Board of Governors of the Federal Reserve System

Senior Credit Officer Opinion Survey, June 2021

Current Release RSS DDP

Summary

The June 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. In addition to the core questions, the survey included a set of special questions about the use of synthetic prime brokerage (PB) arrangements as well as risk management associated with the provision of such services by prime brokers to a broad range of clients. 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 May 11, 2021, and May 24, 2021. The core questions asked about changes between mid-February 2021 and mid-May 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:

• Price and nonprice terms on securities financing transactions and OTC derivatives were generally unchanged across most classes of counterparties. However, for trading real estate investment trusts (REITs), about one-fourth of dealers, on net, reported an easing of price terms and about one-fifth, on net, reported an easing of nonprice terms. A small net fraction of dealers also reported easing of price terms offered to mutual funds, exchange-traded funds, separately managed accounts, and insurance companies (see the exhibit Management of Concentrated Credit Exposures and Indicators of Supply of Credit). Approximately one-fourth of dealers indicated an increase in trading REITs’ efforts to negotiate more-favorable price and nonprice terms, and a small fraction reported the same for insurance companies.
• Small net fractions of respondents indicated that resources and attention devoted to managing concentrated credit exposure to dealers and central counterparties increased and that changes in central counterparty practices have influenced, to at least some extent, the credit terms they offer to clients on bilateral transactions that are not cleared.
• The volume and duration of mark and collateral disputes remained basically unchanged over the past three months for most counterparty types, although small net fractions of dealers indicated a reduction in the volume of such disputes with hedge funds, insurance companies, and nonfinancial corporations.

With respect to clients’ use of financial leverage, on net, dealers indicated little change over the past three months for all types of counterparties (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. Small net fractions of dealers reported that initial margin requirements on OTC derivatives for equities and total return swaps for nonsecurities increased for average clients.³
• A small net 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 for most types of contracts. A small net fraction of respondents indicated an increase in the volume of mark and collateral disputes for equities, while a similar fraction indicated a decrease in the volume of disputes for commodities.

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

• Terms under which various types of securities are funded have eased for most asset classes since the previous survey. Most notably, for non-agency residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), and consumer asset-backed securities (ABS), about one-half of respondents indicated easing of funding terms with respect to haircuts and collateral spreads for both average and most-favored clients.
• On net, about one-third of dealers reported increased demand to fund equities. For agency RMBS, about one-fourth of respondents, on net, reported decreased demand for funding, although a small net fraction reported increased demand for term funding. Demand for funding for other asset classes was largely unchanged (see the exhibit Measures of Demand for Funding and Market Functioning).
• Approximately one-third of respondents indicated an improvement in liquidity and market functioning for the consumer ABS market. Smaller net fractions of respondents also indicated an improvement for the high-grade bond, non-agency RMBS, and CMBS markets.
• The volume and duration of mark and collateral disputes remained unchanged, on net, across all collateral types.

Special Questions on Synthetic Prime Brokerage
(Questions 81-90)

In the special questions, dealers were asked about the use of synthetic PB arrangements and risk management associated with the provision of such services to a broad range of clients. Under such arrangements, levered exposure is created through total return swaps and other OTC derivatives rather than through traditional secured financing such as margin lending or repurchase agreements. The questions were similar to those posed to dealers in the special questions of the June 2016 survey.

With respect to the use of synthetic PB by clients, dealers reported the following:

• About one-half of respondents reported that synthetic PB was widely used by equity long-short hedge fund clients.⁴ For other client types, including other hedge funds, separately managed accounts and family offices, other asset managers, and proprietary trading firms and broker-dealers, over one-half of respondents indicated that synthetic PB was used by at least some clients or in some situations.
• On net, dealers indicated that the use of synthetic PB has increased since June 2016 across all client types. In particular, over one-half of respondents indicated that it had increased for equity long-short hedge funds, other hedge funds, and proprietary trading firms and broker-dealers.
• Access to foreign markets was identified as the most important reason motivating clients’ use of synthetic PB, with nearly one-half of dealers citing it as very important.⁵ A majority of dealers indicated that each of the other reasons listed, including tax considerations, availability of greater leverage, ease in establishing and adjusting positions, and preserving confidentiality of proprietary trading strategies, was at least somewhat important.

