Board of Governors of the Federal Reserve System

Senior Credit Officer Opinion Survey, March 2021

Current Release RSS DDP

Summary

The March 2021 Senior Credit Officer Opinion Survey on Dealer Financing Terms collected qualitative information on changes in credit terms and conditions in securities financing and over-the-counter (OTC) derivatives markets between December 2020 and February 2021. In addition to the core questions, the survey included a set of special questions about the transition away from LIBOR (London interbank offered rate) for U.S. dollar-denominated OTC derivatives. The 23 institutions participating in the survey account for almost all dealer financing of dollar-denominated securities to non-dealers and are the most active intermediaries in OTC derivatives markets. The survey was conducted between February 8, 2021, and February 22, 2021. The core questions asked about changes between December 2020 and February 2021.¹

Core Questions
(Questions 1-79)²

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:

• Small net fractions of dealers reported an easing in price terms on securities financing transactions and OTC derivatives across all counterparty types (see the exhibit Management of Concentrated Credit Exposures and Indicators of Supply of Credit). Nonprice terms generally remained unchanged, although one-fifth reported an easing of nonprice terms for trading real estate investment trusts (REITs). Improvement in general market liquidity and functioning and more-aggressive competition from other institutions were the most cited reasons for this easing of nonprice terms. Nearly one-half of respondents indicated an increase in trading REITs' efforts to negotiate more-favorable price and nonprice terms.
• Approximately one-fourth of respondents noted an increase in resources and attention devoted to managing concentrated credit exposure to dealers over the past three months. A smaller net fraction indicated such for central counterparties and other financial utilities.
• Small net fractions of dealers indicated a decrease in dispute volume, dispute duration, or both across all classes of counterparties.

With respect to clients' use of financial leverage, on net, dealers indicated little change over the past three months for most types of counterparties, although a small net fraction of dealers indicated an increase in trading REITs' use of leverage (see the exhibit Use of Financial Leverage).

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

• Nonprice terms in master agreements for OTC derivatives remained largely unchanged. A small fraction of dealers reported that initial margin requirements on OTC derivatives referencing equities and interest rates increased for both average and most-favored clients.
• A small fraction of dealers reported a decrease in the posting of nonstandard collateral permitted under relevant arrangements.
• The volume and duration of mark and collateral disputes remained largely unchanged over the past three months, although one-fifth responded that the duration of mark and collateral disputes has decreased for OTC commodity derivatives.

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

• Nearly one-half of dealers reported increased demand to fund equities, and a smaller net fraction reported such for high-yield corporate bonds (see the exhibit Measures of Demand for Funding and Market Functioning). Demand for funding remained largely unchanged across all other asset classes.
• Dealers reported easing of funding terms for various types of securities, especially non-agency residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), and consumer asset-backed securities (ABS). Specifically, net fractions of three-fifths, one-half, and four-fifths of dealers reported easing of haircuts and collateral spreads for non-agency RMBS, CMBS, and consumer ABS, respectively. One-fourth, one-third, and one-fifth of respondents, on net, reported an easing of haircuts in high-grade corporate bonds, high-yield corporate bonds, and agency RMBS, respectively. Dealers reported that funding terms for equities remained unchanged.
• Approximately one-third of respondents, on net, indicated an improvement in liquidity and market functioning for the non-agency RMBS and consumer ABS markets.³ Smaller net fractions of respondents indicated improvements for other markets.

