Board of Governors of the Federal Reserve System

Senior Credit Officer Opinion Survey, September 2019

Current Release RSS DDP

Summary

The September 2019 Senior Credit Officer Opinion Survey on Dealer Financing Terms collected qualitative information on changes over the previous three months in credit terms and conditions in securities financing and over-the-counter (OTC) derivatives markets. In addition to the core questions, the survey included a set of special questions about changes in the overall level of liquidity in the E-mini S&P 500 futures market and about the potential for liquidity to decline in this market when price volatility increases. The 22 institutions participating in the survey account for almost all dealer financing of dollar-denominated securities to nondealers and are the most active intermediaries in OTC derivatives markets. The survey was conducted during the period between August 13, 2019, and August 28, 2019. The core questions asked about changes between June 2019 and August 2019.

Core Questions
(Questions 1-79)¹

Responses to the core questions indicated a few changes over the past three months in the terms under which dealers facilitate their clients' securities and derivatives transactions. With regard to the credit terms applicable to, and mark and collateral disputes with, different counterparty types across the entire range of securities financing and OTC derivatives transactions, responses to the core questions showed the following:

• About one-fourth of dealers, on net, reported an easing in price terms to hedge fund clients, and about one-fifth reported an easing in price terms to their trading real estate investment trust clients. Most of the respondents indicating an easing in price terms pointed to more aggressive competition from other institutions as a reason for easing. Price terms were basically unchanged for other counterparty types (see the exhibit Management of Concentrated Credit Exposures and Indicators of Supply of Credit). Nonprice terms were reportedly unchanged for all classes of counterparties.
• One-fifth of respondents indicated that efforts to negotiate more-favorable price and nonprice terms have increased for hedge funds over the past three months.
• The volume and duration of mark and collateral disputes remained basically unchanged over the past three months for most counterparty types.

With respect to clients' use of financial leverage, on net, dealers indicated little change over the past three months (see the exhibit Use of Financial Leverage) for all classes of counterparties.

Regarding securities financing transactions, respondents indicated the following:

• Similar to the previous quarter, one-fourth of dealers, on net, indicated an increase in funding demand for equities (see the exhibit Measures of Demand for Funding and Market Functioning). Demand for funding remained largely unchanged across all other asset classes.
• One-third of dealers, on net, reported an easing in effective financing rates for non-agency residential mortgage-backed securities for their most favored clients, and one-fourth reported an easing for their average clients. One-fourth of dealers also reported a decrease in the effective financing rates for consumer asset-backed securities for their average and most-favored clients over the past three months. Funding terms were little changed across other asset classes queried in the survey.
• Dealers reported no material change in the liquidity and functioning of the market across collateral classes in the past three months.²

With regard to OTC derivatives markets, responses showed the following:

• Initial margin requirements on OTC derivatives were basically unchanged for average and most-favored clients.
• Most dealers reported that the volume and duration of mark and collateral disputes have not changed across all OTC derivatives. A small net fraction of dealers reported a decrease in the duration and persistence of mark and collateral disputes for OTC equity derivatives.

 

Special Questions
(Questions 81-86)

In recent months, press reports have pointed to reduced liquidity in the E-mini S&P 500 futures market. In the September survey, dealers were asked about changes in equity futures market liquidity and changes in the fragility of liquidity—defined as the tendency of liquidity to significantly decline when price volatility increases. Specifically, the survey's special questions asked about changes between January 2018, the month immediately preceding the spike in equity volatility in February 2018, and the most recent quarter-end in June 2019. The questions focused on the most important reasons for the changes and the most important effects of the changes.

With respect to the current level of liquidity in the equity futures market, respondents reported the following:

• About one-half of respondents, on net, reported a deterioration in the current level of liquidity in the equity futures market compared with the January 2018 level.
• About one-half of the dealers that reported a deterioration in liquidity cited higher levels of realized equity return volatility as the most important reason for the deterioration. The next two most important reasons for the deterioration are the decreased willingness of principal trading firms (PTFs) to provide liquidity and an increase in the concentration of firms that provide liquidity, cited by one-half and one-third of dealers, respectively.³
• One-third of the dealers that reported a deterioration in liquidity cited increased volatility in the equity market as a possible consequence of the deterioration, one fourth cited the decrease in the willingness of their clients to take on risk, and one-fourth did not identify any significant consequences of the deterioration in liquidity.⁴

With respect to the current fragility of liquidity in the equity futures market, respondents reported the following:

• About one-fourth of respondents, on net, reported that the current fragility of liquidity in the equity futures market increased compared with the January 2018 level.
• About one-half of the dealers that reported an increase in the fragility of liquidity cited the decreased willingness of PTFs to provide liquidity during times of high price volatility as the most important reason for the increase. The next two most important reasons for the increase in the fragility of liquidity are the decreased willingness of non-PTFs to provide liquidity during times of high price volatility and higher levels of realized equity return volatility, each cited by one-third of dealers.
• One-half of the dealers that reported an increase in the fragility of liquidity cited the decrease in the willingness of their clients to take on risk as a possible consequence of the deterioration, one-fourth cited the decrease in their own willingness to take on risk, and about one-third did not identify any significant consequences of the increase in the fragility of liquidity.

 

This document was prepared by Pawel Szerszen, Division of Research and Statistics, Board of Governors of the Federal Reserve System. Assistance in developing and administering the survey was provided by staff members in the Capital Markets Function, the Statistics Function, and the Markets Group at the Federal Reserve Bank of New York.