With respect to hedging of client swaps under synthetic PB, dealers reported the following:

• Roughly one-half of dealers reported that offsetting trades between client portfolios, offsetting trades between clients and external swap dealers, and offsetting client trades with holdings of cash securities were used to hedge client swaps under synthetic PB to some extent or to a considerable extent. Smaller fractions of dealers reported using offsetting trades between clients and other lines of business within their firm and offsetting client trades with exchange-traded futures and derivatives to at least some extent.
• Respondents reported that their reliance on all sources of offsetting trades increased since June 2016, with one-half or more reporting that they rely more on offsetting trades between client portfolios, between clients and other lines of business within their firm, and between clients and external swap dealers.

With respect to risk-management practices associated with synthetic PB, dealers reported the following:

• As in the June 2016 survey, collection of initial and variation margin was widely cited as the most important method for managing counterparty exposure to swap clients. Monitoring of clients’ overall leverage and risk exposure and limits on long-short gross notional exposure were cited as the next most important methods.
• On net, about one-third of dealers reported that initial margins on cross-margined swaps are somewhat smaller than those on otherwise similar swaps that are not cross-margined.⁶ A small net fraction of dealers indicated that typical initial margins posted by clients on non-cross-margined swaps had increased since June 2016, while those on cross-margined swaps were reported to be unchanged.
• Over four-fifths of respondents indicated that liquidity and concentration risk of the underlying position were very important factors in determining initial margins for swap clients. Roughly two-thirds said the client’s overall leverage and risk profile was very important, while roughly one-half said the ease of hedging the underlying position was very important.
• Nearly all respondents indicated that the procedures for determining initial margin requirements were mostly or entirely uniform across synthetic PB clients. Less than one-tenth of dealers said the requirements were mostly customized, and none said they were entirely customized.

This document was prepared by Zack Saravay, Division of Monetary Affairs, 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. Nonsecurities are investments that cannot be traded on public exchanges, such as bank loans—including, for example, commercial and industrial loans and mortgage whole loans. Return to text

4. In the June 2016 survey, which asked about the use of synthetic PB for more specific types of hedge funds, equity long-short hedge funds that are fundamentally oriented were most often cited as widely using synthetic PB. Return to text

5. Synthetic PB allows clients to gain exposure to assets in foreign jurisdictions without facing the costs and legal barriers associated with transacting directly in foreign markets. Access to foreign markets was also cited as the most important reason motivating clients’ use of synthetic PB in the June 2016 survey. Return to text

6. Swaps that are not cross-margined have a margin requirement, which is set on a swap-by-swap basis. Cross-margined swaps are margined jointly with other positions in a PB account. 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 June 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	0.0
      2nd Most Important	1	50.0
      3rd Most Important	1	50.0
      Total	2	100.0

   2. Reduced willingness of your institution to take on risk

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

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

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

   7. Less-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

      	Number of Respondents	Percent
      Most Important	0	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	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	2	40.0
      2nd Most Important	1	20.0
      3rd Most Important	2	40.0
      Total	5	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	1	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	1	100.0

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

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

   7. More-aggressive competition from other institutions

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

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	21	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	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	21	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	100.0

4. Endowments

   	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

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

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

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

   4. Lower internal treasury charges for funding

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

   7. More-aggressive competition from other institutions

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

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

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

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

   6. Improvement in general market liquidity and functioning

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

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

      	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

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

   8. Other

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

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

Mark and Collateral Disputes

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

1. Dealers and other financial intermediaries

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	3	13.0
   Remained Basically Unchanged	19	82.6
   Decreased Somewhat	1	4.3
   Decreased Considerably	0	0.0
   Total	23	100.0

2. Hedge funds

   	Number of Respondents	Percent
   Increased Considerably	2	8.7
   Increased Somewhat	2	8.7
   Remained Basically Unchanged	19	82.6
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	23	100.0

3. Trading REITs

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

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

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

5. Insurance companies

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	4	18.2
   Remained Basically Unchanged	18	81.8
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	22	100.0

