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Senior Credit Officer Opinion Survey on Dealer Financing Terms

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Senior Credit Officer Opinion Survey, September 2021

Current Release RSS DDP

Release Date: September 30, 2021

Summary

The September 2021 Senior Credit Officer Opinion Survey on Dealer Financing Terms collected qualitative information on changes in credit terms and conditions in securities financing and over-the-counter (OTC) derivatives markets between mid-May 2021 and mid-August 2021. In addition to the core questions, the survey included a set of special questions about risk-management practices in equity derivatives markets. 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 August 17, 2021, and September 1, 2021. The core questions asked about changes between mid-May 2021 and mid-August 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. For hedge funds, about one-fifth of dealers, on net, reported tightening of nonprice terms such as haircuts, maximum maturity, or covenants. A small net fraction of dealers reported easing nonprice terms for trading real estate investment trusts (REITs) (see the exhibit Management of Concentrated Credit Exposures and Indicators of Supply of Credit). A small net fraction of dealers indicated an increase in hedge funds’ and trading REITs’ efforts to negotiate more-favorable price and nonprice terms.
  • Almost all respondents indicated that resources and attention devoted to managing concentrated credit exposure to dealers and central counterparties remained unchanged and that changes in central counterparty practices have not affected, or have minimally affected, 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, traded REITs, mutual funds and exchange-traded funds, and separately managed accounts.

With respect to clients’ use of financial leverage, dealers indicated little change, on net, over the past three months for most types of counterparties. However, about one-fifth of dealers, on net, reported a decrease in the use of leverage by hedge funds (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.
  • 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 a decrease in the volume of mark and collateral disputes for commodity derivatives, while a similar fraction indicated an increase in the volume of disputes for contracts referencing interest rates. Furthermore, a small net fraction of respondents reported an increase in dispute durations for derivatives referencing equities and securitized products.

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

  • For non-agency residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), and consumer asset-backed securities, about one-third of respondents indicated easing of funding terms, such as haircuts and collateral spreads, for both average and most-favored clients. For other asset classes, terms under which various types of securities are funded remained largely unchanged.
  • On net, about one-fourth of dealers reported increased demand to fund high-yield corporate bonds. About one-fifth of dealers, on net, reported decreased demand to fund agency RMBS. In addition, between one-fifth and one-fourth of respondents, on net, reported increased demand for term funding for high-yield corporate bonds, CMBS, and non-agency RMBS. Demand for funding for other asset classes was largely unchanged (see the exhibit Measures of Demand for Funding and Market Functioning).
  • Approximately one-fifth of respondents, on net, indicated an improvement in liquidity and market functioning for CMBS and non-agency RMBS markets.
  • The volume and duration of mark and collateral disputes remained unchanged, on net, across all collateral types.

Special Questions on Risk-Management Practices in Equity Derivatives Markets
(Questions 81-86)

The special questions asked about the importance of various risk-management practices for clients engaged in trading options and other derivative products referencing individual stocks and the changes in their application since the beginning of the year. The questions were asked separately in relation to clients who engage in trading exchange-listed options on individual stocks and to clients who use OTC derivative products referencing individual stocks.

With respect to risk-management practices for clients trading exchange-listed options, dealers reported the following:

  • Nearly all dealers reported having institutional clients who engage in trading exchange-listed equity options, and approximately two-fifths of dealers reported that such clients constitute a moderate or large fraction of their institutional clientele.
  • Three-fourths of dealers with institutional clients trading exchange-listed equity options on individual stocks ranked collection of initial and variation margin as their first or second most prevalent risk-management tool for managing counterparty risk. Next was limits on potential future exposure (PFE), which was ranked as the first or second most prevalent risk-management tool by one-half of respondents.3 While ranked less prominently overall than these top two tools, a frequently mentioned option is the monitoring of overall client leverage and exposure, selected by two-thirds of respondents as either the third or fourth most prevalent risk-management tool.
  • Approximately one-third of respondents, on net, reported tightening of the terms for initial and variation margin and for the monitoring of overall client leverage and exposure since the beginning of 2021. Close to one-fifth of respondents, on net, reported tightening of the limits on PFE over the same period.