Special Questions on London Interbank Offered Rate Transition for Over-the-Counter Derivatives
(Questions 81-87)

In the special questions, dealers were asked about the LIBOR transition for U.S. dollar-denominated OTC derivatives such as interest rate swaps and forward rate agreements that reference USD LIBOR.⁴ Dealers were asked how the notional value of LIBOR-based OTC derivatives contracts changed since the beginning of 2020. Dealers were also asked about the adoption by counterparty type of the International Swaps and Derivatives Association (ISDA) fallback protocol, which provides a mechanism for parties to amend their existing derivative transactions to account for a permanent discontinuation of LIBOR.⁵

With respect to the change in the notional value of LIBOR-based OTC derivative contracts since the beginning of 2020, dealers reported the following:

• One-half of dealers reported a decrease in the notional value for mutual funds, exchange-traded funds (ETFs), pension plans, and endowments. A majority of those that indicated a decrease reported a decrease of 0 to 25 percent.
• One-fourth of dealers, on net, indicated a decrease for dealers and insurance companies.
• Respondents, on net, reported no change for all other counterparty types included in the survey.

With respect to the adoption of the ISDA fallback protocol, dealers reported the following:

• Respondents indicated that nonfinancial corporations and hedge funds account for the largest amount (in notional value) of outstanding LIBOR-based OTC derivatives contracts that have not yet adopted the ISDA fallback protocol. Of the respondent firms that have nonnegligible amounts of LIBOR-based OTC derivatives contracts that have not yet adopted the protocol, almost all cited nonfinancial corporations as one of the top three counterparty types with such contracts, and about two-thirds indicated such for hedge fund clients. Smaller fractions of dealers reported such for insurance companies and mutual funds, ETFs, pension plans, and endowments.
• Desire to negotiate bespoke terms, counterparties' desire to see final all-in ISDA fallback rates, and lack of operational readiness on the counterparties' end were cited as the primary reasons for the ISDA fallback protocol not having yet been adopted.

This document was prepared by Yesol Huh, 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

4. Dealers were asked to exclude derivatives that reference multiple currencies, such as cross-currency swaps. Return to text

5. See International Swaps and Derivatives Association (2020), "ISDA Board Statement on the IBOR Fallbacks Supplement and Protocol," press release, October 9, https://www.isda.org/2020/10/09/isda-board-statement-on-the-ibor-fallbacks-supplement-and-protocol. 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 2021 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	1	50.0
      2nd Most Important	1	50.0
      3rd Most Important	0	0.0
      Total	2	100.0

   3. Adoption of more-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. Higher internal treasury charges for funding

      	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

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

   7. Less-aggressive competition from other institutions

      	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

   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	1	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      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	0.0
      2nd Most Important	0	0.0
      3rd Most Important	1	100.0
      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	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	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	2	50.0
      2nd Most Important	2	50.0
      3rd Most Important	0	0.0
      Total	4	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	1	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	1	100.0

   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	1	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      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	0.0
      2nd Most Important	0	0.0
      3rd Most Important	1	100.0
      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	1	50.0
      2nd Most Important	0	0.0
      3rd Most Important	1	50.0
      Total	2	100.0

   6. Improvement in general market liquidity and functioning

      	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

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	1	25.0
      2nd Most Important	2	50.0
      3rd Most Important	1	25.0
      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	0.0
      2nd Most Important	1	100.0
      3rd Most Important	0	0.0
      Total	1	100.0

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	2	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	22	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	22	100.0

2. ETFs

   	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

3. Pension plans

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

4. Endowments

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	22	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	22	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	0.0
      2nd Most Important	1	100.0
      3rd Most Important	0	0.0
      Total	1	100.0

   7. More-aggressive competition from other institutions

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

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	2	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

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	0.0
      2nd Most Important	1	50.0
      3rd Most Important	1	50.0
      Total	2	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	1	33.3
      2nd Most Important	1	33.3
      3rd Most Important	1	33.3
      Total	3	100.0

   7. More-aggressive competition from other institutions

      	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

   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	0	0.0
   Remained Basically Unchanged	19	86.4
   Decreased Somewhat	3	13.6
   Decreased Considerably	0	0.0
   Total	22	100.0

2. Hedge funds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	9.1
   Remained Basically Unchanged	18	81.8
   Decreased Somewhat	1	4.5
   Decreased Considerably	1	4.5
   Total	22	100.0