1. Question 80, not discussed here, was optional and allowed respondents to provide additional comments. Return to text

2. Note that survey respondents were instructed to report changes in liquidity and functioning in the market for the underlying collateral to be funded through repurchase agreements and similar secured financing transactions, not changes in the funding markets themselves. This question was not asked with respect to equity markets in the core questions. Return to text

3. A PTF is defined as a principal investor who deploys proprietary low-latency automated trading strategies and who may be registered as broker-dealer but does not have clients as in a typical broker-dealer business model; see U.S. Department of the Treasury, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, U.S. Securities and Exchange Commission, and U.S. Commodity Futures Trading Commission (2015), Joint Staff Report: The U.S. Treasury Market on October 15, 2014 (Washington: Department of the Treasury, Board of Governors, FRBNY, SEC, and CFTC, July), https://www.treasury.gov/press-center/press-releases/Documents/Joint_Staff_Report_Treasury_10-15-2015.pdf. Return to text

4. The dealers that cited increased volatility as a consequence of the deterioration in liquidity selected "other" in the survey question and wrote in a free-form text response. Return to text

 

Exhibit 1: Management of Concentrated Credit Exposures and Indicators of Supply of Credit

Accessible version

 

Exhibit 2: Use of Financial Leverage

Accessible version

Exhibit 3: Measures of Demand for Funding and Market Functioning

Accessible version

 

Results of the September 2019 Senior Credit Officer Opinion Survey on Dealer Financing Terms

The following results include the original instructions provided to the survey respondents. Please note that percentages are based on the number of financial institutions that gave responses other than "Not applicable." Components may not add to totals due to rounding.

 

 

Counterparty Types

 

Questions 1 through 40 ask about credit terms applicable to, and mark and collateral disputes with, different counterparty types, considering the entire range of securities financing and over-the-counter (OTC) derivatives transactions. Question 1 focuses on dealers and other financial intermediaries as counterparties; questions 2 and 3 on central counterparties and other financial utilities; questions 4 through 10 focus on hedge funds; questions 11 through 16 on trading real estate investment trusts (REITs); questions 17 through 22 on mutual funds, exchange-traded funds (ETFs), pension plans, and endowments; questions 23 through 28 on insurance companies; questions 29 through 34 on separately managed accounts established with investment advisers; and questions 35 through 38 on nonfinancial corporations. Questions 39 and 40 ask about mark and collateral disputes for each of the aforementioned counterparty types.

In some questions, the survey differentiates between the compensation demanded for bearing credit risk (price terms) and the contractual provisions used to mitigate exposures (nonprice terms). If your institution's terms have tightened or eased over the past three months, please so report them regardless of how they stand relative to longer-term norms. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other currencies, please explain in the appropriate comment space. Where material differences exist across different business areas--for example, between traditional prime brokerage and OTC derivatives--please answer with regard to the business area generating the most exposure and explain in the appropriate comment space.

 

Dealers and Other Financial Intermediaries

 

1. Over the past three months, how has the amount of resources and attention your firm devotes to management of concentrated credit exposure to dealers and other financial intermediaries (such as large banking institutions) changed?

 

Central Counterparties and Other Financial Utilities

 

2. Over the past three months, how has the amount of resources and attention your firm devotes to management of concentrated credit exposure to central counterparties and other financial utilities changed?

 

3. To what extent have changes in the practices of central counterparties, including margin requirements and haircuts, influenced the credit terms your institution applies to clients on bilateral transactions which are not cleared?

 

 

Hedge Funds

 

4. Over the past three months, how have the price terms (for example, financing rates) offered to hedge funds as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms?

 

5. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to hedge funds across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

6. To the extent that the price or nonprice terms applied to hedge funds have tightened or eased over the past three months (as reflected in your responses to questions 4 and 5), what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   8. Other (please specify)

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

2. Possible reasons for easing
   1. Improvement in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	0.0
      2nd Most Important	1	100.0
      3rd Most Important	0	0.0
      Total	1	100.0

   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	1	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	1	100.0

   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	1	50.0
      2nd Most Important	1	50.0
      3rd Most Important	0	0.0
      Total	2	100.0

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	4	80.0
      2nd Most Important	1	20.0
      3rd Most Important	0	0.0
      Total	5	100.0

   8. Other (please specify)

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

7. How has the intensity of efforts by hedge funds to negotiate more-favorable price and nonprice terms changed over the past three months?

 

8. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by hedge funds changed over the past three months?

 

 

9. Considering the entire range of transactions facilitated by your institution for such clients, how has the availability of additional (and currently unutilized) financial leverage under agreements currently in place with hedge funds (for example, under prime broker, warehouse agreements, and other committed but undrawn or partly drawn facilities) changed over the past three months?

 

 

10. How has the provision of differential terms by your institution to most-favored (as a function of breadth, duration, and extent of relationship) hedge funds changed over the past three months?

 

 

Trading Real Estate Investment Trusts

 

11. Over the past three months, how have the price terms (for example, financing rates) offered to trading REITs as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms?

 

12. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to trading REITs across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

13. To the extent that the price or nonprice terms applied to trading REITs have tightened or eased over the past three months (as reflected in your responses to questions 11 and 12), what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   8. Other (please specify)

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

2. Possible reasons for easing
   1. Improvement in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	1	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	1	100.0

   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	1	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	1	100.0

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	2	50.0
      2nd Most Important	2	50.0
      3rd Most Important	0	0.0
      Total	4	100.0

   8. Other

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

14. How has the intensity of efforts by trading REITs to negotiate more-favorable price and nonprice terms changed over the past three months?

