ESMA: 2019 EU derivatives market shrank to EUR 681tn in outstanding total notional

Market structure: In 2019 the EU derivatives market shrank to EUR 681tn in outstanding total notional amount in 4Q19 from EUR 715tn a year earlier. The market was slightly more dominated by interest rate derivatives (IRDs) at 82% of notional amount, up from 78%, while 11% of the notional amount was in currency (down from 13% in 2018), with the remaining 8% in equity, credit and commodities. As in 4Q18, most of the notional amount was in contracts held by investment firms, credit institutions and central counterparties (CCPs). Exposures in intragroup transactions increased significantly, to EUR 107tn from EUR 70tn a year earlier. Over-the-counter contracts (OTC) still accounted for most of the outstanding notional amount (92%). The remaining 8% were in exchange traded derivatives (ETDs), down 2pps from 4Q18. Central clearing rates in 4Q19 were 69% of the notional amount in IRDs and 32% in credit derivatives, both up significantly (6pps and 7pps respectively). The UK remained the locus of most derivative trading in Europe in 2019 with 82% of notional amount involving a UK-domiciled counterparty, unchanged from 2018.

Market trends: Key trends in European derivatives markets in 2019 included: a 5% decrease in the total notional amount of the overall market, from EUR 715tn in 4Q18 to EUR 681tn in 4Q19. Strong growth in central clearing rates for both IRDs and credit derivatives, from 63% to 69% for IRDs; and from 25% to 32% for credit derivatives. Underlying this was growth in the clearing rates for the specific products subject to the clearing obligation. The proportion of ETD contracts over all assets fell to 8% in 4Q19 from 10% a year earlier, driven by falls in ETD contracts in IRDs and equities. However, the proportion of notional associated with contracts executed on trading venues (ETD and some OTC) remained broadly stable for IRDs, currencies and credit derivatives throughout 2019. Interconnectedness was largely unchanged across asset classes during 2019, but remained high. Finally, there was a relative increase in the share of long maturities to short maturities for IRDs and commodities.

The 2020 EU Derivatives Market Annual Statistical Report is available at

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