Risk Quantum/European Securities and Markets Authority (Esma)
‘Fallen angels’ pose little threat to EU funds
Passive fund outflows in a credit crisis would put pressure on high-yield bond prices
Hedge funds levered up in 2018
Relative value funds have highest adjusted leverage, at 7,155%
Liquidity risks acute for popular retail funds – Esma
Eight per cent of real estate fund NAV may be withdrawn over a one-day period
European CCPs home to 241 non-bank clearing members
Majority of non-financial counterparties are energy and power firms
EU derivatives markets highly concentrated
CCPs hold 41% of interest rate derivatives notional exposures
EU alternative funds hold €17bn of CLOs
Over 50% of AIF exposures concentrated in top 20 funds
Over €1trn of EU insurer assets subject to climate risks
Housing exposures make up bulk of those vulnerable to climate change
Currency risk drives EU equity fund derivatives use
Just 27.6% of Ucits equity funds traded derivatives in Esma sample
EU high-yield funds at risk of liquidity shock – Esma
High-yield bond funds have just 13% of NAV in high-quality liquid assets on average
Mortgages, auto loans find a home in new EU securitisations
Esma listed 23 public STS securitisations as of July 1
EU insurers show bias to own sovereigns
Forty-two percent of median EU country insurance sector's sovereign bond portfolio allocated to domestic government
EU hedge funds lean on repo for leverage
Around 60% of EU hedge fund borrowings due within one week, Esma reports