 

15. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by trading REITs changed over the past three months?

 

 

16. How has the provision of differential terms by your institution to most-favored (as a function of breadth, duration, and extent of relationship) trading REITs changed over the past three months?

 

 

Mutual Funds, Exchange-Traded Funds, Pension Plans, and Endowments

 

17. Over the past three months, how have the price terms (for example, financing rates) offered to mutual funds, ETFs, pension plans, and endowments as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms?

 

18. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to mutual funds, ETFs, pension plans, and endowments across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

19. To the extent that the price or nonprice terms applied to mutual funds, ETFs, pension plans, and endowments have tightened or eased over the past three months (as reflected in your responses to questions 17 and 18) what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   8. Other

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

2. Possible reasons for easing
   1. Improvement in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	2	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	2	100.0

   8. Other

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

20. How has the intensity of efforts by mutual funds, ETFs, pension plans, and endowments to negotiate more-favorable price and nonprice terms changed over the past three months?

 

21. Considering the entire range of transactions facilitated by your institution, how has the use of financial leverage by each of the following types of clients changed over the past three months?

 

1. Mutual funds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	20	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	100.0

2. ETFs

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	19	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	100.0

3. Pension plans

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	20	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	100.0

4. Endowments

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	20	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	100.0

22. How has the provision of differential terms by your institution to most-favored (as a function of breadth, duration, and extent of relationship) mutual funds, ETFs, pension plans, and endowments changed over the past three months?

 

Insurance Companies

 

23. Over the past three months, how have the price terms (for example, financing rates) offered to insurance companies as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms?

 

24. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to insurance companies across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

25. To the extent that the price or nonprice terms applied to insurance companies have tightened or eased over the past three months (as reflected in your responses to questions 23 and 24) what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   8. Other

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

2. Possible reasons for easing
   1. Improvement in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	1	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	1	100.0

   8. Other

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

26. How has the intensity of efforts by insurance companies to negotiate more-favorable price and nonprice terms changed over the past three months?

 

27. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by insurance companies changed over the past three months?

 

 

28. How has the provision of differential terms by your institution to most-favored (as a function of breadth, duration, and extent of relationship) insurance companies changed over the past three months?

 

 

Separately Managed Accounts Established with Investment Advisers

 

29. Over the past three months, how have the price terms (for example, financing rates) offered to separately managed accounts established with investment advisers as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms?

 

30. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to separately managed accounts established with investment advisers across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

31. To the extent that the price or nonprice terms applied to separately managed accounts established with investment advisers have tightened or eased over the past three months (as reflected in your responses to questions 29 and 30), what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   8. Other

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

2. Possible reasons for easing
   1. Improvement in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	1	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	1	100.0

   8. Other

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

32. How has the intensity of efforts by investment advisers to negotiate more-favorable price and nonprice terms on behalf of separately managed accounts changed over the past three months?

 

33. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by separately managed accounts established with investment advisers changed over the past three months?

 

 

34. How has the provision of differential terms by your institution to separately managed accounts established with most-favored (as a function of breadth, duration, and extent of relationship) investment advisers changed over the past three months?

 

 

Nonfinancial Corporations

 

35. Over the past three months, how have the price terms (for example, financing rates) offered to nonfinancial corporations as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms?

 

36. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to nonfinancial corporations across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

37. To the extent that the price or nonprice terms applied to nonfinancial corporations have tightened or eased over the past three months (as reflected in your responses to questions 35 and 36) what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   8. Other

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

2. Possible reasons for easing
   1. Improvement in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	0.0
      2nd Most Important	1	100.0
      3rd Most Important	0	0.0
      Total	1	100.0

   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	1	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	1	100.0

   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	2	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	2	100.0

   8. Other

      	Number of Respondents	Percent
      Very Important	0	Undefined
      Somewhat Important	0	Undefined
      Not Important	0	Undefined
      Total	0	Undefined

38. How has the intensity of efforts by nonfinancial corporations to negotiate more-favorable price and nonprice terms changed over the past three months?

 

Mark and Collateral Disputes

 

39. Over the past three months, how has the volume of mark and collateral disputes with clients of each of the following types changed?

1. Dealers and other financial intermediaries

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	4.8
   Remained Basically Unchanged	20	95.2
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	100.0

2. Hedge funds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	4.8
   Remained Basically Unchanged	20	95.2
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	100.0

3. Trading REITs

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.9
   Remained Basically Unchanged	16	94.1
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

4. Mutual funds, ETFs, pension plans, and endowments

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	10.0
   Remained Basically Unchanged	18	90.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	100.0

5. Insurance companies

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.0
   Remained Basically Unchanged	19	95.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	100.0

6. Separately managed accounts established with investment advisers

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.3
   Remained Basically Unchanged	18	94.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	100.0

7. Nonfinancial corporations

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.3
   Remained Basically Unchanged	18	94.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	100.0

40. Over the past three months, how has the duration and persistence of mark and collateral disputes with clients of each of the following types changed?