6. Separately managed accounts established with investment advisers

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

7. Nonfinancial corporations

   	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

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	2	8.7
   Remained Basically Unchanged	19	82.6
   Decreased Somewhat	2	8.7
   Decreased Considerably	0	0.0
   Total	23	100.0

2. Hedge funds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	2	8.7
   Remained Basically Unchanged	20	87.0
   Decreased Somewhat	1	4.3
   Decreased Considerably	0	0.0
   Total	23	100.0

3. Trading REITs

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	19	95.0
   Decreased Somewhat	1	5.0
   Decreased Considerably	0	0.0
   Total	20	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	2	9.1
   Decreased Considerably	0	0.0
   Total	22	100.0

5. Insurance companies

   	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

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	20	95.2
   Decreased Somewhat	1	4.8
   Decreased Considerably	0	0.0
   Total	21	100.0

7. Nonfinancial corporations

   	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

Over-the-Counter Derivatives

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

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

New and Renegotiated Master Agreements

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

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

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

2. Acceptable collateral

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

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

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

4. Triggers and covenants

   	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

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	19	100.0
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	19	100.0

6. Other

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

Initial Margin

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

1. Initial margin requirements for average clients

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

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

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	4.8
   Remained Basically Unchanged	20	95.2
   Decreased Somewhat	0	0.0
   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	1	5.0
   Remained Basically Unchanged	19	95.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	100.0

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

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

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	2	11.1
   Remained Basically Unchanged	16	88.9
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	100.0

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

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

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

1. Initial margin requirements for average clients

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

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

1. Initial margin requirements for average clients

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

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

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

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	3	17.6
   Remained Basically Unchanged	14	82.4
   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	2	11.8
   Remained Basically Unchanged	15	88.2
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

Nonstandard Collateral

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

Mark and Collateral Disputes

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

1. FX

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

3. Equity

   	Number of Respondents	Percent
   Increased Considerably	1	5.3
   Increased Somewhat	2	10.5
   Remained Basically Unchanged	16	84.2
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	100.0

4. Credit referencing corporates

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

5. Credit referencing securitized products including MBS and ABS

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

6. Commodity

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

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

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	7.1
   Remained Basically Unchanged	13	92.9
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	14	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	19	90.5
   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	1	4.8
   Remained Basically Unchanged	19	90.5
   Decreased Somewhat	1	4.8
   Decreased Considerably	0	0.0
   Total	21	100.0

3. Equity

   	Number of Respondents	Percent
   Increased Considerably	1	5.3
   Increased Somewhat	1	5.3
   Remained Basically Unchanged	16	84.2
   Decreased Somewhat	1	5.3
   Decreased Considerably	0	0.0
   Total	19	100.0

4. Credit referencing corporates

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.3
   Remained Basically Unchanged	17	89.5
   Decreased Somewhat	1	5.3
   Decreased Considerably	0	0.0
   Total	19	100.0

5. Credit referencing securitized products including MBS and ABS

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

6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	14	87.5
   Decreased Somewhat	1	6.3
   Decreased Considerably	1	6.3
   Total	16	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	92.9
   Decreased Somewhat	1	7.1
   Decreased Considerably	0	0.0
   Total	14	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	2	9.5
      Remained Basically Unchanged	16	76.2
      Eased Somewhat	3	14.3
      Eased Considerably	0	0.0
      Total	21	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	15	71.4
      Eased Somewhat	5	23.8
      Eased Considerably	0	0.0
      Total	21	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	13	61.9
      Eased Somewhat	7	33.3
      Eased Considerably	0	0.0
      Total	21	100.0

   5. Other

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	9.5
      Remained Basically Unchanged	16	76.2
      Eased Somewhat	3	14.3
      Eased Considerably	0	0.0
      Total	21	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	15	71.4
      Eased Somewhat	5	23.8
      Eased Considerably	0	0.0
      Total	21	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	13	61.9
      Eased Somewhat	7	33.3
      Eased Considerably	0	0.0
      Total	21	100.0

   5. Other

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

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

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

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

High-Yield Corporate Bonds

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	10.0
      Remained Basically Unchanged	15	75.0
      Eased Somewhat	3	15.0
      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	16	80.0
      Eased Somewhat	3	15.0
      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	1	5.0
      Remained Basically Unchanged	12	60.0
      Eased Somewhat	7	35.0
      Eased Considerably	0	0.0
      Total	20	100.0