With respect to risk-management practices for clients trading OTC derivatives and structured products linked to individual stocks, dealers reported the following:

  • Nearly all dealers reported having institutional clients who use OTC derivative and structured products with exposure to individual stocks, and approximately one-half of dealers reported that such clients constitute a moderate or large fraction of their institutional clientele.
  • With respect to OTC derivatives linked to individual stocks, two-thirds of respondents indicated that total return swaps are the most heavily used, two-thirds ranked OTC equity options as the second most heavily used, and one-third ranked auto-callable structured notes as the third most heavily used product.
  • The rankings of counterparty risk-management tools for OTC derivatives closely matched those for exchange-listed equity options. Three-fourths of dealers ranked collection of initial and variation margin as the first or second most prevalent risk-management tool. Next was limits on PFE, which was ranked as the first or second most prevalent risk-management tool by two-thirds of respondents. In addition, monitoring of overall client leverage and exposure was selected by one-half of respondents as either the third or fourth most prevalent risk-management tool.
  • The tightening of risk-management terms in 2021 was more pronounced for OTC derivatives than for exchange-listed options. Approximately three-fifths of respondents, on net, reported tightening of terms for initial and variation margin for clients using OTC derivative and structured products with exposure to individual stocks. Furthermore, approximately two-fifths of respondents, on net, reported tightening of limits on PFE. Approximately one-third of respondents, on net, indicated tightening in their monitoring of overall client leverage and exposure.

This document was prepared by Valery Polkovnichenko, Division of Reseach & Statistics, Board of Governors of the Federal Reserve System. Assistance in developing and administering the survey was provided by staff members in 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. PFE is a measure of counterparty risk defined as the maximum exposure estimated to occur at a future date at a high statistical significance level. Return to text

 

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

Exhibit 1: Management of Concentrated Credit Exposures and Indicators of Supply of Credit. See accessible link for data.

Accessible version

Return to text

 

Exhibit 2: Use of Financial Leverage

Exhibit 2: Use of Financial Leverage. See accessible link for data.

Accessible version

Return to text

 

Exhibit 3: Measures of Demand for Funding and Market Functioning

Exhibit 3: Measures of Demand for Funding and Market Functioning. See accessible link for data.

Accessible version

Return to text

 

Results of the September 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?

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 1 4.3
Remained Basically Unchanged 22 95.7
Decreased Somewhat 0 0.0
Decreased Considerably 0 0.0
Total 23 100.0

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?

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 1 4.3
Remained Basically Unchanged 22 95.7
Decreased Somewhat 0 0.0
Decreased Considerably 0 0.0
Total 23 100.0

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?

  Number of Respondents Percent
To A Considerable Extent 0 0.0
To Some Extent 2 8.7
To A Minimal Extent 10 43.5
Not At All 11 47.8
Total 23 100.0

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?

  Number of Respondents Percent
Tightened Considerably 0 0.0
Tightened Somewhat 2 8.7
Remained Basically Unchanged 18 78.3
Eased Somewhat 2 8.7
Eased Considerably 1 4.3
Total 23 100.0

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?

  Number of Respondents Percent
Tightened Considerably 0 0.0
Tightened Somewhat 4 17.4
Remained Basically Unchanged 19 82.6
Eased Somewhat 0 0.0
Eased Considerably 0 0.0
Total 23 100.0

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
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
    2. Reduced willingness of your institution to take on risk
        Number of Respondents
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Higher internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 1
      3rd Most Important 0
      Total 1
    5. Diminished availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Worsening in general market liquidity and functioning
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    7. Less-aggressive competition from other institutions
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 1
      Total 1
    8. Other (please specify)
        Number of Respondents
      Most Important 2
      2nd Most Important 0
      3rd Most Important 0
      Total 2
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
        Number of Respondents
      Most Important 0
      2nd Most Important 1
      3rd Most Important 0
      Total 1
    2. Increased willingness of your institution to take on risk
        Number of Respondents
      Most Important 0
      2nd Most Important 1
      3rd Most Important 1
      Total 2
    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Lower internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 1
      Total 1
    5. Increased availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Improvement in general market liquidity and functioning
        Number of Respondents
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
    7. More-aggressive competition from other institutions
        Number of Respondents
      Most Important 2
      2nd Most Important 1
      3rd Most Important 0
      Total 3
    8. Other (please specify)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0

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

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 3 13.0
Remained Basically Unchanged 18 78.3
Decreased Somewhat 2 8.7
Decreased Considerably 0 0.0
Total 23 100.0

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?

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 0 0.0
Remained Basically Unchanged 18 78.3
Decreased Somewhat 5 21.7
Decreased Considerably 0 0.0
Total 23 100.0

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?

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 0 0.0
Remained Basically Unchanged 21 91.3
Decreased Somewhat 2 8.7
Decreased Considerably 0 0.0
Total 23 100.0

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?

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

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?

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

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?

