EU Derivatives Markets ESMA Annual Statistical Report 2021

06/01/2022 | ESMA

Executive summary

Market monitoring

Market structure: In 4Q20 the EEA30 derivatives stood at EUR 244tn in outstanding total notional amount, down from EUR 254tn a year earlier. Market composition changed slightly, with interest rate derivatives (IRDs) accounting for 79% of notional amount in 4Q20 (up from 76% in 4Q19) while 13% of the notional amount was in currency (down from 16%), with 8% remaining in equity, credit and commodities. Credit institutions and investment firms were the most significant counterparties, these were counterparties in close to 75% of contracts by outstanding notional amount. Exposures in intragroup positions increased slightly, to EUR 23tn from EUR 22tn a year earlier. Over-the-counter contracts (OTC) still accounted for most of the outstanding notional amount, 92%, but 16% of all notional amount was in on-trading venue OTC contracts, while 8% was in exchange traded derivatives (ETDs). Central clearing rates in 4Q20 were 71% of the notional amount in IRDs and 41% in credit derivatives, both up on a year earlier (from 68% and 38% respectively). As a continued part of the single market during the transition period, the UK remained central to EU derivative markets in 2020, about half of contracts by notional amount have a UK counterparty, and a quarter in contracts are held between two EEA30 counterparties.

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