1. Dealers and other financial intermediaries

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	4.5
   Remained Basically Unchanged	20	90.9
   Decreased Somewhat	1	4.5
   Decreased Considerably	0	0.0
   Total	22	100.0

2. Hedge funds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	19	86.4
   Decreased Somewhat	3	13.6
   Decreased Considerably	0	0.0
   Total	22	100.0

3. Trading REITs

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	1	5.6
   Decreased Considerably	0	0.0
   Total	18	100.0

4. Mutual funds, ETFs, pension plans, and endowments

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	4.8
   Remained Basically Unchanged	17	81.0
   Decreased Somewhat	3	14.3
   Decreased Considerably	0	0.0
   Total	21	100.0

5. Insurance companies

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	19	90.5
   Decreased Somewhat	2	9.5
   Decreased Considerably	0	0.0
   Total	21	100.0

6. Separately managed accounts established with investment advisers

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	18	90.0
   Decreased Somewhat	2	10.0
   Decreased Considerably	0	0.0
   Total	20	100.0

7. Nonfinancial corporations

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	20	95.2
   Decreased Somewhat	1	4.8
   Decreased Considerably	0	0.0
   Total	21	100.0

 

Over-the-Counter Derivatives

 

Questions 41 through 51 ask about OTC derivatives trades. Question 41 focuses on nonprice terms applicable to new and renegotiated master agreements. Questions 42 through 48 ask about the initial margin requirements for most-favored and average clients applicable to different types of contracts: Question 42 focuses on foreign exchange (FX); question 43 on interest rates; question 44 on equity; question 45 on contracts referencing corporate credits (single-name and indexes); question 46 on credit derivatives referencing structured products such as mortgage-backed securities (MBS) and asset-backed securities (ABS) (specific tranches and indexes); question 47 on commodities; and question 48 on total return swaps (TRS) referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans). Question 49 asks about posting of nonstandard collateral pursuant to OTC derivatives contracts. Questions 50 and 51 focus on mark and collateral disputes involving contracts of each of the aforementioned types.

If your institution’s terms have tightened or eased over the past three months, please so report them regardless of how they stand relative to longer-term norms. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other currencies, please explain in the appropriate comment space.

 

New and Renegotiated Master Agreements

 

41. Over the past three months, how have nonprice terms incorporated in new or renegotiated OTC derivatives master agreements put in place with your institution's client changed?

1. Requirements, timelines, and thresholds for posting additional margin

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0
   Tightened Somewhat	0	0.0
   Remained Basically Unchanged	19	100.0
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	19	100.0

2. Acceptable collateral

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0
   Tightened Somewhat	0	0.0
   Remained Basically Unchanged	19	100.0
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	19	100.0

3. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate agreements are in place)

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0
   Tightened Somewhat	1	5.3
   Remained Basically Unchanged	18	94.7
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	19	100.0

4. Triggers and covenants

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0
   Tightened Somewhat	0	0.0
   Remained Basically Unchanged	18	94.7
   Eased Somewhat	1	5.3
   Eased Considerably	0	0.0
   Total	19	100.0

5. Other documentation features (including cure periods and cross-default provisions)

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0
   Tightened Somewhat	0	0.0
   Remained Basically Unchanged	18	94.7
   Eased Somewhat	1	5.3
   Eased Considerably	0	0.0
   Total	19	100.0

6. Other

   	Number of Respondents	Percent
   Tightened Considerably	0	Undefined
   Tightened Somewhat	0	Undefined
   Remained Basically Unchanged	0	Undefined
   Eased Somewhat	0	Undefined
   Eased Considerably	0	Undefined
   Total	0	Undefined

 

Initial Margin

 

42. Over the past three months, how have initial margin requirements set by your institution with respect to OTC FX derivatives changed?

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.0
   Remained Basically Unchanged	19	95.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	100.0

2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.0
   Remained Basically Unchanged	19	95.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	100.0

43. Over the past three months, how have initial margin requirements set by your institution with respect to OTC interest rate derivatives changed?

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	19	95.0
   Decreased Somewhat	1	5.0
   Decreased Considerably	0	0.0
   Total	20	100.0

2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	19	95.0
   Decreased Somewhat	1	5.0
   Decreased Considerably	0	0.0
   Total	20	100.0

44. Over the past three months, how have initial margin requirements set by your institution with respect to OTC equity derivatives changed?

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	18	94.7
   Decreased Somewhat	1	5.3
   Decreased Considerably	0	0.0
   Total	19	100.0

2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	89.5
   Decreased Somewhat	2	10.5
   Decreased Considerably	0	0.0
   Total	19	100.0

45. Over the past three months, how have initial margin requirements set by your institution with respect to OTC credit derivatives referencing corporates (single-name corporates or corporate indexes) changed?

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.9
   Remained Basically Unchanged	16	94.1
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.9
   Remained Basically Unchanged	16	94.1
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

46. Over the past three months, how have initial margin requirements set by your institution with respect to OTC credit derivatives referencing securitized products (such as specific ABS or MBS tranches and associated indexes) changed?

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	13	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	13	100.0

2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	12	92.3
   Decreased Somewhat	1	7.7
   Decreased Considerably	0	0.0
   Total	13	100.0

47. Over the past three months, how have initial margin requirements set by your institution with respect to OTC commodity derivatives changed?

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	14	93.3
   Decreased Somewhat	1	6.7
   Decreased Considerably	0	0.0
   Total	15	100.0

2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	14	93.3
   Decreased Somewhat	1	6.7
   Decreased Considerably	0	0.0
   Total	15	100.0

48. Over the past three months, how have initial margin requirements set by your institution with respect to TRS referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans) changed?

