ECB欧洲央行-Survey-on-credit-terms-and-conditions-in-euro-denominated-securities-financing-and-OTC-derivatives-markets-_SESFOD_-–-June-2019_31页_1mb

Summary of SESFOD Survey Results – June 2019

Core Content

The June 2019 Survey on Credit Terms and Conditions in Euro-Denominated Securities Financing and OTC Derivatives Markets (SESFOD) provides a qualitative assessment of changes in credit terms between March and May 2019. The survey focuses on the euro-denominated markets, including securities financing and OTC derivatives, and is conducted by the Eurosystem. It aims to gather insights on credit term trends and the main drivers, with a focus on the perspective of firms as suppliers of credit.

Main Sections and Findings

1. Counterparty Types

• Credit Terms and Conditions: Overall, credit terms and conditions eased for most counterparty types across both markets.
  • Price Terms: Easing was observed for investment funds, insurance companies, non-financial corporations, and hedge funds.
  • Non-Price Terms: Easing was also noted, especially for non-financial corporations.
  • Sovereigns: Overall terms were expected to tighten somewhat.
• Drivers of Easing:
  • Improvement in liquidity and market functioning.
  • Stronger competitive pressures from other institutions.
  • Increased balance sheet availability.
• Expectations for the Future:
  • A small net percentage of respondents expect price terms to ease further for most counterparty types.
  • Sovereigns are expected to see some tightening.
• Concentrated Credit Exposures:
  • Attention to concentrated exposures to large banks and CCPs increased.
• Financial Leverage:
  • Use of leverage remained broadly unchanged for most counterparty types, with a small increase for insurance companies.

2. Securities Financing

• Funding Amount and Maturity:
  • Maximum funding amounts and maturities continued to decline, especially for government and covered bonds.
• Haircuts:
  • Haircuts remained broadly unchanged for most collateral types, with some exceptions for asset-backed securities and high-quality financial corporate bonds.
• Financing Rates/Spreads:
  • For average clients, rates/spreads decreased across most collateral types.
  • For most-favoured clients, rates/spreads decreased for equities and increased slightly for domestic government bonds.
• Demand for Funding:
  • Demand for funding declined across all collateral types.
  • Corporate bonds saw the most pronounced decline in demand.
• Collateral Valuation Disputes:
  • The volume, persistence, and duration of valuation disputes remained unchanged.

3. Non-Centrally Cleared OTC Derivatives

• Initial Margin Requirements:
  • Remained broadly unchanged.
  • A small net percentage of respondents reported increases for foreign exchange, commodity, and total return swaps referencing non-securities.
• Credit Limits and Maturity:
  • Credit limits and trade maturities remained largely unchanged.
• Liquidity and Trading:
  • Liquidity and trading conditions slightly deteriorated for foreign exchange and structured credit derivatives.
• Non-Price Terms:
  • Tightening of non-price terms was reported in new or renegotiated master agreements.
  • A small net percentage of respondents indicated an increase in the use of non-standard collateral.

Key Information

• Survey Participants: Large banks and dealers in euro-denominated markets.
• Reporting Focus: Senior credit officers with oversight of credit risk management.
• Scope: Covers all counterparty types, with emphasis on the business area generating the most exposure.
• Methodology:
  • Reports on changes in credit terms over the past three months.
  • Net percentage of respondents is used to reflect tightening or easing.
  • Blue indicates tightening, red indicates easing.
• Trends:
  • Easing in credit terms was the dominant trend in both markets.
  • Continued decline in funding availability and maturity.
  • Increased attention to concentrated credit exposures.
  • Slight deterioration in liquidity for certain markets.
  • Some increase in initial margin requirements and non-price terms.

Conclusion

The June 2019 SESFOD survey highlights a general easing of credit terms across the euro-denominated securities financing and OTC derivatives markets. This trend is driven by improved liquidity, market functioning, and competitive pressures. While some counterparty types, such as sovereigns, are expected to see tightening in the future, the overall direction remains positive for most. The survey also underscores the increasing focus on managing concentrated exposures and the slight impact on liquidity in specific segments.