   5. Other

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	10.0
      Remained Basically Unchanged	15	75.0
      Eased Somewhat	3	15.0
      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	16	80.0
      Eased Somewhat	3	15.0
      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	1	5.0
      Remained Basically Unchanged	12	60.0
      Eased Somewhat	7	35.0
      Eased Considerably	0	0.0
      Total	20	100.0

   5. Other

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

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	2	10.0
      Remained Basically Unchanged	16	80.0
      Eased Somewhat	2	10.0
      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	17	85.0
      Eased Somewhat	2	10.0
      Eased Considerably	0	0.0
      Total	20	100.0

   3. Haircuts

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

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

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

   5. Other

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

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	16	80.0
      Eased Somewhat	3	15.0
      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	17	85.0
      Eased Somewhat	2	10.0
      Eased Considerably	0	0.0
      Total	20	100.0

   3. Haircuts

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	16	80.0
      Eased Somewhat	4	20.0
      Eased Considerably	0	0.0
      Total	20	100.0

   5. Other

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

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	19	90.5
      Eased Somewhat	1	4.8
      Eased Considerably	0	0.0
      Total	21	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	17	81.0
      Eased Somewhat	3	14.3
      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	4	19.0
      Remained Basically Unchanged	12	57.1
      Eased Somewhat	4	19.0
      Eased Considerably	0	0.0
      Total	21	100.0

   5. Other

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	18	85.7
      Eased Somewhat	2	9.5
      Eased Considerably	0	0.0
      Total	21	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	9.5
      Remained Basically Unchanged	15	71.4
      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	12	57.1
      Eased Somewhat	5	23.8
      Eased Considerably	0	0.0
      Total	21	100.0

   5. Other

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

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

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

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

Non-Agency Residential Mortgage-Backed Securities

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

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

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

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	14	77.8
      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	7	38.9
      Eased Somewhat	10	55.6
      Eased Considerably	0	0.0
      Total	18	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	1	5.6
      Tightened Somewhat	1	5.6
      Remained Basically Unchanged	6	33.3
      Eased Somewhat	10	55.6
      Eased Considerably	0	0.0
      Total	18	100.0

   5. Other

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

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

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

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	13	72.2
      Eased Somewhat	5	27.8
      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	7	38.9
      Eased Somewhat	10	55.6
      Eased Considerably	0	0.0
      Total	18	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	2	11.1
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	6	33.3
      Eased Somewhat	10	55.6
      Eased Considerably	0	0.0
      Total	18	100.0

   5. Other

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

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

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

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

Commercial Mortgage-Backed Securities

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

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

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

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	12	75.0
      Eased Somewhat	4	25.0
      Eased Considerably	0	0.0
      Total	16	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	6.3
      Remained Basically Unchanged	6	37.5
      Eased Somewhat	9	56.3
      Eased Considerably	0	0.0
      Total	16	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	1	6.3
      Tightened Somewhat	1	6.3
      Remained Basically Unchanged	5	31.3
      Eased Somewhat	9	56.3
      Eased Considerably	0	0.0
      Total	16	100.0

   5. Other

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

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

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

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	12	75.0
      Eased Somewhat	4	25.0
      Eased Considerably	0	0.0
      Total	16	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	6.3
      Remained Basically Unchanged	5	31.3
      Eased Somewhat	10	62.5
      Eased Considerably	0	0.0
      Total	16	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	2	12.5
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	5	31.3
      Eased Somewhat	9	56.3
      Eased Considerably	0	0.0
      Total	16	100.0

   5. Other

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

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	14	93.3
      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	0	0.0
      Remained Basically Unchanged	12	80.0
      Eased Somewhat	3	20.0
      Eased Considerably	0	0.0
      Total	15	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	6.7
      Remained Basically Unchanged	6	40.0
      Eased Somewhat	8	53.3
      Eased Considerably	0	0.0
      Total	15	100.0

