Survey on credit terms and conditions in euro-denominated securities financing and OTC derivatives markets (SESFOD) - March 2024

Survey on credit terms and

Metadata

Provider:

ECB

URL:

https://www.ecb.europa.eu//pub/pdf/other/SESFOD_2024_Q1_Summary~77413eebdb.en.pdf

Retrieved on:

Thursday, April 18, 2024

Information

Geotags:

NO, GERMANY

Summary

Key Points:

Survey on credit terms and
conditions in euro-denominated
securities financing and OTC
derivatives markets (SESFOD)
March 2024
The Eurosystem conducts a three-monthly qualitative survey on credit terms and
conditions in euro-denominated securities financing and over-the-counter (OTC)
derivatives markets.
The survey questions are grouped into three sections:
1.
counterparty types ? credit terms and conditions for various counterparty
types in both securities financing and OTC derivatives markets;

2.

securities financing ? financing conditions for various collateral types;

3.

non-centrally cleared OTC derivatives ? credit terms and conditions for
various derivative types.
The survey focuses on euro-denominated instruments in securities financing and
OTC derivatives markets.
For securities financing, the survey refers to the
euro-denominated securities against which financing is provided, rather than the
currency of the loan.
Reporting institutions should report on their global credit terms, so the survey is
aimed at senior credit officers responsible for maintaining an overview of the
management of credit risks.
SESFOD March 2024
2

March 2024 SESFOD results
(Review period from December 2023 to February 2024)
The March 2024 Survey on credit terms and conditions in euro-denominated
securities financing and OTC derivatives markets (SESFOD) reports qualitative
changes in credit terms between December 2023 and February 2024.
Looking at credit terms and conditions for the various types of non-centrally cleared
OTC derivative, initial margin requirements increased slightly for all derivative types.
Survey respondents reported mostly unchanged conditions as regards the maximum
amount of exposure and the maximum maturity of trades.
Moreover, they reported that the volume of valuation disputes had
declined for all derivative types except credit derivatives.
The survey asked respondents to compare credit terms
and conditions on the cut-off date for the March 2024 survey round (i.e.
Compared with the
previous year, overall terms and conditions for securities financing and OTC
derivatives transactions had eased somewhat across all counterparties, while credit
standards for funding secured against various types of collateral and non-price terms
in OTC derivatives markets were generally tighter.
Credit terms and conditions for various counterparty types in both
securities financing and OTC derivatives markets
Overall credit terms and conditions eased between December 2023 and
February 2024 (Chart A).
The overall easing of conditions masked some
heterogeneity between price and non-price terms, and across different types of
counterparty, though reported changes were relatively small.
Credit terms and conditions for various types of non-centrally
cleared OTC derivative
Initial margin requirements increased slightly for all derivative types.
Meanwhile, they reported
unchanged conditions for credit derivatives referencing sovereigns and commodities,
as well as a slight deterioration for credit derivatives referencing corporates and
structured credit products.
The survey asked respondents to compare the credit terms and conditions observed
on the cut-off date for the March 2024 survey (i.e.
Compared with the previous year, overall terms and conditions for securities
financing and OTC derivatives transactions had eased somewhat across all
counterparties.
Survey respondents reported that non-price credit terms in OTC derivatives
markets had tightened somewhat for almost all types of derivative relative to
the previous year.