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.9
   Remained Basically Unchanged	15	88.2
   Decreased Somewhat	1	5.9
   Decreased Considerably	0	0.0
   Total	17	100.0

2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.9
   Remained Basically Unchanged	15	88.2
   Decreased Somewhat	1	5.9
   Decreased Considerably	0	0.0
   Total	17	100.0

 

Nonstandard Collateral

 

49. Over the past three months, how has the posting of nonstandard collateral (that is, other than cash and U.S. Treasury securities) as permitted under relevant agreements changed?

 

Mark and Collateral Disputes

 

50. Over the past three months, how has the volume of mark and collateral disputes relating to contracts of each of the following types changed?

1. FX

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	10.5
   Remained Basically Unchanged	15	78.9
   Decreased Somewhat	2	10.5
   Decreased Considerably	0	0.0
   Total	19	100.0

2. Interest rate

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.0
   Remained Basically Unchanged	18	90.0
   Decreased Somewhat	1	5.0
   Decreased Considerably	0	0.0
   Total	20	100.0

3. Equity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.9
   Remained Basically Unchanged	15	88.2
   Decreased Somewhat	1	5.9
   Decreased Considerably	0	0.0
   Total	17	100.0

4. Credit referencing corporates

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.3
   Remained Basically Unchanged	18	94.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	100.0

5. Credit referencing securitized products including MBS and ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	7.1
   Remained Basically Unchanged	13	92.9
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	14	100.0

6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	13.3
   Remained Basically Unchanged	13	86.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	15	100.0

7. TRS referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans)

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	6.7
   Remained Basically Unchanged	14	93.3
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	15	100.0

51. Over the past three months, how has the duration and persistence of mark and collateral disputes relating to contracts of each of the following types changed?

1. FX

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	89.5
   Decreased Somewhat	2	10.5
   Decreased Considerably	0	0.0
   Total	19	100.0

2. Interest rate

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.0
   Remained Basically Unchanged	16	80.0
   Decreased Somewhat	3	15.0
   Decreased Considerably	0	0.0
   Total	20	100.0

3. Equity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	14	82.4
   Decreased Somewhat	3	17.6
   Decreased Considerably	0	0.0
   Total	17	100.0

4. Credit referencing corporates

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	89.5
   Decreased Somewhat	2	10.5
   Decreased Considerably	0	0.0
   Total	19	100.0

5. Credit referencing securitized products including MBS and ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	13	92.9
   Decreased Somewhat	1	7.1
   Decreased Considerably	0	0.0
   Total	14	100.0

6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	6.7
   Remained Basically Unchanged	13	86.7
   Decreased Somewhat	1	6.7
   Decreased Considerably	0	0.0
   Total	15	100.0

7. TRS referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans)

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	14	93.3
   Decreased Somewhat	1	6.7
   Decreased Considerably	0	0.0
   Total	15	100.0

 

Securities Financing

 

Questions 52 through 79 ask about securities funding at your institution--that is, lending to clients collateralized by securities. Such activities may be conducted on a "repo" desk, on a trading desk engaged in facilitation for institutional clients and/or proprietary transactions, on a funding desk, or on a prime brokerage platform. Questions 52 through 55 focus on lending against high-grade corporate bonds; questions 56 through 59 on lending against high-yield corporate bonds; questions 60 and 61 on lending against equities (including through stock loan); questions 62 through 65 on lending against agency residential mortgage-backed securities (agency RMBS); questions 66 through 69 on lending against non-agency residential mortgage-backed securities (non-agency RMBS); questions 70 through 73 on lending against commercial mortgage-backed securities (CMBS); and questions 74 through 77 on consumer ABS (for example, backed by credit card receivables or auto loans). Questions 78 and 79 ask about mark and collateral disputes for lending backed by each of the aforementioned contract types.

If your institution’s terms have tightened or eased over the past three months, please so report them regardless of how they stand relative to longer-term norms. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other currencies, please explain in the appropriate comment space.

 

High-Grade Corporate Bonds

 

52. Over the past three months, how have the terms under which high-grade corporate bonds are funded changed?

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	21	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	21	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	9.5
      Remained Basically Unchanged	19	90.5
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	21	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.0
      Remained Basically Unchanged	19	95.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	20	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	17	81.0
      Eased Somewhat	3	14.3
      Eased Considerably	0	0.0
      Total	21	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	20	95.2
      Eased Somewhat	1	4.8
      Eased Considerably	0	0.0
      Total	21	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	9.5
      Remained Basically Unchanged	19	90.5
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	21	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.0
      Remained Basically Unchanged	19	95.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	20	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	17	81.0
      Eased Somewhat	3	14.3
      Eased Considerably	0	0.0
      Total	21	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

53. Over the past three months, how has demand for funding of high-grade corporate bonds by your institution's clients changed?

 

54. Over the past three months, how has demand for term funding with a maturity greater than 30 days of high-grade corporate bonds by your institution's clients changed?