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

      	Number of Respondents	Percent
      Tightened Considerably	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	0	0.0
      Remained Basically Unchanged	14	93.3
      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	0	0.0
      Remained Basically Unchanged	12	80.0
      Eased Somewhat	3	20.0
      Eased Considerably	0	0.0
      Total	15	100.0

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	6.7
      Remained Basically Unchanged	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

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	21	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	100.0

2. High-yield corporate bonds

   	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. Equities

   	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

4. Agency RMBS

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

5. Non-agency RMBS

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

6. CMBS

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

7. Consumer ABS

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

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

1. High-grade corporate bonds

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

2. High-yield corporate bonds

   	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. Equities

   	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

4. Agency RMBS

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

5. Non-agency RMBS

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

6. CMBS

   	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

7. Consumer ABS

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

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 Synthetic Prime Brokerage¹

In the June 2016 survey, respondents were queried about the use of synthetic prime brokerage (PB) arrangements. Under such arrangements, levered exposure is created through total return swaps and other OTC derivatives rather than through traditional secured financing such as margin lending or repurchase agreements. In this survey, we revisit questions about the use of synthetic PB arrangements and ask additional questions about risk management associated with the provision of such services by prime brokers to a broad range of clients. Questions 81–83 ask about current use of synthetic PB and changes since June 2016. Questions 84–90 ask about risk management associated with synthetic PB, including the hedging of such positions by your firm and initial margins posted by your clients.

81. How would you characterize the current use of synthetic PB by clients of each of the following types?

1. Equity long–short hedge funds

   	Number of Respondents	Percent
   Not Used By Clients	0	0.0
   Used By Only A Few Clients Or In A Few Situations	1	5.3
   Used By Some Clients Or In Some Situations	6	31.6
   Used To A Minimal Extent By Clients	2	10.5
   Widely Used By A Large Number Of Clients	10	52.6
   Total	19	100.0

2. Other hedge funds

   	Number of Respondents	Percent
   Not Used By Clients	0	0.0
   Used By Only A Few Clients Or In A Few Situations	2	10.5
   Used By Some Clients Or In Some Situations	10	52.6
   Used To A Minimal Extent By Clients	2	10.5
   Widely Used By A Large Number Of Clients	5	26.3
   Total	19	100.0

3. Separately managed accounts and family offices

   	Number of Respondents	Percent
   Not Used By Clients	2	11.8
   Used By Only A Few Clients Or In A Few Situations	4	23.5
   Used By Some Clients Or In Some Situations	8	47.1
   Used To A Minimal Extent By Clients	1	5.9
   Widely Used By A Large Number Of Clients	2	11.8
   Total	17	100.0

4. Other asset managers

   	Number of Respondents	Percent
   Not Used By Clients	1	5.9
   Used By Only A Few Clients Or In A Few Situations	2	11.8
   Used By Some Clients Or In Some Situations	11	64.7
   Used To A Minimal Extent By Clients	2	11.8
   Widely Used By A Large Number Of Clients	1	5.9
   Total	17	100.0

5. Proprietary trading firms and broker-dealers

   	Number of Respondents	Percent
   Not Used By Clients	2	11.1
   Used By Only A Few Clients Or In A Few Situations	1	5.6
   Used By Some Clients Or In Some Situations	10	55.6
   Used To A Minimal Extent By Clients	4	22.2
   Widely Used By A Large Number Of Clients	1	5.6
   Total	18	100.0

82. How would you characterize the change in the use of synthetic PB by clients of each of the following types since June 2016?

1. Equity long–short hedge funds

   	Number of Respondents	Percent
   Increased Significantly	5	26.3
   Increased Somewhat	7	36.8
   Remained Basically Unchanged	7	36.8
   Decreased Somewhat	0	0.0
   Decreased Significantly	0	0.0
   Total	19	100.0

2. Other hedge funds

   	Number of Respondents	Percent
   Increased Significantly	4	21.1
   Increased Somewhat	9	47.4
   Remained Basically Unchanged	6	31.6
   Decreased Somewhat	0	0.0
   Decreased Significantly	0	0.0
   Total	19	100.0

