costs (TER),
redemption fees) of EU27 equity UCITS, retail and institutional investors, by subscription and redemption fees) of EU27 equity UCITS, retail and
management type, in bps. institutional investors, by management type, in %.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.
A.121 A.122
Bond UCITS total costs by management type Bond UCITS net performance by management type
125 12
8
100
4
75
0
50
-4
25
-8
0 -12
3Q17 3Q18 3Q19 3Q20 3Q21 3Q22 3Q17 3Q18 3Q19 3Q20 3Q21 3Q22
Active ETFs Passive (excl. ETFs) Active ETFs Passive (excl. ETFs)
Note: Evolution of total costs (ongoing costs (TER), subscription and Note: Evolution of net annual performance (net of ongoing costs (TER),
redemption fees) of EU27 bond UCITS, retail and institutional investors, by subscription and redemption fees) of EU27 bond UCITS, retail and
management type, in bps. institutional investors, by management type, in %.
Sources: Refinitiv Lipper, ESMA. Sources: Refinitiv Lipper, ESMA.ESMA TRV Statistical Annex No. 1, 2023 26
Complaints
A.123 A.124
EU complaints EU complaints by type of firm involved
12,000 100 4,000
10,000 80
3,000
60
8,000 2,000
40
6,000
1,000
20
4,000
0 0
3Q20 1Q21 3Q21 1Q22 3Q22
2,000 Art3-exempt firm
UCITS Manco
MiFID IF
0 Note: Share of complaints for quarterly-reporting NCAs (n=14) received
3Q20 1Q21 3Q21 1Q22 3Q22 direct from consumers and via firms by type of firm involved, excluding
NCA Firms (rhs) Average total (rhs) complaints with firm type recorded, %. 'Total with firm type
reported'=Number of complaints via these reporting channels excluding
Note: Number of complaints recorded by quarterly-reporting NCAs (n=14) those with no firm type recorded. 'MiFID IF'=MiFID investment firm. 'UCITS
via given reporting channels. "NCA"=Reports lodged directly by consumers Manco'=UCITS management company. 'Art3-exempt firm'=Firm exempt
with NCAs. "Firms"=Complaints recorded by NCAs via firms. "Average under Article 3 of MiFID.
total"=average total number from 3Q20 to 3Q22. Sources: ESMA complaints database.
Sources: ESMA complaints database.
A.125 A.126
EU complaints by underlying cause EU complaints by type of financial instrument
100 12,000 100 8,000
80 10,000 80
6,000
8,000
60 60
6,000 4,000
40 40
4,000
2,000
20 2,000 20
0 0 0 0
3Q20 1Q21 3Q21 1Q22 3Q22 3Q20 1Q21 3Q21 1Q22 3Q22
Withdrawals Equities CFDs
Unauth. bus. Options/futures/swaps UCITS/AIFs
Structured securities Debt securities
General admin Total with instrument cited
Fees/terms
Note: Share of complaints from quarterly-reporting NCAs (n=14) received
Note: Share of complaints for quarterly-reporting NCAs (n=14) received direct from consumers and via firms by type of financial instrument, where
direct from consumers and via firms by underlying cause, excluding none of the instruments listed was reported. 'Total with instrument
complaints with no cause recorded, %. 'Unauth. bus.'=Unauthorised cited'=number of complaints via these reporting channels excluding those
business. 'Appr/suit'=Appropriateness or suitability assessment. 'Info with instrument type not reported or reported as 'other' or 'N/A'. 'Total
quality'=Quality or lack of information. 'Total with cause reported'=Number complaints'=number of complaints via these reporting channel whether or
of complaints via these reporting channels including those with none of the not further categorisation possible. 'CFDs''=Contracts for Differences.
listed causes recorded. Sources: ESMA complaints database.
Sources: ESMA complaints database.
A.127
EU complaints by MiFID II service category
100 2,000
80 1,600
60 1,200
40 800
20 400
0 0
3Q20 1Q21 3Q21 1Q22 3Q22
Investment advice
Portfolio management
Execution of orders
Total with MiFID service reported
Note: Share of complaints for quarterly-reporting NCAs (n=14) 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 database.ESMA TRV Statistical Annex No. 1, 2023 27
Infrastructures and services
Trading venues and MiFID entities
A.128 A.129
EU equity trading by trading type EU trading turnover by type of assets
100% 3.0 1,400
2.5 1,200
80%
2.0 1,000
60%
1.5 800
40%
1.0 600
20%
0.5 400
0% 0.0 200
Nov-20 Mar-21 Jul-21 Nov-21 Mar-22 Jul-22 Nov-22
Lit Systematic internaliser
0
Dark pool Periodic auction Nov-20 Mar-21 Jul-21 Nov-21 Mar-22 Jul-22 Nov-22
OTC Total volumes (rhs) Bonds Equities ETFs UCITS
Note: Monthly turnover on EEA30 trading venues by type of assets, in EUR
Note: Type of equity trading in the EEA as a percentage of total equity
bn. Data for Aquis Exchange, CBOE Europe Equities, Equiduct, London Stock
turnover. Total equity trading turnover in EUR trillion (rhs). Last available data
Exchange and Turquoise are not reported for bonds, ETFs and UCITS.
point is October 2022. Poland data included from 2021 onwards.
Sources: FESE, ESMA.
Sources: FIRDS, FITRS, ESMA.
A.130 A.131
EU circuit breaker occurrences by market capitalisation EU circuit breaker trigger events by sector
700 100
600
80
500
60
400
40
300
200 20
100 0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Basic materials, industrials and energy
0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 Financials
Healthcare, consumer cyclicals and non-cyclicals
Large caps Mid caps Small caps ETFs
Technology, utilities and telecommunications services
Note: Weekly number of circuit-breaker trigger events by type of financial
instrument and by market cap registered on 29 EEA30 trading venues for all Note: Percentage of circuit-breaker trigger events by economic sector
constituents of the STOXX Europe Large/Mid/Small 200 and a large sample registered on 29 EEA30 trading venues for all constituents of the STOXX
Europe Large/Mid/Small 200. Results displayed as weekly aggregates.
of ETFs tracking these indices or some of their subindices.
Sources: Morningstar Real-Time Data, ESMA.
Sources: Morningstar Real-Time Data, ESMA.
A.132 A.133
EU trading system capacity proxy EU equity market concentration
40 60 50
35
50
40
30
40
25
30
20 30
15 20
20
10
10 10
5
0 0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22 0
Dec-20 Apr-21 Aug-21 Dec-21 Apr-22 Aug-22 Dec-22
Trading volume 3M-MA Volume
Top 25% Core 50%
Capacity (rhs) All-time high (rhs)
Bottom 25% Median
Note: Daily and 3M-MA of trading volumes on 29 EEA30 trading venues for all
Note: Concentration of notional value of equity trading by national indices
constituents of the STOXX Europe Large/Mid/Small 200 and a large sample computed as a 1M-MA of the Herfindahl-Hirschmann Index, in %. Cboe
of ETFs tracking these indices or some of their subindices, in EUR bn. indices included are AT 20, BE 20, DE 30, DK 25, ES 35, FI 25, FR 40, IE 20,
Capacity computed as the average across trading venues of the ratio of daily IT 40, NL 25, PT 20 and SE 30.
trading volume over maximum volume observed since 31/03/2016, in %. Sources: Cboe, ESMA.
Sources: Morningstar Real-Time Data, ESMA.You can also read
