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19 January 2016

ECB: Results of the December 2015 survey on credit terms and conditions in euro-denominated securities financing and OTC derivatives markets


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Less favourable credit terms are being offered to counterparties across the entire spectrum of securities financing and OTC derivatives transaction types. Liquidity and functioning of markets has deteriorated for many types of euro-denominated collateral.


The maximum amount and the maximum maturity of funding in securities financing transactions have decreased for many types of collateral. The reduction in the maximum amount of funding was most evident when government bonds and high-quality corporate bonds are used as collateral, while the reduction in the maximum maturity of funding was most pronounced when high-yield corporate bonds are used as collateral. Financing rates/spreads increased when high-yield corporate bonds are used as collateral, while they remained basically unchanged for most other collateral types.

The use of central counterparties (CCPs) has increased somewhat for securities financing transactions when government bonds, high-quality and high-yield corporate bonds, and covered bonds are used as collateral. Survey respondents reported an increase in the level of resources and attention devoted to the management of concentrated credit exposures to CCPs in particular.

The deterioration in market liquidity and functioning reported in the June 2015 and September 2015 SESFOD surveys accelerated over the September-November 2015 reference period and is most evident for government bonds, high-yield corporate bonds, high-quality financial corporate bonds, high-quality non-financial corporate bonds and covered bonds.

Full report



© ECB - European Central Bank


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