The June 2026 ECB survey reports slight net easing of credit terms across all counterparty types amid heightened market volatility, with changes in securities financing and OTC derivatives markets from March to May 2026.
The European Central Bank (ECB) released the results of the June 2026 Survey on Credit Terms and Conditions in euro-denominated securities financing and OTC derivatives markets (SESFOD). The survey indicates a slight net easing of credit terms for all counterparty types for a second consecutive quarter.
Market volatility from March to May 2026, driven by escalating Middle East conflict and a sharp rise in commodity prices, affected market sentiment. Despite this, credit terms proved broadly resilient, with easing primarily in price terms, while non-price terms remained stable across all categories.
In securities financing markets, financing rates/spreads increased across all collateral types, notably asset-backed securities (31%), high-yield corporate bonds (29%), and domestic government bonds (29%). Demand for funding grew, especially for equities (33%), leading dealers to adjust funding availability and maturity for bonds and equities. Market liquidity and functioning showed slight deterioration for equities, high-yield bonds, and high-quality financial bonds, with an increase in collateral valuation disputes.
In OTC derivatives markets, initial margin requirements rose slightly, especially for interest rate derivatives. Liquidity and trading conditions deteriorated marginally for foreign exchange, equity, and commodity derivatives. The volume of valuation disputes increased, particularly for equity derivatives, with a slight rise in maximum exposure for interest rate, credit, and equity derivatives.
The full survey results, detailed breakdowns, and comparison with previous rounds are available in the ECB’s published report. Data from all survey rounds are accessible via the ECB Data Portal.
The SESFOD survey is conducted quarterly, covering changes over three-month periods ending in February, May, August, and November. The June 2026 survey focused on changes from March to May 2026, based on responses from 26 large banks, including 14 euro area banks and 12 outside the euro area.
