Tendências, Riscos e Vulnerabilidades nos Mercados Financeiros da União Europeia – Fev. 2013

Após vários anos de trabalho interno, conhece agora a luz do dia via divulgação pública e regular o relatório da  autoridade europeia de supervisão aos mercados de valores mobiliários a ESMA –  European Securities and Market Authority (da qual a CMVM faz parte) sobre os principais riscos, tendências e vulnerabilidades nos mercados financeiros na União Europeia: “Trends Risks Vulnerabilities” (em inglês).

Esta publicação quen o seu primeiro número antevê todo o ano de 2013, propõem-se ser semestral, perspectivando o semestre seguinte à sua publicação.

Reproduzimos em baixo o sumário executivo desta publicação de cerca de 39 páginas profusamente ilustradas com séries cronológicas seleccionadas para uma melhor compreensão:

Executive Summary

EU securities markets in 2012 Securities markets and investment conditions in the EU improved in 2012, especially in the second half of the year. Systemic risk in EU securities markets decreased in the fourth quarter. The recovery is linked to the ECB‘s announcement of Outright Monetary Transactions (OMT) in early August, which alleviated pressures on euro area sovereign bond markets and reduced uncertainty among market participants. However, risk indicators remained at high levels due, among other factors, to the on-going European sovereign debt and banking crisis, market clustering, i.e. one group of countries featuring high yields and another group of countries with comparatively very low yields, funding risk, potential long-term implications of low interest rates and obstacles to orderly market functioning. The outlook on future risks indicates that they will remain high, with credit risk in particular expected to increase due to the concentration of outstanding bank and sovereign debt on securities with high risk premia and short maturities.

Principais riscos financeiros em 2013


Securities markets:

After a volatile first semester, financial market conditions improved as from July 2012 in the wake of the ECB‘s Outright Monetary Transactions (OMT) announcement. However, some financial market segments remained under pressure. Euro area sovereign bond markets in particular continue to struggle, along with other unsecured markets, as evidenced by low corporate bond issuance and subdued activity in the interbank market.


Improving market conditions drove up the net asset value of the EU fund industry to EUR 7.8tn as of year-end. The main beneficiaries were bond, hedge, real estate and exchange-traded funds. Only recently have equity, balanced and money market funds displayed signs of increasing activity. Fund flows to the EU fund industry remained volatile. Inflows were focused on low-risk funds, and funds invested the proceeds of newly issued shares mainly in assets perceived as featuring low risks, in particular low country risks.

Market infrastructures:

Activity on European trading venues decreased significantly in 2012, dropping below the five-year average as uncertainties surrounding the European economic outlook weighed on investors‘ willingness to trade. The use of Central Counterparties (CCPs) has increased for OTC derivatives worldwide, with around 60% of interest rate swaps now cleared by CCPs, while for CDS the share of contracts cleared through CCPs is stable at around 10% of notionals.


Liquidity risk:

Liquidity risk remained stable and dispersed across market segments and regions. Recent policy measures reduced liquidity risk in some segments, while others such as money market funds saw a deterioration in liquidity conditions. Liquidity risk remains a source of concern especially in the sovereign bond market.

Market risk:

Equity and bond markets showed signs of relaxation as from the third quarter. In particular, risky bond market segments saw a lessening of investor aversion. Still, the fund industry continued to reduce its investments in EU securities markets.

Contagion risk:

The clustering of EU sovereign bond markets became more pronounced. The main drivers were lower CDS exposures and increased perception of idiosyncratic risk by investors. Both effects have helped to mitigate aggregate contagion risk. Despite the decrease in idiosyncratic risk associated with the group of countries with high sovereign yields, due to similar structural problems contagion risk remains high within this group and continues to be a source of concern.

Credit risk:

Issuance volumes on EU securities markets have increased, but were concentrated on high risk asset classes. Banks and sovereigns exposed to high risk premia concentrated a higher proportion of their outstanding debt on shorter maturities, implying that under potential future stress conditions sovereign issuers may face funding difficulties as they have to roll over their debt by regularly issuing sovereign bonds. Substantial credit and rollover risks thus remain for the future.


In addition to market trends and existing risks, ESMA monitors on an on-going basis market developments which we consider potential vulnerabilities. In this edition, we discuss the following topics:

Collateral concerns in financial markets — a European perspective: The collapse of unsecured markets during the financial crisis, as well as regulatory initiatives such as the European Market Infrastructure Regulation (EMIR), have led market participants to rely increasingly on collateral as a means of mitigating counterparty risk, stimulating the demand for collateral. At the same time, the collapse of the US shadow banking system, including formerly AAA-rated securitised products, and the on-going European sovereign crisis have depressed the supply of higher-quality collateral. While the supply of higher-quality collateral is still estimated to be higher than demand (EUR 11.8tn against EUR 4.1tn in 2012) in Europe, additional demand for collateral is likely to exceed the additional supply of collateral in 2013-2014, making collateral comparatively scarcer. This trend could heighten financial stability risk, as financial institutions lacking higher-quality collateral may use lower-quality collateral to mitigate their counterparty risk, enter into collateral swaps with third parties or pledge some of their assets, resulting in rising asset encumbrance.

Hedge funds and prime brokers — systemic risk implications: Hedge funds, prime brokers and their funding counterparties in repo markets provide an alternative to financial intermediation through traditional banking. Results drawn from an econometric analysis indicate that in times of distressed financial markets, this alternative may be vulnerable to substantive price movements in the assets pledged as collateral, because prime brokers could start to hoard collateral and thus diminish the flow of intermediated funds. This could jeopardise hedge funds‘ liquidity; margins may tend to rise reducing the ability to raise liquid funds, making hedge funds more likely to be forced into fire sales of assets. In such a scenario, asset prices would experience downward pressure, and haircuts and margin calls could squeeze additional liquidity out of the hedge fund sector. Prime brokers may respond to this by hoarding more collateral and at some point by sharply reducing the supply of collateral to the repo market. This would negatively impact repo market volumes, reducing liquidity and increasing the risk of an eventual market shut down. One important source of funding for the alternative financial intermediation chain could thus be severely impaired. In addition, such effect may spread to other repo market participants. Furthermore, the negative repercussions on prime brokers‘ main business could feed back into the banking system and contribute to its systemic vulnerability. (…)

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