3. Separately managed accounts and family offices

   	Number of Respondents	Percent
   Increased Significantly	2	12.5
   Increased Somewhat	4	25.0
   Remained Basically Unchanged	10	62.5
   Decreased Somewhat	0	0.0
   Decreased Significantly	0	0.0
   Total	16	100.0

4. Other asset managers

   	Number of Respondents	Percent
   Increased Significantly	0	0.0
   Increased Somewhat	5	31.3
   Remained Basically Unchanged	11	68.8
   Decreased Somewhat	0	0.0
   Decreased Significantly	0	0.0
   Total	16	100.0

5. Proprietary trading firms and broker-dealers

   	Number of Respondents	Percent
   Increased Significantly	2	11.8
   Increased Somewhat	7	41.2
   Remained Basically Unchanged	8	47.1
   Decreased Somewhat	0	0.0
   Decreased Significantly	0	0.0
   Total	17	100.0

83. Considering all of your institution’s clients who use synthetic PB, how important is each of the following reasons in motivating them to do so?

1. Tax considerations

   	Number of Respondents	Percent
   Very Important	6	26.1
   Somewhat Important	13	56.5
   Unimportant	4	17.4
   Total	23	100.0

2. Availability of greater leverage

   	Number of Respondents	Percent
   Very Important	3	13.0
   Somewhat Important	17	73.9
   Unimportant	3	13.0
   Total	23	100.0

3. Access to foreign markets

   	Number of Respondents	Percent
   Very Important	11	47.8
   Somewhat Important	8	34.8
   Unimportant	4	17.4
   Total	23	100.0

4. Lower cost of funding

   	Number of Respondents	Percent
   Very Important	2	8.7
   Somewhat Important	14	60.9
   Unimportant	7	30.4
   Total	23	100.0

5. Ease in establishing and adjusting positions

   	Number of Respondents	Percent
   Very Important	6	26.1
   Somewhat Important	10	43.5
   Unimportant	7	30.4
   Total	23	100.0

6. Preserving confidentiality of proprietary trading strategies

   	Number of Respondents	Percent
   Very Important	4	17.4
   Somewhat Important	15	65.2
   Unimportant	4	17.4
   Total	23	100.0

84. To what extent does your firm’s hedging of client swaps under synthetic PB rely on the following sources of offsetting trades?

1. Offsetting trades between client portfolios

   	Number of Respondents	Percent
   To A Considerable Extent	4	17.4
   To Some Extent	7	30.4
   To A Minimal Extent	2	8.7
   Not At All	10	43.5
   Total	23	100.0

2. Offsetting trades between clients and other lines of business within your firm

   	Number of Respondents	Percent
   To A Considerable Extent	2	8.7
   To Some Extent	5	21.7
   To A Minimal Extent	4	17.4
   Not At All	12	52.2
   Total	23	100.0

3. Offsetting trades between clients and external swap dealers

   	Number of Respondents	Percent
   To A Considerable Extent	2	8.7
   To Some Extent	9	39.1
   To A Minimal Extent	1	4.3
   Not At All	11	47.8
   Total	23	100.0

4. Offsetting client trades with exchange-traded futures and derivatives

   	Number of Respondents	Percent
   To A Considerable Extent	0	0.0
   To Some Extent	5	21.7
   To A Minimal Extent	5	21.7
   Not At All	13	56.5
   Total	23	100.0

5. Offsetting client trades with holdings of cash securities

   	Number of Respondents	Percent
   To A Considerable Extent	8	34.8
   To Some Extent	5	21.7
   To A Minimal Extent	2	8.7
   Not At All	8	34.8
   Total	23	100.0

6. Other (please specify)

   	Number of Respondents	Percent
   To A Considerable Extent	0	0.0
   To Some Extent	0	0.0
   To A Minimal Extent	1	20.0
   Not At All	4	80.0
   Total	5	100.0

85. How has your firm’s reliance on the following sources of offsetting trades for hedging of client swaps under synthetic PB changed since June 2016?

