Board of Governors of the Federal Reserve System

Senior Credit Officer Opinion Survey, March 2020

Current Release RSS DDP

Summary

The March 2020 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 related to bifurcation of spreads in corporate bond and collateralized loan obligations markets during the second half of 2019. 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 February 11, 2020, and February 25, 2020, and closed before the recent period of high market volatility related to COVID-19. The core questions asked about changes between December 2019 and February 2020.¹

Core Questions
(Questions 1-79)²

Responses to the core questions in the December survey offered a few insights into recent changes 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 revealed the following:

• About one-fifth of dealers indicated an increase in the amount of resources and attention devoted to the management of concentrated credit exposure to central counterparties and other financial utilities over the past three months (see the exhibit Management of Concentrated Credit Exposures and Indicators of Supply of Credit).
• Price and nonprice terms on securities financing transactions and OTC derivatives were generally unchanged across all classes of counterparties, although a small net fraction of dealers indicated easing of price terms for mutual funds, real estate investment trusts (REITs), and nonfinancial corporations (see the exhibit Management of Concentrated Credit Exposures and Indicators of Supply of Credit).
• The volume and duration of mark and collateral disputes remained basically unchanged over the past three months for most counterparty types, although a small net fraction of dealers indicated a reduction in the volume and duration of such disputes with hedge funds, REITs, mutual funds, and exchange-traded funds.

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.

With regard to OTC derivatives markets, responses to the core questions revealed the following:

• Initial margin requirements on OTC derivatives were basically unchanged, on net, for average and most-favored clients.
• The volume and duration of mark and collateral disputes remained largely unchanged over the past three months, with a small net fraction of respondents indicating a decrease in the duration and volume of such disputes across most OTC derivatives.

With respect to securities financing transactions, respondents indicated the following:

• A net fraction of approximately one-fifth of dealers reported increased demand to fund equities, and a similar net fraction of dealers reported increased demand for term funding of non-agency residential mortgage-backed securities (RMBS). A somewhat smaller net fraction of respondents also indicated an increase in demand for funding for agency RMBS and asset-backed securities (ABS). Demand for funding remained largely unchanged for investment-grade and high-yield bonds (see the exhibit Measures of Demand for Funding and Market Functioning).
• Terms under which various types of securities are funded remained largely unchanged since the previous survey. A small net fraction of dealers reported tightening of financing for equities for their preferred clients.
• A small fraction of dealers, on net, reported an improvement in the liquidity and functioning of the market in high-grade corporate bonds, agency and non-agency RMBS, and consumer ABS in the past three months (see the exhibit Measures of Demand for Funding and Market Functioning).³

Special Questions on the Bifurcation of Spreads in Corporate Bond and CLO Markets

Spreads on speculative-grade corporate bonds and CLO tranches exhibited a notable bifurcation in the second half of 2019, with spreads of triple-C corporate bonds and below-investment-grade CLO tranches over comparable-maturity Treasury securities having widened substantially and spreads of corporate bonds rated B or double-B and investment-grade CLO tranches having narrowed. In the special questions of the survey this quarter, dealers were asked about changes in demand for funding for these securities over the second half of 2019 and the main reasons for these changes.

With respect to spread bifurcation in the corporate bond market, dealers reported the following:

• Most respondents indicated that demand for funding of corporate bonds rated triple-C and below remained unchanged.
• Meanwhile, a net fraction of about one-fourth of respondents indicated increased demand for corporate bonds rated B or double-B.
• The most frequently cited top reason for increased demand for funding of corporate bonds rated B or double-B was increased willingness of clients to take on risk, with some dealers also citing eased terms of financing or clients' improved assessment of credit risk of these bonds.

With respect to spread bifurcation in the CLO market, dealers reported the following:

• Most respondents indicated that demand for funding of CLO tranches below investment grade remained unchanged.
• A net fraction of about one-fifth of respondents indicated increased demand for investment-grade CLO tranches.
• The most frequently cited top reason for increased demand for funding of investment-grade CLO tranches was clients' improved assessment of credit risk of these securities, with some dealers also citing increased willingness of clients to take on risk.

