2018年-CEPS欧洲政策研究中心_Recent_Developments_in_European_Capital_Markets_–_Key_findings_from_the_2017_ECMI_Statistical_Package_21页_1mb

Summary of the 2017 ECMI Statistical Package on Recent Developments in European Capital Markets

Core Content

This report provides an overview of recent developments in European and global capital markets, focusing on equity markets, debt securities, exchange-traded derivatives (ETDs), over-the-counter derivatives (OTC), and mutual funds. The data is compiled from the 2017 ECMI Statistical Package, highlighting trends, structural changes, and the impact of regulatory and macroeconomic factors.

Key Findings

Equity Markets

• Market Capitalisation: European market capitalisation increased by 1.4% in 2016, reaching €10.6 trillion, which is close to pre-crisis levels and represents 71.4% of European GDP.
• Fragmentation: Europe has the highest number of listed companies (7,353 in 2016) with an average capitalisation of €1.4 billion per company, while the US has 5,204 listed companies with an average capitalisation of €4.7 billion.
• Share Trading Value: The total value of share trading in Europe increased by 5% to €7.8 trillion, while in the US it decreased by 5% due to uncertainty around trade policy and interest rates.
• ETFs: The number of listed ETFs in Europe increased to over 6,000, and ETF trading value peaked at €850 billion. In contrast, the US ETF market remained more concentrated, with only a 2% increase in the number of ETFs and a 3% rise in trading value.
• Investment Flows: Investment flows through IPOs and non-IPOs declined by 36% and 14%, respectively, in 2016. The US saw the steepest drop at 43%, while Europe and Japan also experienced significant declines.

Debt Securities

• Outstanding Debt: Total outstanding debt in Europe decreased by 2.1%, reaching €10.2 trillion, while the global debt market reached €86.4 trillion, a 4.3% increase from 2015.
• Covered Bonds: Outstanding covered bonds remained stable at €2.2 trillion, but issuance volumes declined by 11.3% to €0.4 billion. Denmark and Germany were the largest issuers.
• Sectoral Focus: The covered bond market is heavily focused on mortgages (86%), with a declining share of public sector assets (14%) compared to 60% in 2007.
• Debt Issuance Trends: Debt issuance by financial institutions dropped by 5.8%, contributing to the overall decline in outstanding debt securities in Europe.

Exchange-Traded Derivatives (ETDs)

• Turnover: The daily average turnover of ETDs increased by 14%, reaching €60.7 trillion, a 10-year high.
• Market Share: ETDs represent 23% of the global derivatives market, with options accounting for 77%.
• Regional Trends: The ETD market in North America grew by 18%, while Europe saw a 40% increase since 2014, but a 40% decline since 2013.

Over-the-Counter Derivatives (OTC)

• Notional Amount: The notional amount of outstanding OTC derivatives fell by 3% to €421.1 trillion, while the gross market value rose to €12.9 trillion, mainly due to a 36.2% increase in FX derivatives.
• Interest Rate Derivatives: OTC interest rate derivatives (IRD) accounted for 81.1% of the global OTC market, with a 2.6% decline in notional amount from 2015.
• Central Clearing: The share of centrally cleared IRD increased to 86%, with the inter-dealer segment declining from €107 trillion in 2007 to €38 trillion in 2016.
• Currency Trends: Euro-denominated IRD declined in importance, with US dollar-denominated contracts dominating. The share of short-term instruments increased, while longer maturity contracts saw a decline.

Foreign Exchange Derivatives

• Market Share: FX derivatives accounted for 15.1% of the global OTC derivatives market in terms of notional amount and 21.5% in terms of gross market value.
• Notional Amount: FX notional amount remained stable at €63.6 trillion, with a 31% increase in notional for outright forwards and FX swaps over three years.
• Gross Market Value: The gross market value of FX derivatives increased by 17.6% to €2.8 trillion, driven by sharp movements in yen and pound-related contracts.
• Inter-Dealer Activity: Inter-dealer positions remained a significant portion of the market, with notional amount of €28.1 trillion compared to €27.7 trillion for contracts with other financial institutions.

Credit Default Swaps (CDS)

• Market Size: The notional amount of outstanding CDS fell from €15.2 trillion in 2013 to €9.1 trillion in 2016, representing a 39.8% decline.
• Market Value: CDS accounted for 2% of the global OTC derivatives market in terms of notional amount and 2% in terms of gross market value.
• Central Clearing: The share of CDS cleared through other financial institutions (including CCPs) increased to 60.5%, while the uncleared segment decreased from €4.9 trillion to €3.5 trillion.

Equity-Linked and Commodities Derivatives

• Market Size: These segments accounted for €5.7 trillion and €1.2 trillion, respectively, representing 1.6% of the notional amount of OTC derivatives.
• Historical Comparison: In 2007, they accounted for 21.6% of the gross market value, but this dropped to 4.6% in 2016.
• Sectoral Shift: US equity-linked derivatives increased from €1.2 trillion to €2.6 trillion, while European equity-linked derivatives declined from €3.4 trillion to €1.9 trillion.

Mutual Funds

• Net Assets: European mutual fund net assets increased by 6.1% to €14.1 trillion, with UCITS representing €8.2 trillion (61%).
• Fund Categories: All categories of investment funds saw an increase in net assets in 2016, with bond funds growing by 21.6%, equity funds by 11.2%, and money market funds by 5.8%.
• Geographic Distribution: Ireland had the largest increase in net assets (9.8%), while Luxembourg accounted for 27.6% of the European market.
• Investment Flows: Investment flows through IPOs and non-IPOs declined by 36% and 14%, respectively, with the US experiencing the steepest drop at 43%.

Conclusion

The report highlights the structural transformation of European capital markets, driven by regulatory reforms, macroeconomic conditions, and evolving investor behavior. While some markets, such as equity and debt, showed resilience or growth, others, like OTC derivatives and investment flows, faced challenges. The increasing role of central clearing and the shift in currency preferences reflect broader changes in market dynamics and risk management practices.