2013年-ECB欧洲央行_New_ECB_Survey_on_Credit_Terms_and_Conditions_in_Euro-denominated_Securities_Financing_and_Over-the-Counter_Derivatives_Markets_SESFOD_8页_291kb

SESFOD Summary: Credit Terms and Conditions in Euro-Denominated Securities Financing and OTC Derivatives Markets

Core Content

The ECB launched the Securities Financing and Over-the-Counter Derivatives (SESFOD) survey in April 2013 as part of an international initiative to monitor credit terms and conditions in wholesale financial markets. The survey is designed to provide qualitative insights into leverage, risk-taking, and financial stability risks in euro-denominated securities financing and OTC derivatives markets.

The survey's goal is to serve as a systematic and timely market intelligence tool for macroprudential monitoring. It complements quantitative data that is still limited in scope, especially for euro-denominated markets, and offers a qualitative assessment of credit terms such as haircuts, initial margins, eligible collateral, and non-price terms like credit limits and covenants.

Main Points

• Motivation: The financial crisis highlighted the risks posed by shadow banking and the importance of monitoring credit terms in securities financing and OTC derivatives markets. These markets are key conduits for leverage and liquidity transformation.

• Scope and Coverage:

  • The SESFOD targets large banks involved in euro-denominated markets.
  • It includes three main parts:
    1. Credit terms for various counterparty types.
    2. Financing conditions for different collateral types.
    3. Credit terms for non-centrally cleared OTC derivatives.
  • The survey is not weighted and focuses on the largest banks to ensure broad coverage of relevant market segments.

• Survey Structure and Questions:

  • The survey includes 342 questions, though not all are relevant for all banks.
  • It is tailored to the euro area, with some differences from the Federal Reserve's SCOOS and the international set of questions.
  • It includes special questions to compare current credit terms with those from the end of 2006, indicating a tighter environment in general.

• First Results (Q4 2012 to Q1 2013):

  • A small net tightening of credit terms was reported overall.
  • Price terms (e.g., financing rates/spreads) for most counterparties remained stable or slightly eased.
  • Non-price terms showed a small net tightening, with more banks reporting tighter conditions for most-favoured clients.
  • Demand for funding increased for euro-denominated government bonds and asset-backed securities.
  • Liquidity and market functioning improved for most collateral types, except for convertible securities and equities.
  • OTC derivatives saw a slight deterioration in liquidity and trading, though less pronounced than in previous periods.

Key Findings

• Credit Term Trends:

  • Overall, credit terms tightened marginally.
  • Non-price terms were more likely to change than price terms.
  • Most-favoured clients experienced more significant tightening than average clients, which may indicate increased market stress or higher risk appetite.

• Market Liquidity:

  • Liquidity improved across most collateral types, including high-quality corporate bonds and government bonds.
  • Equities and convertible securities showed less improvement in liquidity.

• Derivatives Market:

  • Liquidity and trading in OTC derivatives deteriorated slightly.
  • Initial margin requirements and other non-price terms remained relatively stable.

• Comparative Insights:

  • The SESFOD results align with those from the Federal Reserve's SCOOS, but show greater disagreement among respondents, suggesting a more volatile market environment.
  • The relationship between price and non-price terms is an area for further research, as they sometimes changed in different directions.

Significance for Macroprudential Monitoring

• The SESFOD is a valuable early warning tool, capable of detecting rising leverage, increased counterparty risk, and market stress.
• It can provide insights into the cumulative impact of credit term changes over time.
• The disagreement index and differences between average and most-favoured clients can serve as indicators of market stress or risk appetite.
• The survey helps in understanding the evolution of credit terms, which is essential for policy-making and risk surveillance in the euro area.

Limitations and Future Outlook

• The qualitative nature of the survey means it cannot capture all quantitative details of credit terms.
• The frequency of reported changes and disagreement among respondents should be considered when interpreting results.
• The ECB plans to publish results monthly, with a three-month reference period.
• Future surveys may include annual comparisons of credit terms with those from the previous year to assess long-term trends.

Conclusion

The SESFOD survey is a crucial tool for monitoring financial stability in euro-denominated markets. It provides timely and comprehensive qualitative data on credit terms, which is difficult to obtain through quantitative means. The survey helps in identifying market stress, understanding leverage dynamics, and supporting monetary policy analysis. As the time series of data grows, the survey will become even more relevant for empirical research and risk monitoring.