This document was prepared by Valery Polkovnichenko, 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. For questions that ask about credit terms, net percentages equal the percentage of institutions that reported tightening terms ("tightened considerably" or "tightened somewhat") minus the percentage of institutions that reported easing terms ("eased considerably" or "eased somewhat"). For questions that ask about demand, net fractions equal the percentage of institutions that reported increased demand ("increased considerably" or "increased somewhat") minus the percentage of institutions that reported decreased demand ("decreased considerably" or "decreased somewhat"). Return to text

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

3. 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

 

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 March 2020 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

 

Central Counterparties and Other Financial Utilities

 

 

 

 

Hedge Funds

 

 

 

 

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
   • 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

   
   
   1. Reduced willingness of your institution to take on risk

      	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

   2. Adoption of more-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

   3. 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

   4. 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

   5. Worsening in general market liquidity and functioning

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

   6. 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

   7. 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	0.0
      2nd Most Important	0	0.0
      3rd Most Important	1	100.0
      Total	1	100.0

   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	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	0.0
      2nd Most Important	1	100.0
      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	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	0	0.0
      2nd Most Important	1	100.0
      3rd Most Important	0	0.0
      Total	1	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

 

 

 

 

 

 

 

Trading Real Estate Investment Trusts

 

 

 

 

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	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	2	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	2	100.0

   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	2	66.7
      2nd Most Important	1	33.3
      3rd Most Important	0	0.0
      Total	3	100.0

   7. More-aggressive competition from other institutions

      	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

   8. Other

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

 

 

 

 

 

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

 

 

 

 

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	1	33.3
      2nd Most Important	2	66.7
      3rd Most Important	0	0.0
      Total	3	100.0

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	3	75.0
      2nd Most Important	1	25.0
      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

 

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	1	4.8
   Remained Basically Unchanged	20	95.2
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	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

 

Insurance Companies

 

 

 

 

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	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	1	50.0
      2nd Most Important	1	50.0
      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

 

 

 

 

 

Separately Managed Accounts Established with Investment Advisers

 

 

 

 

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	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	0	0.0
      2nd Most Important	1	100.0
      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

 

 

 

 

 

Nonfinancial Corporations

 

 

 

 

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	0.0
      2nd Most Important	0	0.0
      3rd Most Important	1	100.0
      Total	1	100.0

   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	2	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	2	100.0

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	1	33.3
      2nd Most Important	2	66.7
      3rd Most Important	0	0.0
      Total	3	100.0

   8. Other

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

 

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	2	9.1
   Remained Basically Unchanged	18	81.8
   Decreased Somewhat	2	9.1
   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	16	88.9
   Decreased Somewhat	2	11.1
   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	0	0.0
   Remained Basically Unchanged	14	73.7
   Decreased Somewhat	5	26.3
   Decreased Considerably	0	0.0
   Total	19	100.0

5. Insurance companies

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	3	15.0
   Remained Basically Unchanged	16	80.0
   Decreased Somewhat	1	5.0
   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	5.0
   Remained Basically Unchanged	18	90.0
   Decreased Somewhat	1	5.0
   Decreased Considerably	0	0.0
   Total	20	100.0

7. Nonfinancial corporations

   	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

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	4.3
   Remained Basically Unchanged	20	87.0
   Decreased Somewhat	2	8.7
   Decreased Considerably	0	0.0
   Total	23	100.0

2. Hedge funds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	20	87.0
   Decreased Somewhat	3	13.0
   Decreased Considerably	0	0.0
   Total	23	100.0

3. Trading REITs

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	16	88.9
   Decreased Somewhat	2	11.1
   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	0	0.0
   Remained Basically Unchanged	18	85.7
   Decreased Somewhat	2	9.5
   Decreased Considerably	1	4.8
   Total	21	100.0

5. Insurance companies

   	Number of Respondents	Percent
   Increased Considerably	1	4.8
   Increased Somewhat	2	9.5
   Remained Basically Unchanged	16	76.2
   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	1	4.8
   Remained Basically Unchanged	18	85.7
   Decreased Somewhat	2	9.5
   Decreased Considerably	0	0.0
   Total	21	100.0

7. Nonfinancial corporations

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	4.5
   Remained Basically Unchanged	19	86.4
   Decreased Somewhat	1	4.5
   Decreased Considerably	1	4.5
   Total	22	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	1	5.0
   Remained Basically Unchanged	19	95.0
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	20	100.0