3. Trading REITs

   	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

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

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	3	13.6
   Remained Basically Unchanged	17	77.3
   Decreased Somewhat	2	9.1
   Decreased Considerably	0	0.0
   Total	22	100.0

5. Insurance companies

   	Number of Respondents	Percent
   Increased Considerably	1	4.8
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	18	85.7
   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	1	4.8
   Remained Basically Unchanged	17	81.0
   Decreased Somewhat	3	14.3
   Decreased Considerably	0	0.0
   Total	21	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	0	0.0
   Remained Basically Unchanged	19	86.4
   Decreased Somewhat	2	9.1
   Decreased Considerably	1	4.5
   Total	22	100.0

2. Hedge funds

   	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

3. Trading REITs

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	15	83.3
   Decreased Somewhat	2	11.1
   Decreased Considerably	1	5.6
   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	20	90.9
   Decreased Somewhat	1	4.5
   Decreased Considerably	1	4.5
   Total	22	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	1	4.8
   Decreased Considerably	1	4.8
   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	1	5.0
   Decreased Considerably	1	5.0
   Total	20	100.0

7. Nonfinancial corporations

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	9.5
   Remained Basically Unchanged	17	81.0
   Decreased Somewhat	1	4.8
   Decreased Considerably	1	4.8
   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	20	100.0
   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	0	0.0
   Remained Basically Unchanged	20	100.0
   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	1	4.8
   Remained Basically Unchanged	19	90.5
   Decreased Somewhat	1	4.8
   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	1	4.8
   Remained Basically Unchanged	19	90.5
   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	2	10.0
   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	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

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	3	15.0
   Remained Basically Unchanged	17	85.0
   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	2	10.0
   Remained Basically Unchanged	18	90.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	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	1	7.7
   Remained Basically Unchanged	12	92.3
   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	1	7.7
   Remained Basically Unchanged	11	84.6
   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	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	14	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	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	14	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	5.6
   Remained Basically Unchanged	15	83.3
   Decreased Somewhat	2	11.1
   Decreased Considerably	0	0.0
   Total	18	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	9.5
   Remained Basically Unchanged	18	85.7
   Decreased Somewhat	1	4.8
   Decreased Considerably	0	0.0
   Total	21	100.0

2. Interest rate

   	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

3. Equity

   	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

4. Credit referencing corporates

   	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

5. Credit referencing securitized products including MBS and ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	6.7
   Remained Basically Unchanged	12	80.0
   Decreased Somewhat	2	13.3
   Decreased Considerably	0	0.0
   Total	15	100.0

6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	13.3
   Remained Basically Unchanged	12	80.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	1	6.7
   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	15	100.0
   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	1	4.8
   Remained Basically Unchanged	17	81.0
   Decreased Somewhat	2	9.5
   Decreased Considerably	1	4.8
   Total	21	100.0

2. Interest rate

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

3. Equity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.0
   Remained Basically Unchanged	17	85.0
   Decreased Somewhat	1	5.0
   Decreased Considerably	1	5.0
   Total	20	100.0

4. Credit referencing corporates

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.6
   Remained Basically Unchanged	15	83.3
   Decreased Somewhat	1	5.6
   Decreased Considerably	1	5.6
   Total	18	100.0

5. Credit referencing securitized products including MBS and ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	13.3
   Remained Basically Unchanged	11	73.3
   Decreased Somewhat	1	6.7
   Decreased Considerably	1	6.7
   Total	15	100.0

6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	12	80.0
   Decreased Somewhat	2	13.3
   Decreased Considerably	1	6.7
   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	1	6.7
   Decreased Considerably	1	6.7
   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	5.0
      Remained Basically Unchanged	15	75.0
      Eased Somewhat	4	20.0
      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	15	75.0
      Eased Somewhat	4	20.0
      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	13	65.0
      Eased Somewhat	6	30.0
      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	9	45.0
      Eased Somewhat	6	30.0
      Eased Considerably	1	5.0
      Total	20	100.0

