29 May 2015

ESMA fosters derivatives market transparency

The publically available data allows market participants to monitor the extent, dynamics and trends of derivatives trading in the European Union, including identifying what has been traded on and off-venue. EMIR requires TRs to publish a breakdown of:

·         the aggregate open positions per derivative class; 

·         aggregate transactions volumes per derivative class; and 

·         aggregate values per derivative class. 

Since February 2014, when derivatives reporting began in Europe, the six European TRs have received more than 16 billion submissions, with average weekly submissions over 300 million. In April 2015 alone, more than 200 million new trades were added, of which:

·         over half were exchange-traded derivatives (ETD) trades;

·         nearly a third OTC; and 

·         14% listed derivatives traded off exchange. 

The largest portion of OTC trades was made up of foreign exchange derivatives; whilst ETD trades were mainly split into Commodities, Equities and Interest rates trades. 

All TRs started publishing aggregate data after February 2014, however the overall aggregation of publicly available data across TRs remained problematic due to different data granularity, level of consistency, presentation structure and formats chosen by TRs. In order to foster market transparency, ESMA, which supervises the six European TRs, asked for the implementation of different measures to improve the quality, harmonisation and access to data aggregates. 

From April 2015, harmonised public data is available and updated weekly by all TRs. The information available includes: open positions, trades volume and values are broken down by derivative class, type, trade type (single-sided EEA, single-sided non EEA, or dual-sided) which enables to aggregate and compare data across TRs.

Full press release

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