2. Acceptable collateral

   	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

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	0	0.0
   Remained Basically Unchanged	19	100.0
   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	20	100.0
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	20	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	20	100.0
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	20	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	0	0.0
   Remained Basically Unchanged	21	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	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	20	95.2
   Decreased Somewhat	1	4.8
   Decreased Considerably	0	0.0
   Total	21	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	21	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	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	21	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	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	1	5.0
   Increased Somewhat	1	5.0
   Remained Basically Unchanged	18	90.0
   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	1	5.3
   Increased Somewhat	1	5.3
   Remained Basically Unchanged	17	89.5
   Decreased Somewhat	0	0.0
   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	0	0.0
   Remained Basically Unchanged	18	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	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	18	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	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	15	100.0
   Decreased Somewhat	0	0.0
   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	1	6.7
   Remained Basically Unchanged	14	93.3
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	15	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	17	100.0
   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	0	0.0
   Remained Basically Unchanged	17	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	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	0	0.0
   Remained Basically Unchanged	18	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	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	18	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	100.0

Nonstandard Collateral

 

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	0	0.0
   Remained Basically Unchanged	17	85.0
   Decreased Somewhat	3	15.0
   Decreased Considerably	0	0.0
   Total	20	100.0

2. Interest rate

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.0
   Remained Basically Unchanged	15	75.0
   Decreased Somewhat	4	20.0
   Decreased Considerably	0	0.0
   Total	20	100.0

3. Equity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	11.1
   Remained Basically Unchanged	13	72.2
   Decreased Somewhat	3	16.7
   Decreased Considerably	0	0.0
   Total	18	100.0

4. Credit referencing corporates

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	15	83.3
   Decreased Somewhat	3	16.7
   Decreased Considerably	0	0.0
   Total	18	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	12	80.0
   Decreased Somewhat	3	20.0
   Decreased Considerably	0	0.0
   Total	15	100.0

6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	13	86.7
   Decreased Somewhat	2	13.3
   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	13	86.7
   Decreased Somewhat	2	13.3
   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	85.0
   Decreased Somewhat	3	15.0
   Decreased Considerably	0	0.0
   Total	20	100.0

2. Interest rate

   	Number of Respondents	Percent
   Increased Considerably	1	5.0
   Increased Somewhat	1	5.0
   Remained Basically Unchanged	14	70.0
   Decreased Somewhat	4	20.0
   Decreased Considerably	0	0.0
   Total	20	100.0

3. Equity

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

4. Credit referencing corporates

   	Number of Respondents	Percent
   Increased Considerably	1	5.6
   Increased Somewhat	1	5.6
   Remained Basically Unchanged	13	72.2
   Decreased Somewhat	3	16.7
   Decreased Considerably	0	0.0
   Total	18	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	81.3
   Decreased Somewhat	3	18.8
   Decreased Considerably	0	0.0
   Total	16	100.0

6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	1	7.1
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	10	71.4
   Decreased Somewhat	3	21.4
   Decreased Considerably	0	0.0
   Total	14	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	13	86.7
   Decreased Somewhat	2	13.3
   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	1	4.8
      Remained Basically Unchanged	20	95.2
      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	1	4.8
      Remained Basically Unchanged	20	95.2
      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	18	90.0
      Eased Somewhat	1	5.0
      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	18	85.7
      Eased Somewhat	2	9.5
      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	1	4.5
      Remained Basically Unchanged	21	95.5
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	22	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.5
      Remained Basically Unchanged	21	95.5
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	22	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.0
      Remained Basically Unchanged	18	90.0
      Eased Somewhat	1	5.0
      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	4.5
      Remained Basically Unchanged	19	86.4
      Eased Somewhat	2	9.1
      Eased Considerably	0	0.0
      Total	22	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

 

 

 

 

 

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	1	5.6
      Remained Basically Unchanged	16	88.9
      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	1	5.6
      Remained Basically Unchanged	16	88.9
      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	15	83.3
      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	15	83.3
      Eased Somewhat	2	11.1
      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	1	5.6
      Remained Basically Unchanged	16	88.9
      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	1	5.6
      Remained Basically Unchanged	16	88.9
      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	15	83.3
      Eased Somewhat	2	11.1
      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

 

 

 

 

 