   5. Other

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

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	5.0
      Remained Basically Unchanged	15	75.0
      Eased Somewhat	4	20.0
      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	15	75.0
      Eased Somewhat	4	20.0
      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	13	65.0
      Eased Somewhat	5	25.0
      Eased Considerably	1	5.0
      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	9	45.0
      Eased Somewhat	6	30.0
      Eased Considerably	1	5.0
      Total	20	100.0

   5. Other

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

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	1	5.6
      Remained Basically Unchanged	14	77.8
      Eased Somewhat	3	16.7
      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	13	72.2
      Eased Somewhat	4	22.2
      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	10	55.6
      Eased Somewhat	7	38.9
      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	4	22.2
      Remained Basically Unchanged	7	38.9
      Eased Somewhat	6	33.3
      Eased Considerably	1	5.6
      Total	18	100.0

   5. Other

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

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	13	72.2
      Eased Somewhat	4	22.2
      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	13	72.2
      Eased Somewhat	4	22.2
      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	10	55.6
      Eased Somewhat	6	33.3
      Eased Considerably	1	5.6
      Total	18	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	4	22.2
      Remained Basically Unchanged	7	38.9
      Eased Somewhat	6	33.3
      Eased Considerably	1	5.6
      Total	18	100.0

   5. Other

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

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	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	0	0.0
      Remained Basically Unchanged	20	100.0
      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	2	10.0
      Remained Basically Unchanged	17	85.0
      Eased Somewhat	1	5.0
      Eased Considerably	0	0.0
      Total	20	100.0

   5. Other

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

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	0	0.0
      Remained Basically Unchanged	20	100.0
      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	2	10.0
      Remained Basically Unchanged	15	75.0
      Eased Somewhat	3	15.0
      Eased Considerably	0	0.0
      Total	20	100.0

   5. Other

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

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	1	4.8
      Remained Basically Unchanged	16	76.2
      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	15	71.4
      Eased Somewhat	3	14.3
      Eased Considerably	1	4.8
      Total	21	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	16	76.2
      Eased Somewhat	4	19.0
      Eased Considerably	0	0.0
      Total	21	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	1	4.8
      Tightened Somewhat	3	14.3
      Remained Basically Unchanged	10	47.6
      Eased Somewhat	6	28.6
      Eased Considerably	1	4.8
      Total	21	100.0

   5. Other

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

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	4.8
      Remained Basically Unchanged	16	76.2
      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	15	71.4
      Eased Somewhat	3	14.3
      Eased Considerably	1	4.8
      Total	21	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	9.5
      Remained Basically Unchanged	13	61.9
      Eased Somewhat	6	28.6
      Eased Considerably	0	0.0
      Total	21	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	1	4.8
      Tightened Somewhat	3	14.3
      Remained Basically Unchanged	10	47.6
      Eased Somewhat	6	28.6
      Eased Considerably	1	4.8
      Total	21	100.0

   5. Other

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

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	1	6.7
      Remained Basically Unchanged	13	86.7
      Eased Somewhat	1	6.7
      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	9	60.0
      Eased Somewhat	5	33.3
      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	4	26.7
      Eased Somewhat	10	66.7
      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	4	26.7
      Eased Somewhat	10	66.7
      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	1	6.7
      Remained Basically Unchanged	13	86.7
      Eased Somewhat	1	6.7
      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	9	60.0
      Eased Somewhat	5	33.3
      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	3	20.0
      Eased Somewhat	11	73.3
      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	3	20.0
      Eased Somewhat	11	73.3
      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

