Survey respondents reported that, on balance, credit terms offered to counterparties in both securities financing and over-the-counter (OTC) derivatives transactions over the three-month reference period remained basically unchanged.
The relative stability in overall credit terms over the past two reference periods follows the considerable net tightening of credit terms reported throughout the previous two years.
Regarding the provision of finance collateralised by euro-denominated securities, a small net percentage of respondents reported a decrease in the maximum amount and the maximum maturity of funding for many types of collateral, as well as a decrease in haircuts applied to government bonds and a decrease in financing rates when government and corporate bonds were used as collateral.
On balance, respondents reported that the liquidity and functioning of markets for all types of underlying collateral covered by the survey remained basically unchanged. These results follow the deterioration reported since mid-2015 in liquidity and functioning of markets for many types of euro-denominated collateral.
Only few changes were reported regarding credit terms and conditions with respect to non-centrally cleared OTC derivatives. Survey respondents did, however, report less favourable non-price terms and conditions in new or renegotiated OTC derivatives master agreements. The implementation of new European Market Infrastructure Regulation (EMIR) margin requirements for OTC derivative contracts not cleared by a central counterparty (CCP) was cited as the main driver of the less favourable contract terms.
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