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	1	4.8
      Remained Basically Unchanged	18	85.7
      Eased Somewhat	2	9.5
      Eased Considerably	0	0.0
      Total	21	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	19	90.5
      Eased Somewhat	1	4.8
      Eased Considerably	0	0.0
      Total	21	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	20	95.2
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	21	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	19	90.5
      Eased Somewhat	1	4.8
      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	2	9.5
      Remained Basically Unchanged	15	71.4
      Eased Somewhat	4	19.0
      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	2	9.5
      Remained Basically Unchanged	18	85.7
      Eased Somewhat	1	4.8
      Eased Considerably	0	0.0
      Total	21	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	4	19.0
      Remained Basically Unchanged	16	76.2
      Eased Somewhat	1	4.8
      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

 

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	2	10.0
      Remained Basically Unchanged	18	90.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	20	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.0
      Remained Basically Unchanged	18	90.0
      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	4	20.0
      Remained Basically Unchanged	14	70.0
      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	2	10.0
      Remained Basically Unchanged	18	90.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	20	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.0
      Remained Basically Unchanged	18	90.0
      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	4	20.0
      Remained Basically Unchanged	14	70.0
      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

 

 

 

 

 

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	1	6.3
      Remained Basically Unchanged	15	93.8
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	16	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	12.5
      Remained Basically Unchanged	11	68.8
      Eased Somewhat	3	18.8
      Eased Considerably	0	0.0
      Total	16	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	12.5
      Remained Basically Unchanged	12	75.0
      Eased Somewhat	2	12.5
      Eased Considerably	0	0.0
      Total	16	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	1	5.9
      Remained Basically Unchanged	15	88.2
      Eased Somewhat	1	5.9
      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	15	88.2
      Eased Somewhat	1	5.9
      Eased Considerably	0	0.0
      Total	17	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	11.8
      Remained Basically Unchanged	12	70.6
      Eased Somewhat	2	11.8
      Eased Considerably	1	5.9
      Total	17	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	11.8
      Remained Basically Unchanged	13	76.5
      Eased Somewhat	1	5.9
      Eased Considerably	1	5.9
      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

 

 

 

 

 

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	1	7.1
      Remained Basically Unchanged	12	85.7
      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	1	7.1
      Remained Basically Unchanged	13	92.9
      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	2	14.3
      Remained Basically Unchanged	10	71.4
      Eased Somewhat	2	14.3
      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	2	14.3
      Remained Basically Unchanged	10	71.4
      Eased Somewhat	2	14.3
      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	1	7.1
      Remained Basically Unchanged	12	85.7
      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	1	7.1
      Remained Basically Unchanged	13	92.9
      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	2	14.3
      Remained Basically Unchanged	10	71.4
      Eased Somewhat	2	14.3
      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	2	14.3
      Remained Basically Unchanged	10	71.4
      Eased Somewhat	2	14.3
      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

 

 

 

 

 

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	1	7.1
      Remained Basically Unchanged	12	85.7
      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	1	7.1
      Remained Basically Unchanged	13	92.9
      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	2	14.3
      Remained Basically Unchanged	10	71.4
      Eased Somewhat	2	14.3
      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	2	14.3
      Remained Basically Unchanged	11	78.6
      Eased Somewhat	1	7.1
      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	1	7.1
      Remained Basically Unchanged	12	85.7
      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	1	7.1
      Remained Basically Unchanged	13	92.9
      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	2	14.3
      Remained Basically Unchanged	10	71.4
      Eased Somewhat	2	14.3
      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	2	14.3
      Remained Basically Unchanged	11	78.6
      Eased Somewhat	1	7.1
      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

 

 

 

 

 

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	0	0.0
   Remained Basically Unchanged	21	95.5
   Decreased Somewhat	1	4.5
   Decreased Considerably	0	0.0
   Total	22	100.0

2. High-yield corporate bonds

   	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

3. Equities

   	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

4. Agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	4.8
   Remained Basically Unchanged	19	90.5
   Decreased Somewhat	1	4.8
   Decreased Considerably	0	0.0
   Total	21	100.0

5. Non-agency RMBS

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

6. CMBS

   	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. Consumer ABS

   	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

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	21	95.5
   Decreased Somewhat	1	4.5
   Decreased Considerably	0	0.0
   Total	22	100.0

2. High-yield corporate bonds

   	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

3. Equities

   	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

4. Agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	4.8
   Remained Basically Unchanged	19	90.5
   Decreased Somewhat	1	4.8
   Decreased Considerably	0	0.0
   Total	21	100.0