 

 

55. Over the past three months, how have liquidity and functioning in the high-grade corporate bond market changed?

 

 

High-Yield Corporate Bonds

 

56. Over the past three months, how have the terms under which high-yield corporate bonds are funded changed?

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	17	94.4
      Eased Somewhat	1	5.6
      Eased Considerably	0	0.0
      Total	18	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	11.1
      Remained Basically Unchanged	15	83.3
      Eased Somewhat	1	5.6
      Eased Considerably	0	0.0
      Total	18	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	11.1
      Remained Basically Unchanged	16	88.9
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.6
      Remained Basically Unchanged	14	77.8
      Eased Somewhat	3	16.7
      Eased Considerably	0	0.0
      Total	18	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	17	94.4
      Eased Somewhat	1	5.6
      Eased Considerably	0	0.0
      Total	18	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	11.1
      Remained Basically Unchanged	15	83.3
      Eased Somewhat	1	5.6
      Eased Considerably	0	0.0
      Total	18	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.6
      Remained Basically Unchanged	16	88.9
      Eased Somewhat	1	5.6
      Eased Considerably	0	0.0
      Total	18	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.6
      Remained Basically Unchanged	14	77.8
      Eased Somewhat	3	16.7
      Eased Considerably	0	0.0
      Total	18	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

57. Over the past three months, how has demand for funding of high-yield corporate bonds by your institution's clients changed?

 

58. Over the past three months, how has demand for term funding with a maturity greater than 30 days of high-yield corporate bonds by your institution's clients changed?

 

 

59. Over the past three months, how have liquidity and functioning in the high-yield corporate bond market changed?

 

 

Equities (Including through Stock Loan)

 

60. Over the past three months, how have the terms under which equities are funded (including through stock loan) changed?

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	17	89.5
      Eased Somewhat	2	10.5
      Eased Considerably	0	0.0
      Total	19	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	19	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	19	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	18	94.7
      Eased Somewhat	1	5.3
      Eased Considerably	0	0.0
      Total	19	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.3
      Remained Basically Unchanged	15	78.9
      Eased Somewhat	3	15.8
      Eased Considerably	0	0.0
      Total	19	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	17	89.5
      Eased Somewhat	2	10.5
      Eased Considerably	0	0.0
      Total	19	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	19	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	19	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	17	89.5
      Eased Somewhat	2	10.5
      Eased Considerably	0	0.0
      Total	19	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	3	15.8
      Remained Basically Unchanged	13	68.4
      Eased Somewhat	3	15.8
      Eased Considerably	0	0.0
      Total	19	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

61. Over the past three months, how has demand for funding of equities (including through stock loan) by your institution's clients changed?

 

Agency Residential Mortgage-Backed Securities

 

62. Over the past three months, how have the terms under which agency RMBS are funded changed?

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	19	95.0
      Eased Somewhat	1	5.0
      Eased Considerably	0	0.0
      Total	20	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	19	95.0
      Eased Somewhat	1	5.0
      Eased Considerably	0	0.0
      Total	20	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.0
      Remained Basically Unchanged	19	95.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	20	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.0
      Remained Basically Unchanged	17	85.0
      Eased Somewhat	2	10.0
      Eased Considerably	0	0.0
      Total	20	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	19	95.0
      Eased Somewhat	1	5.0
      Eased Considerably	0	0.0
      Total	20	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	19	95.0
      Eased Somewhat	1	5.0
      Eased Considerably	0	0.0
      Total	20	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.0
      Remained Basically Unchanged	19	95.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	20	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.0
      Remained Basically Unchanged	16	80.0
      Eased Somewhat	3	15.0
      Eased Considerably	0	0.0
      Total	20	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

63. Over the past three months, how has demand for funding of agency RMBS by your institution's clients changed?

 

64. Over the past three months, how has demand for term funding with a maturity greater than 30 days of agency RMBS by your institution's clients changed?

 

 

65. Over the past three months, how have liquidity and functioning in the agency RMBS market changed?

 

 

Non-Agency Residential Mortgage-Backed Securities

 

66. Over the past three months, how have the terms under which non-agency RMBS are funded changed?

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	17	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.9
      Remained Basically Unchanged	16	94.1
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.9
      Remained Basically Unchanged	14	82.4
      Eased Somewhat	2	11.8
      Eased Considerably	0	0.0
      Total	17	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.9
      Remained Basically Unchanged	11	64.7
      Eased Somewhat	5	29.4
      Eased Considerably	0	0.0
      Total	17	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	17	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.9
      Remained Basically Unchanged	16	94.1
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.9
      Remained Basically Unchanged	14	82.4
      Eased Somewhat	2	11.8
      Eased Considerably	0	0.0
      Total	17	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.9
      Remained Basically Unchanged	10	58.8
      Eased Somewhat	6	35.3
      Eased Considerably	0	0.0
      Total	17	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

67. Over the past three months, how has demand for funding of non-agency RMBS by your institution's clients changed?

 

68. Over the past three months, how has demand for term funding with a maturity greater than 30 days of non-agency RMBS by your institution's clients changed?

 

 

69. Over the past three months, how have liquidity and functioning in the non-agency RMBS market changed?

 

 

Commercial Mortgage-Backed Securities

 

70. Over the past three months, how have the terms under which CMBS are funded changed?

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	14	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	14	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	14	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	14	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	7.1
      Remained Basically Unchanged	12	85.7
      Eased Somewhat	1	7.1
      Eased Considerably	0	0.0
      Total	14	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	7.1
      Remained Basically Unchanged	10	71.4
      Eased Somewhat	3	21.4
      Eased Considerably	0	0.0
      Total	14	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	13	92.9
      Eased Somewhat	1	7.1
      Eased Considerably	0	0.0
      Total	14	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	14	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	14	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	7.1
      Remained Basically Unchanged	12	85.7
      Eased Somewhat	1	7.1
      Eased Considerably	0	0.0
      Total	14	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	7.1
      Remained Basically Unchanged	10	71.4
      Eased Somewhat	3	21.4
      Eased Considerably	0	0.0
      Total	14	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

71. Over the past three months, how has demand for funding of CMBS by your institution's clients changed?

 

72. Over the past three months, how has demand for term funding with a maturity greater than 30 days of CMBS by your institution's clients changed?