1. Offsetting trades between client portfolios

   	Number of Respondents	Percent
   Increased Significantly	2	16.7
   Increased Somewhat	5	41.7
   Remained Basically Unchanged	5	41.7
   Decreased Somewhat	0	0.0
   Decreased Significantly	0	0.0
   Total	12	100.0

2. Offsetting trades between clients and other lines of business within your firm

   	Number of Respondents	Percent
   Increased Significantly	2	20.0
   Increased Somewhat	3	30.0
   Remained Basically Unchanged	4	40.0
   Decreased Somewhat	0	0.0
   Decreased Significantly	1	10.0
   Total	10	100.0

3. Offsetting trades between clients and external swap dealers

   	Number of Respondents	Percent
   Increased Significantly	3	27.3
   Increased Somewhat	4	36.4
   Remained Basically Unchanged	4	36.4
   Decreased Somewhat	0	0.0
   Decreased Significantly	0	0.0
   Total	11	100.0

4. Offsetting client trades with exchange-traded futures and derivatives

   	Number of Respondents	Percent
   Increased Significantly	1	11.1
   Increased Somewhat	2	22.2
   Remained Basically Unchanged	6	66.7
   Decreased Somewhat	0	0.0
   Decreased Significantly	0	0.0
   Total	9	100.0

5. Offsetting client trades with holdings of cash securities

   	Number of Respondents	Percent
   Increased Significantly	0	0.0
   Increased Somewhat	3	23.1
   Remained Basically Unchanged	9	69.2
   Decreased Somewhat	1	7.7
   Decreased Significantly	0	0.0
   Total	13	100.0

6. Other (please specify)

   	Number of Respondents	Percent
   Increased Significantly	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	1	100.0
   Decreased Somewhat	0	0.0
   Decreased Significantly	0	0.0
   Total	1	100.0

86. How does your institution manage counterparty exposure to swap clients?

1. Collection of initial and variation margin

   	Number of Respondents	Percent
   Most Important	20	90.9
   2nd Most Important	2	9.1
   3rd Most Important	0	0.0
   Total	22	100.0

2. Limits on long–short gross notional exposure

   	Number of Respondents	Percent
   Most Important	1	7.7
   2nd Most Important	5	38.5
   3rd Most Important	7	53.8
   Total	13	100.0

3. Client net financing balances held in PB

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

4. Client assets held in custody

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

5. Monitoring of clients’ overall leverage and risk exposure

   	Number of Respondents	Percent
   Most Important	1	5.6
   2nd Most Important	10	55.6
   3rd Most Important	7	38.9
   Total	18	100.0

6. Other (please specify)

   	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

87. How do typical initial margins posted by your clients on swaps that are cross-margined under PB arrangements compare to those on otherwise similar swaps that are not cross-margined?

88. How have typical initial margins posted by your clients changed since June 2016 on swaps margined under each of the following methodologies?

1. Cross-margined under PB arrangements

   	Number of Respondents	Percent
   Increased Significantly	0	0.0
   Increased Somewhat	2	8.7
   Remained Basically Unchanged	20	87.0
   Decreased Somewhat	1	4.3
   Decreased Significantly	0	0.0
   Total	23	100.0

2. Non-cross-margined

   	Number of Respondents	Percent
   Increased Significantly	0	0.0
   Increased Somewhat	5	21.7
   Remained Basically Unchanged	16	69.6
   Decreased Somewhat	2	8.7
   Decreased Significantly	0	0.0
   Total	23	100.0

89. How important are the following factors in determining initial margins for your swap clients?

1. Liquidity risk of the underlying position

   	Number of Respondents	Percent
   Very Important	21	91.3
   Somewhat Important	1	4.3
   Unimportant	1	4.3
   Total	23	100.0

2. Concentration risk of the underlying position

   	Number of Respondents	Percent
   Very Important	20	87.0
   Somewhat Important	1	4.3
   Unimportant	2	8.7
   Total	23	100.0

3. Ease of hedging the underlying position

   	Number of Respondents	Percent
   Very Important	11	47.8
   Somewhat Important	6	26.1
   Unimportant	6	26.1
   Total	23	100.0

4. Client’s overall leverage and risk profile

   	Number of Respondents	Percent
   Very Important	16	69.6
   Somewhat Important	6	26.1
   Unimportant	1	4.3
   Total	23	100.0

90. To what extent are the procedures for determining initial margin requirements uniform across synthetic PB clients?

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