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	1	6.7
      Remained Basically Unchanged	12	80.0
      Eased Somewhat	2	13.3
      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	10	66.7
      Eased Somewhat	4	26.7
      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	5	33.3
      Eased Somewhat	9	60.0
      Eased Considerably	0	0.0
      Total	15	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	1	6.7
      Tightened Somewhat	1	6.7
      Remained Basically Unchanged	4	26.7
      Eased Somewhat	9	60.0
      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	1	6.7
      Remained Basically Unchanged	12	80.0
      Eased Somewhat	2	13.3
      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	10	66.7
      Eased Somewhat	4	26.7
      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	5	33.3
      Eased Somewhat	9	60.0
      Eased Considerably	0	0.0
      Total	15	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	1	6.7
      Tightened Somewhat	1	6.7
      Remained Basically Unchanged	4	26.7
      Eased Somewhat	8	53.3
      Eased Considerably	1	6.7
      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

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	12	92.3
      Eased Somewhat	1	7.7
      Eased Considerably	0	0.0
      Total	13	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	9	69.2
      Eased Somewhat	4	30.8
      Eased Considerably	0	0.0
      Total	13	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	3	23.1
      Eased Somewhat	10	76.9
      Eased Considerably	0	0.0
      Total	13	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	3	23.1
      Eased Somewhat	10	76.9
      Eased Considerably	0	0.0
      Total	13	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	12	92.3
      Eased Somewhat	1	7.7
      Eased Considerably	0	0.0
      Total	13	100.0

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	10	76.9
      Eased Somewhat	3	23.1
      Eased Considerably	0	0.0
      Total	13	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	3	23.1
      Eased Somewhat	10	76.9
      Eased Considerably	0	0.0
      Total	13	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	3	23.1
      Eased Somewhat	9	69.2
      Eased Considerably	1	7.7
      Total	13	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	0	0.0
   Remained Basically Unchanged	20	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	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	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	100.0

3. Equities

   	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

4. Agency RMBS

   	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

5. Non-agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	12.5
   Remained Basically Unchanged	12	75.0
   Decreased Somewhat	2	12.5
   Decreased Considerably	0	0.0
   Total	16	100.0

6. CMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	12.5
   Remained Basically Unchanged	12	75.0
   Decreased Somewhat	2	12.5
   Decreased Considerably	0	0.0
   Total	16	100.0

7. Consumer ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	7.1
   Remained Basically Unchanged	12	85.7
   Decreased Somewhat	1	7.1
   Decreased Considerably	0	0.0
   Total	14	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	19	95.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	1	5.0
   Total	20	100.0

2. High-yield corporate bonds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	18	94.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	1	5.3
   Total	19	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	0	0.0
   Decreased Considerably	1	5.9
   Total	17	100.0

4. Agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.0
   Remained Basically Unchanged	17	85.0
   Decreased Somewhat	1	5.0
   Decreased Considerably	1	5.0
   Total	20	100.0

5. Non-agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	12.5
   Remained Basically Unchanged	11	68.8
   Decreased Somewhat	2	12.5
   Decreased Considerably	1	6.3
   Total	16	100.0

6. CMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	12.5
   Remained Basically Unchanged	11	68.8
   Decreased Somewhat	2	12.5
   Decreased Considerably	1	6.3
   Total	16	100.0

7. Consumer ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	7.1
   Remained Basically Unchanged	11	78.6
   Decreased Somewhat	1	7.1
   Decreased Considerably	1	7.1
   Total	14	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 on London Interbank Offered Rate Transition for OTC Derivatives¹

On November 30, 2020, the ICE Benchmark Administrator announced plans to cease publication of one-week and two-month USD LIBOR (London interbank offered rate) fixings at the end of December 2021 and of all other USD LIBOR fixings at the end of June 2023. Concurrently, U.S. prudential regulators issued a statement encouraging banks to cease entering into new contracts that use USD LIBOR as a reference rate as soon as practicable and in any event by the end of 2021.

In this set of questions, we ask about the LIBOR transition for U.S. dollar-denominated OTC derivatives such as interest rate swaps and forward rate agreements that reference USD LIBOR. Please note that the questions exclude derivatives that reference multiple currencies such as cross-currency swaps. Questions 82 through 86 ask about the adoption of the International Swaps and Derivatives Association (ISDA) fallback protocol for different counterparty types.² Question 87 asks about the change in the outstanding value of LIBOR-based OTC derivatives for different counterparty types.

