2018年-CEPS欧洲政策研究中心_Recent_Developments_in_European_Capital_Markets_–_Key_findings_from_the_2016_ECMI_Statistical_Package_19页_1mb

Summary of the 2016 ECMI Statistical Package: Recent Developments in European Capital Markets

Core Content

The 2016 ECMI Statistical Package provides an in-depth analysis of recent developments in European and global capital markets, focusing on equity markets, debt securities, derivatives markets (both exchange-traded and over-the-counter), and mutual funds. The report highlights structural changes, regulatory impacts, and market trends from 2007 to 2015, with a particular emphasis on the EU28, US, Japan, and China.

Main Sections and Key Findings

1. Equity Markets

• EU28:

  • Domestic market capitalisation increased by 6.3% in 2015 to reach the level of 2014.
  • After a contraction in 2008 and 2011, the EU28 equity market expanded by 45%, returning to pre-crisis levels.
  • In 2015, investment flows reached €232.3 trillion, with newly listed companies accounting for €88.7 trillion, a 48% increase over investments from already listed companies.

• US:

  • The US equity market expanded by 90.5% between 2011 and 2015.
  • In 2015, the total market capitalisation increased by 6.2% compared to 2014.
  • Investment flows in 2015 reached €191.5 trillion, with already listed companies outperforming newly listed ones.

• Asia:

  • The Japanese equity market grew by 64.3% since 2011, with an average market capitalisation of €1.4 billion per firm.
  • The Chinese equity market showed the most significant growth, with market capitalisation doubling since 2011 and reaching €10.4 trillion in 2015.

• Market Fragmentation:

  • The EU28 has a more fragmented equity market than the US or China, with a higher number of smaller listed companies.
  • The ETF market in the EU28 is more fragmented, with over 6,000 ETFs listed in 2015, while the US market is more concentrated with only 1,774 ETFs.

2. Debt Securities

• Total Outstanding Debt:

  • Europe: €23.8 trillion
  • China: €7.1 trillion
  • Japan: €10.3 trillion
  • US: €33.4 trillion

• Debt Composition:

  • Government debt constitutes a larger share in Japan (74.5%) and the US (45.1%) compared to China (30.9%) and the EU28 (47.3%).
  • Corporate debt in the US accounts for 15.3% of total debt, while in the EU28 and Japan it is much smaller (7.6% and 5.9%, respectively).
  • China's corporate debt grew significantly, reaching €2.1 trillion in 2015.

• Debt-to-GDP Ratio:

  • The EU28's debt-to-GDP ratio was 65.4% in 2015, significantly lower than the US (130.2%) and China (91.0%).
  • The EU28 has been in a deleveraging phase since 2011, while China experienced a sharp rise in debt levels.

3. Exchange-Traded Derivatives (ETDs) Markets

• The notional value of ETDs in Europe reached €17 trillion in 2015, which is 2.3 times smaller than the US.
• The ETD market in the US grew by 46.6% since 2007, while the European market saw a marginal decline of 6.3%.
• The share of ETDs in the global derivatives market increased by 49.2% from 2014 to 2015, reaching 43.7% in the US.

4. Over-the-Counter (OTC) Derivatives Markets

• The OTC derivatives market contracted by 13.3% in 2015, from €519 trillion in 2014 to €465.9 trillion.
• The gross market value of OTC derivatives fell by 23% in 2015, down to €12.7 trillion from €22.5 trillion in 2008.

4.1 Interest Rate Derivatives

• Interest rate derivatives accounted for 80.8% of the global OTC derivatives market in 2015.
• Euro-denominated contracts declined by 22% from €137.7 trillion in 2014 to €107.6 trillion in 2015.
• The share of contracts with maturities over five years increased slightly, while medium-term contracts decreased.

4.2 Foreign Exchange Derivatives

• FX derivatives represented the second-largest segment of the global OTC derivatives market, with a notional amount of €64.3 trillion in 2015.
• Contracts against the US dollar accounted for 87% of notional amounts.
• The gross market value of FX derivatives decreased by 2.9% in 2015 due to the euro's depreciation.

4.3 Credit Default Swaps (CDS)

• CDS notional amounts declined from €39.5 trillion in 2007 to €11.2 trillion in 2015.
• The share of CDS in the OTC derivatives market fell from 11.1% to 2.5% in notional terms and from 14.4% to 3% in gross market value terms.
• The reporting dealer segment saw a significant decline in CDS activity, with a 17% drop in notional amounts from 2014 to 2015.

4.4 Equity-Linked and Commodities Derivatives

• OTC equity-linked derivatives totalled €6.5 trillion in notional value in 2015, with a gross market value of €0.4 trillion.
  • European equity-linked derivatives declined from €3.4 trillion in 2007 to €2.6 trillion in 2015.
  • US equity-linked derivatives doubled from €1.2 trillion in 2007 to €2.5 trillion in 2015.
• Commodities derivatives accounted for 2.8% of notional amounts and 2.1% of market value in 2015, significantly lower than their peak in 2007.

5. Mutual Funds

• In 2015, the total number of investment funds in the EU28 increased by 4.6% to 54,230.
• Combined net assets reached €12.6 trillion, up by 16.6% from 2014.
• UCITS funds accounted for 50.4% of the market (27,326 funds), while AIFs represented 49.6% (26,904 funds).
• UCITS funds held €7.7 trillion in net assets, representing 61% of the total.
• Equity funds increased by 16.3% to €3.2 trillion, but their share of the fund industry decreased from 37% in 2014 to 28% in 2015.
• Multi-asset funds saw an 84.8% increase in net assets, reaching €2.3 trillion.

Key Information

• The report highlights the structural differences in equity and debt markets across the EU28, US, Japan, and China.
• Regulatory frameworks and market fragmentation are identified as key factors affecting the size and performance of financial institutions in Europe.
• The shift in investment flows from already listed to newly listed companies in the EU28 contrasts with the US, where already listed companies dominate.
• The OTC derivatives market has been shrinking, particularly in interest rate and CDS segments, while FX derivatives have seen steady growth.
• The ETF market in the EU28 is less developed compared to the US, with significant potential for growth.
• The mutual fund industry in the EU28 has experienced substantial growth, with a notable increase in multi-asset and other fund types.