 

 

73. Over the past three months, how have liquidity and functioning in the CMBS market changed?

 

 

Consumer Asset-Backed Securities

 

74. Over the past three months, how have the terms under which consumer ABS (for example, backed by credit card receivables or auto loans) are funded changed?

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	15	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	15	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	6.7
      Remained Basically Unchanged	14	93.3
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	15	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	6.7
      Remained Basically Unchanged	13	86.7
      Eased Somewhat	1	6.7
      Eased Considerably	0	0.0
      Total	15	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	6.7
      Remained Basically Unchanged	9	60.0
      Eased Somewhat	5	33.3
      Eased Considerably	0	0.0
      Total	15	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	15	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	15	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	6.7
      Remained Basically Unchanged	14	93.3
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	15	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	6.7
      Remained Basically Unchanged	13	86.7
      Eased Somewhat	1	6.7
      Eased Considerably	0	0.0
      Total	15	100.0

   4. Collateral spreads over relevant benchmark (effective financing rates)

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	6.7
      Remained Basically Unchanged	9	60.0
      Eased Somewhat	5	33.3
      Eased Considerably	0	0.0
      Total	15	100.0

   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

75. Over the past three months, how has demand for funding of consumer ABS by your institution's clients changed?

 

76. Over the past three months, how has demand for term funding with a maturity greater than 30 days of consumer ABS by your institution's clients changed?

 

 

77. Over the past three months, how have liquidity and functioning in the consumer ABS market changed?

 

 

Mark and Collateral Disputes

 

78. Over the past three months, how has the volume of mark and collateral disputes relating to lending against each of the following collateral types changed?

1. High-grade corporate bonds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.3
   Remained Basically Unchanged	18	94.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	100.0

2. High-yield corporate bonds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.6
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	100.0

3. Equities

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.9
   Remained Basically Unchanged	16	94.1
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

4. Agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.3
   Remained Basically Unchanged	18	94.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	100.0

5. Non-agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	6.3
   Remained Basically Unchanged	15	93.8
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	16	100.0

6. CMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	6.7
   Remained Basically Unchanged	14	93.3
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	15	100.0

7. Consumer ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	6.3
   Remained Basically Unchanged	15	93.8
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	16	100.0

79. Over the past three months, how has the duration and persistence of mark and collateral disputes relating to lending against each of the following collateral types changed?

1. High-grade corporate bonds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	18	94.7
   Decreased Somewhat	1	5.3
   Decreased Considerably	0	0.0
   Total	19	100.0

2. High-yield corporate bonds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	1	5.6
   Decreased Considerably	0	0.0
   Total	18	100.0

3. Equities

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	16	94.1
   Decreased Somewhat	1	5.9
   Decreased Considerably	0	0.0
   Total	17	100.0

4. Agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	18	94.7
   Decreased Somewhat	1	5.3
   Decreased Considerably	0	0.0
   Total	19	100.0

5. Non-agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	15	93.8
   Decreased Somewhat	1	6.3
   Decreased Considerably	0	0.0
   Total	16	100.0

6. CMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	14	93.3
   Decreased Somewhat	1	6.7
   Decreased Considerably	0	0.0
   Total	15	100.0

7. Consumer ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	15	93.8
   Decreased Somewhat	1	6.3
   Decreased Considerably	0	0.0
   Total	16	100.0

 

Optional Question

 

Question 80 requests feedback on any other issues you judge to be important relating to credit terms applicable to securities financing transactions and OTC derivatives contracts.

Special Questions on Liquidity in the Equity Futures Market

In recent months, some press reports have noted reduced liquidity in the E-mini S&P 500 futures market. In questions 81 through 83, we ask about changes in the overall level of liquidity in this market since January 2018. In questions 84 through 86, we ask about the potential for liquidity to decline when price volatility increases.

Level of Liquidity in the Equity Futures Market

81. Relative to January 2018, how would you characterize the current liquidity level in the equity futures market?

 

82. To the extent that the current level of liquidity in the equity futures market has changed relative to January 2018 (as reflected in your response to question 81), what are the most important reasons for this change?

 

1. Possible reasons for an improvement
   1. Decrease in the concentration of firms that provide liquidity¹

      	Number of Respondents
      Most important factor	0
      2nd most important factor	0
      Total	0

   2. Increased willingness of principal trading firms (PTFs) to provide liquidity²

      	Number of Respondents
      Most important factor	1
      2nd most important factor	0
      Total	1

   3. Increased willingness of non-PTFs to provide liquidity

      	Number of Respondents
      Most important factor	0
      2nd most important factor	1
      Total	1

   4. Lower levels of realized equity return volatility

      	Number of Respondents
      Most important factor	0
      2nd most important factor	0
      Total	0

   5. Other (please specify)

      	Number of Respondents
      Most important factor	1
      2nd most important factor	0
      Total	1



2. Possible reasons for a deterioration
   1. Increase in the concentration of firms that provide liquidity

      	Number of Respondents
      Most important factor	2
      2nd most important factor	2
      Total	4

   2. Decreased willingness of principal trading firms (PTFs) to provide liquidity²

      	Number of Respondents
      Most important factor	3
      2nd most important factor	3
      Total	6

   3. Decreased willingness of non-PTFs to provide liquidity

      	Number of Respondents
      Most important factor	1
      2nd most important factor	0
      Total	1

   4. Higher levels of realized equity return volatility

      	Number of Respondents
      Most important factor	5
      2nd most important factor	1
      Total	6

   5. Other (please specify)

      	Number of Respondents
      Most important factor	1
      2nd most important factor	3
      Total	4

 

83. To the extent that liquidity in the equity futures market has changed relative to January 2018, as reflected in your response to question 81, what are the most important consequences of this change?