81. Does your firm have LIBOR-based OTC derivatives contracts?

82. Does your firm have LIBOR-based OTC derivatives contracts that have not yet adopted the ISDA fallback protocol?

83. Among the different counterparty types listed below, with which set of counterparties do you have the largest amount (in notional value) of outstanding LIBOR-based OTC derivatives contracts that have not yet adopted the ISDA fallback protocol?

1. Dealers

    

   	Number of Respondents	Percent
   Largest Amount	0	0.0
   2nd Largest Amount	0	0.0
   3rd Largest Amount	1	100.0
   Total	1	100.0

2. Hedge funds

    

   	Number of Respondents	Percent
   Largest Amount	7	63.6
   2nd Largest Amount	1	9.1
   3rd Largest Amount	3	27.3
   Total	11	100.0

3. Trading REITs

    

   	Number of Respondents	Percent
   Largest Amount	0	Undefined
   2nd Largest Amount	0	Undefined
   3rd Largest Amount	0	Undefined
   Total	0	Undefined

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

    

   	Number of Respondents	Percent
   Largest Amount	1	20.0
   2nd Largest Amount	3	60.0
   3rd Largest Amount	1	20.0
   Total	5	100.0

5. Insurance companies

    

   	Number of Respondents	Percent
   Largest Amount	0	0.0
   2nd Largest Amount	1	25.0
   3rd Largest Amount	3	75.0
   Total	4	100.0

6. Separately managed accounts established with investment advisers

    

   	Number of Respondents	Percent
   Largest Amount	0	Undefined
   2nd Largest Amount	0	Undefined
   3rd Largest Amount	0	Undefined
   Total	0	Undefined

7. Nonfinancial corporations

    

   	Number of Respondents	Percent
   Largest Amount	8	53.3
   2nd Largest Amount	6	40.0
   3rd Largest Amount	1	6.7
   Total	15	100.0

84. For the counterparty type with the largest amount of outstanding LIBOR-based OTC derivatives contracts that have not yet adopted the ISDA fallback protocol (as reflected in your response to question 83), what are the most important reasons that the protocol has not been adopted yet?

1. Desire to negotiate bespoke terms

    

   	Number of Respondents	Percent
   Most Important	3	50.0
   2nd Most Important	3	50.0
   3rd Most Important	0	0.0
   Total	6	100.0

2. Counterparty is waiting to see final all-in ISDA fallback rates

    

   	Number of Respondents	Percent
   Most Important	4	57.1
   2nd Most Important	2	28.6
   3rd Most Important	1	14.3
   Total	7	100.0

3. Lack of operational readiness on the counterparties’ end

    

   	Number of Respondents	Percent
   Most Important	1	20.0
   2nd Most Important	2	40.0
   3rd Most Important	2	40.0
   Total	5	100.0

4. Lack of operational readiness on your end

    

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

5. Other (please specify)

    

   	Number of Respondents	Percent
   Most Important	8	80.0
   2nd Most Important	1	10.0
   3rd Most Important	1	10.0
   Total	10	100.0

85. For the counterparty type with the second largest amount of outstanding LIBOR-based OTC derivatives contracts that have not yet adopted the ISDA fallback protocol (as reflected in your response to question 83), what are the most important reasons that the protocol has not been adopted yet?

1. Desire to negotiate bespoke terms

    

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

2. Counterparty is waiting to see final all-in ISDA fallback rates

    

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

3. Lack of operational readiness on the counterparties’ end

    

   	Number of Respondents	Percent
   Most Important	2	40.0
   2nd Most Important	3	60.0
   3rd Most Important	0	0.0
   Total	5	100.0

4. Lack of operational readiness on your end

    

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

5. Other (please specify)

    

   	Number of Respondents	Percent
   Most Important	5	100.0
   2nd Most Important	0	0.0
   3rd Most Important	0	0.0
   Total	5	100.0

86. For the counterparty type with the third largest amount of outstanding LIBOR-based OTC derivatives contracts that have not yet adopted the ISDA fallback protocol (as reflected in your response to question 83), what are the most important reasons that the protocol has not been adopted yet?