5. Non-agency RMBS

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

6. CMBS

   	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. Consumer ABS

   	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

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 Bifurcation of speculative-grade corporate bond yields and funding¹

 

Spreads on speculative-grade corporate bonds exhibited a notable bifurcation in the second half of 2019, with spreads of bonds rated triple-C and below over comparable-maturity Treasury securities having widened substantially, while spreads of double-B and B bonds having narrowed. Although this divergence in spreads has moderated more recently, the following questions refer to the second half of 2019 when the divergence was in progress. Questions 81 through 84 ask about changes in the demand for funding of corporate bonds rated triple-C and below and bonds rated double-B and B over the second half of 2019 and the reasons for those changes.

 

 

82. To the extent that the demand for funding of bonds rated triple-C and below at your institution has changed over the second half of 2019 (as reflected in your response to question 81), what are the most important reasons for the change?

 

 

1. Possible reasons for increases in the demand for funding:
   1. Increased willingness of clients to take on risk

      	Number of Respondents	Percent
      Most important factor	2	100.0
      2nd most important factor	0	0.0
      3rd most important factor	0	0.0
      Total	2	100.0

   
   
   2. Eased terms of financing you provide to your clients

      	Number of Respondents	Percent
      Most important factor	1	100.0
      2nd most important factor	0	0.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   3. Clients' assessment of the credit risk of certain firms rated triple-C and below decreased

      	Number of Respondents	Percent
      Most important factor	0	0.0
      2nd most important factor	1	100.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   4. Improvement in liquidity conditions for trading corporate bonds rated triple-C and below

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

   
   
   5. Other (please specify)

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined



2. Possible reasons for decreases in the demand for funding:
   1. Decreased willingness of clients to take on risk

      	Number of Respondents	Percent
      Most important factor	1	100.0
      2nd most important factor	0	0.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   2. Tightened terms of financing you provide to your clients

      	Number of Respondents	Percent
      Most important factor	0	0.0
      2nd most important factor	1	100.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   3. Clients' assessment of the credit risk of certain firms rated triple-C and below increased

      	Number of Respondents	Percent
      Most important factor	1	100.0
      2nd most important factor	0	0.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   4. Deterioration in liquidity conditions for trading corporate bonds rated triple-C and below

      	Number of Respondents	Percent
      Most important factor	0	0.0
      2nd most important factor	0	0.0
      3rd most important factor	1	100.0
      Total	1	100.0

   
   
   5. Other (please specify)

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

 

 

 

 

84. To the extent that the demand for funding of bonds rated double-B and B at your institution has changed over the second half of 2019 as reflected in your response to question 83, what are the most important reasons for the change?

 

 

1. Possible reasons for increases in the demand for funding:
   1. Increased willingness of clients to take on risk

      	Number of Respondents	Percent
      Most important factor	3	75.0
      2nd most important factor	1	25.0
      3rd most important factor	0	0.0
      Total	4	100.0

   
   
   2. Eased terms of financing you provide to your clients

      	Number of Respondents	Percent
      Most important factor	1	50.0
      2nd most important factor	1	50.0
      3rd most important factor	0	0.0
      Total	2	100.0

   
   
   3. Clients' assessment of the credit risk of certain firms rated double-B and B decreased

      	Number of Respondents	Percent
      Most important factor	1	100.0
      2nd most important factor	0	0.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   4. Improvement in liquidity conditions for trading corporate bonds rated double-B and B

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

   
   
   5. Other (please specify)

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined



2. Possible reasons for decreases in the demand for funding:
   1. Decreased willingness of clients to take on risk

      	Number of Respondents	Percent
      Most important factor	1	100.0
      2nd most important factor	0	0.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   2. Tightened terms of financing you provide to your clients

      	Number of Respondents	Percent
      Most important factor	0	0.0
      2nd most important factor	1	100.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   3. Clients' assessment of the credit risk of certain firms rated double-B and B increased

      	Number of Respondents	Percent
      Most important factor	0	0.0
      2nd most important factor	0	0.0
      3rd most important factor	1	100.0
      Total	1	100.0

   
   
   4. Deterioration in liquidity conditions for trading corporate bonds rated double-B and B

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

   
   
   5. Other (please specify)

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

 

Bifurcation of collateralized loan obligation spreads and funding conditions

 

Spreads on collateralized loan obligation (CLO) tranches exhibited a notable bifurcation in the second half of 2019: Spreads of CLO tranches below investment grade over comparable-maturity Treasury securities widened substantially, while spreads of CLO investment-grade tranches rated triple-B and above narrowed. Although this divergence in spreads has moderated more recently, the following questions refer to the second half of 2019 when the divergence was in progress. Questions 85 through 88 ask about changes in the demand for funding of both below-investment-grade and investment-grade CLO tranches over the second half of 2019 and the reasons for those changes.