 

1. Possible consequences of an improvement

   	Number of Respondents
   Increase in the willingness of your institution to take on risk	1
   Increase in the willingness of your clients to take on risk	1
   Increase in the amount of funding available to clients provided by your institution	1
   Other	1
   There were no significant consequences	0
   Total number of respondents with declared consequence(s)	2
   Total number of respondents with no consequence(s)	0

2. Possible consequences of a deterioration

   	Number of Respondents
   Decrease in the willingness of your institution to take on risk	2
   Decrease in the willingness of your clients to take on risk	3
   Decrease in the amount of funding available to clients provided by your institution	1
   Other	5
   There were no significant consequences	3
   Total number of respondents with declared consequence(s)	9
   Total number of respondents with no consequence(s)	3

 

Fragility of Liquidity in the Equity Futures Market

 

84. Relative to January 2018, how would you characterize the current fragility of liquidity in the equity futures market, defined as the tendency for liquidity to significantly decline or become impaired when price volatility increases?

85. To the extent that the fragility of liquidity in the equity futures market has changed relative to January 2018 (as reflected in your response to question 84), what are the most important reasons for this change?

1. Possible reasons for an increase in the fragility of market liquidity
   1. Increase in the concentration of firms that provide liquidity

      	Number of Respondents
      Most important factor	1
      2nd most important factor	1
      Total	2

   2. Decreased willingness of PTFs to provide liquidity during times of high price volatility

      	Number of Respondents
      Most important factor	4
      2nd most important factor	1
      Total	5

   3. Decreased willingness of non-PTFs to provide liquidity during times of high price volatility

      	Number of Respondents
      Most important factor	1
      2nd most important factor	2
      Total	3

   4. Higher levels of realized equity return volatility

      	Number of Respondents
      Most important factor	2
      2nd most important factor	1
      Total	3

   5. Growing use of volatility-linked exchange-traded products

      	Number of Respondents
      Most important factor	0
      2nd most important factor	0
      Total	0

   6. Other (please specify)

      	Number of Respondents
      Most important factor	0
      2nd most important factor	0
      Total	0

2. Possible reasons for a decrease in the fragility of market liquidity
   1. Decrease in the concentration of firms that provide liquidity

      	Number of Respondents
      Most important factor	1
      2nd most important factor	0
      Total	1

   2. Increased willingness of PTFs to provide liquidity during times of high price volatility

      	Number of Respondents
      Most important factor	1
      2nd most important factor	1
      Total	2

   3. Increased willingness of non-PTFs to provide liquidity during times of high price volatility

      	Number of Respondents
      Most important factor	0
      2nd most important factor	1
      Total	1

   4. Lower levels of realized equity return volatility

      	Number of Respondents
      Most important factor	1
      2nd most important factor	0
      Total	1

   5. Decreasing use of volatility-linked exchange-traded products

      	Number of Respondents
      Most important factor	0
      2nd most important factor	0
      Total	0

   6. Other (please specify)

      	Number of Respondents
      Most important factor	0
      2nd most important factor	0
      Total	0

 

86. To the extent that the fragility of liquidity in the equity futures market has changed relative to January 2018 (as reflected in your response to question 84), what are the most important consequences of this change?

 

1. Possible consequences of an increase in the fragility of market liquidity

   	Number of Respondents
   Decrease in the willingness of your institution to take on risk	2
   Decrease in the willingness of your clients to take on risk	4
   Decrease in the amount of funding available to clients provided by your institution	0
   Other	1
   There were no significant consequences	3
   Total number of respondents with declared consequence(s)	5
   Total number of respondents with no consequence(s)	3

2. Possible consequences of a decrease in the fragility of market liquidity

   	Number of Respondents
   Increase in the willingness of your institution to take on risk	2
   Increase in the willingness of your clients to take on risk	3
   Increase in the amount of funding available to clients provided by your institution	1
   Other	0
   There were no significant consequences	0
   Total number of respondents with declared consequence(s)	3
   Total number of respondents with no consequence(s)	0

 

1. A high concentration in liquidity provision is defined as a state when only a few firms account for a large portion of liquidity provision in the market. Return to text

 

2. A principal trading firm (PTF) is defined as a principal investor who deploys proprietary low-latency automated trading strategies and who may be registered as broker-dealer but does not have clients as in a typical broker-dealer business model; see U.S. Department of the Treasury, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, U.S. Securities and Exchange Commission, and U.S. Commodity Futures Trading Commission (2015), The U.S. Treasury Market on October 15, 2014, Joint Staff Report, July 13, https://www.treasury.gov/press-center/press-releases/Documents/Joint_Staff_Report_Treasury_10-15-2015.pdf. Return to text