1. Desire to negotiate bespoke terms

    

   	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

2. Counterparty is waiting to see final all-in ISDA fallback rates

    

   	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

3. Lack of operational readiness on the counterparties’ end

    

   	Number of Respondents	Percent
   Most Important	2	33.3
   2nd Most Important	4	66.7
   3rd Most Important	0	0.0
   Total	6	100.0

4. Lack of operational readiness on your end

    

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

5. Other (please specify)

    

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

87. How has the notional value of LIBOR-based OTC derivatives contracts you have with counterparties of each of the following types changed since the beginning of 2020?

1. Dealers

    

   	Number of Respondents	Percent
   Increased by 50%	0	0.0
   Increased 25-50%	0	0.0
   Increased 0-25%	3	15.8
   Stayed about the same	4	21.1
   Decreased 0-25%	4	21.1
   Decreased 25-50%	2	10.5
   Decreased by 50%	0	0.0
   Not Applicable	6	31.6
   Total	19	100.0

2. Hedge funds

    

   	Number of Respondents	Percent
   Increased by 50%	0	0.0
   Increased 25-50%	0	0.0
   Increased 0-25%	4	21.1
   Stayed about the same	4	21.1
   Decreased 0-25%	2	10.5
   Decreased 25-50%	2	10.5
   Decreased by 50%	1	5.3
   Not Applicable	6	31.6
   Total	19	100.0

3. Trading REITs

    

   	Number of Respondents	Percent
   Increased by 50%	1	5.3
   Increased 25-50%	0	0.0
   Increased 0-25%	0	0.0
   Stayed about the same	6	31.6
   Decreased 0-25%	1	5.3
   Decreased 25-50%	1	5.3
   Decreased by 50%	1	5.3
   Not Applicable	9	47.4
   Total	19	100.0

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

    

   	Number of Respondents	Percent
   Increased by 50%	0	0.0
   Increased 25-50%	0	0.0
   Increased 0-25%	0	0.0
   Stayed about the same	6	31.6
   Decreased 0-25%	4	21.1
   Decreased 25-50%	1	5.3
   Decreased by 50%	1	5.3
   Not Applicable	7	36.8
   Total	19	100.0

5. Insurance companies

    

   	Number of Respondents	Percent
   Increased by 50%	0	0.0
   Increased 25-50%	0	0.0
   Increased 0-25%	2	10.5
   Stayed about the same	5	26.3
   Decreased 0-25%	4	21.1
   Decreased 25-50%	1	5.3
   Decreased by 50%	0	0.0
   Not Applicable	7	36.8
   Total	19	100.0

6. Separately managed accounts established with investment advisers

    

   	Number of Respondents	Percent
   Increased by 50%	0	0.0
   Increased 25-50%	0	0.0
   Increased 0-25%	2	10.5
   Stayed about the same	6	31.6
   Decreased 0-25%	2	10.5
   Decreased 25-50%	0	0.0
   Decreased by 50%	1	5.3
   Not Applicable	8	42.1
   Total	19	100.0

7. Nonfinancial corporations

    

   	Number of Respondents	Percent
   Increased by 50%	0	0.0
   Increased 25-50%	0	0.0
   Increased 0-25%	5	26.3
   Stayed about the same	6	31.6
   Decreased 0-25%	2	10.5
   Decreased 25-50%	2	10.5
   Decreased by 50%	0	0.0
   Not Applicable	4	21.1
   Total	19	100.0

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

2. See International Swaps and Derivatives Association (2020), “Board Statement on the IBOR Fallbacks Supplement and Protocol,” press release, October 9, . Return to text