 

 

86. To the extent that the demand for funding of CLO tranches below investment grade at your institution has changed over the second half of 2019 as reflected in your response to question 85, what are the most important reasons for the change?

 

 

1. Possible reasons for increases in the demand for funding:
   1. Increased willingness of clients to take on risk

      	Number of Respondents	Percent
      Most important factor	3	75.0
      2nd most important factor	1	25.0
      3rd most important factor	0	0.0
      Total	4	100.0

   
   
   2. Eased terms of financing you provide to your clients

      	Number of Respondents	Percent
      Most important factor	0	0.0
      2nd most important factor	1	100.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   3. Clients' assessment of the credit risk of CLO tranches below investment grade decreased

      	Number of Respondents	Percent
      Most important factor	1	50.0
      2nd most important factor	1	50.0
      3rd most important factor	0	0.0
      Total	2	100.0

   
   
   4. Improvement in liquidity conditions for trading CLO tranches below investment grade

      	Number of Respondents	Percent
      Most important factor	0	0.0
      2nd most important factor	1	33.3
      3rd most important factor	2	66.7
      Total	3	100.0

   
   
   5. Other (please specify)

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined



2. Possible reasons for decreases in the demand for funding:
   1. Decreased willingness of clients to take on risk

      	Number of Respondents	Percent
      Most important factor	1	100.0
      2nd most important factor	0	0.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   2. Tightened terms of financing you provide to your clients

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

   
   
   3. Clients' assessment of the credit risk of CLO tranches below investment grade increased

      	Number of Respondents	Percent
      Most important factor	1	100.0
      2nd most important factor	0	0.0
      3rd most important factor	0	0.0
      Total	1	100.0

   
   
   4. Deterioration in liquidity conditions for trading CLO tranches below investment grade

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

   
   
   5. Other (please specify)

      	Number of Respondents	Percent
      Most important factor	0	0.0
      2nd most important factor	1	100.0
      3rd most important factor	0	0.0
      Total	1	100.0

 

 

 

 

88. To the extent that the demand for funding of CLO investment-grade tranches at your institution has changed over the second half of 2019 as reflected in your response to question 87, what are the most important reasons for the change?

 

 

1. Possible reasons for increases in the demand for funding:
   1. Increased willingness of clients to take on risk

      	Number of Respondents	Percent
      Most important factor	1	50.0
      2nd most important factor	1	50.0
      3rd most important factor	0	0.0
      Total	2	100.0

   
   
   2. Eased terms of financing you provide to your clients

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

   
   
   3. Clients' assessment of the credit risk of CLO investment-grade tranches decreased

      	Number of Respondents	Percent
      Most important factor	2	100.0
      2nd most important factor	0	0.0
      3rd most important factor	0	0.0
      Total	2	100.0

   
   
   4. Improvement in liquidity conditions for trading of CLO investment-grade tranches

      	Number of Respondents	Percent
      Most important factor	0	0.0
      2nd most important factor	1	50.0
      3rd most important factor	1	50.0
      Total	2	100.0

   
   
   5. Other (please specify)

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined



2. Possible reasons for decreases in the demand for funding:
   1. Decreased willingness of clients to take on risk

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

   
   
   2. Tightened terms of financing you provide to your clients

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

   
   
   3. Clients' assessment of the credit risk of CLO investment-grade tranches increased

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

   
   
   4. Deterioration in liquidity conditions for trading of CLO investment-grade tranches

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

   
   
   5. Other (please specify)

      	Number of Respondents	Percent
      Most important factor	0	Undefined
      2nd most important factor	0	Undefined
      3rd most important factor	0	Undefined
      Total	0	Undefined

 

1. The following special questions are intended to provide better context for interpreting the core set of questions in the previous section, which focus on changes in credit terms over the preceding three months. Unlike the core questions, these special questions will not be included in the survey on an ongoing basis. Return to text