  Number of Respondents Percent
Tightened Considerably 0 0.0
Tightened Somewhat 0 0.0
Remained Basically Unchanged 16 84.2
Eased Somewhat 3 15.8
Eased Considerably 0 0.0
Total 19 100.0

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
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
    2. Reduced willingness of your institution to take on risk
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Higher internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    5. Diminished availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Worsening in general market liquidity and functioning
        Number of Respondents
      Most Important 0
      2nd Most Important 1
      3rd Most Important 0
      Total 1
    7. Less-aggressive competition from other institutions
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 1
      Total 1
    8. Other (please specify)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
        Number of Respondents
      Most Important 0
      2nd Most Important 2
      3rd Most Important 0
      Total 2
    2. Increased willingness of your institution to take on risk
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Lower internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    5. Increased availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Improvement in general market liquidity and functioning
        Number of Respondents
      Most Important 1
      2nd Most Important 0
      3rd Most Important 1
      Total 2
    7. More-aggressive competition from other institutions
        Number of Respondents
      Most Important 2
      2nd Most Important 0
      3rd Most Important 1
      Total 3
    8. Other (please specify)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0

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

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 3 15.8
Remained Basically Unchanged 16 84.2
Decreased Somewhat 0 0.0
Decreased Considerably 0 0.0
Total 19 100.0

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?

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

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?

  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

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?

  Number of Respondents Percent
Tightened Considerably 0 0.0
Tightened Somewhat 0 0.0
Remained Basically Unchanged 22 95.7
Eased Somewhat 1 4.3
Eased Considerably 0 0.0
Total 23 100.0

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?

  Number of Respondents Percent
Tightened Considerably 0 0.0
Tightened Somewhat 1 4.3
Remained Basically Unchanged 21 91.3
Eased Somewhat 1 4.3
Eased Considerably 0 0.0
Total 23 100.0

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
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    2. Reduced willingness of your institution to take on risk
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Higher internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    5. Diminished availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Worsening in general market liquidity and functioning
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    7. Less-aggressive competition from other institutions
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    8. Other (please specify)
        Number of Respondents
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    2. Increased willingness of your institution to take on risk
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Lower internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    5. Increased availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Improvement in general market liquidity and functioning
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    7. More-aggressive competition from other institutions
        Number of Respondents
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
    8. Other (please specify)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0

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?

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 1 4.3
Remained Basically Unchanged 22 95.7
Decreased Somewhat 0 0.0
Decreased Considerably 0 0.0
Total 23 100.0

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 Undefined
    Increased Somewhat 0 Undefined
    Remained Basically Unchanged 0 Undefined
    Decreased Somewhat 0 Undefined
    Decreased Considerably 0 Undefined
    Total 0 Undefined
  2. ETFs
      Number of Respondents Percent
    Increased Considerably 0 Undefined
    Increased Somewhat 0 Undefined
    Remained Basically Unchanged 0 Undefined
    Decreased Somewhat 0 Undefined
    Decreased Considerably 0 Undefined
    Total 0 Undefined
  3. Pension plans
      Number of Respondents Percent
    Increased Considerably 0 Undefined
    Increased Somewhat 0 Undefined
    Remained Basically Unchanged 0 Undefined
    Decreased Somewhat 0 Undefined
    Decreased Considerably 0 Undefined
    Total 0 Undefined
  4. Endowments
      Number of Respondents Percent
    Increased Considerably 0 Undefined
    Increased Somewhat 0 Undefined
    Remained Basically Unchanged 0 Undefined
    Decreased Somewhat 0 Undefined
    Decreased Considerably 0 Undefined
    Total 0 Undefined

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?

  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

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?

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

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?

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

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
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    2. Reduced willingness of your institution to take on risk
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Higher internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    5. Diminished availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Worsening in general market liquidity and functioning
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    7. Less-aggressive competition from other institutions
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    8. Other (please specify)
        Number of Respondents
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    2. Increased willingness of your institution to take on risk
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Lower internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    5. Increased availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Improvement in general market liquidity and functioning
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    7. More-aggressive competition from other institutions
        Number of Respondents
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
    8. Other (please specify)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0

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

  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

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?

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

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?

  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

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?

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

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?

  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

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
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    2. Reduced willingness of your institution to take on risk
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Higher internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    5. Diminished availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Worsening in general market liquidity and functioning
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    7. Less-aggressive competition from other institutions
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    8. Other (please specify)
        Number of Respondents
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    2. Increased willingness of your institution to take on risk
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Lower internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    5. Increased availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Improvement in general market liquidity and functioning
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    7. More-aggressive competition from other institutions
        Number of Respondents
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
    8. Other (please specify)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0

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?

  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

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?

  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

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?

  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

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?

  Number of Respondents Percent
Tightened Considerably 1 4.3
Tightened Somewhat 0 0.0
Remained Basically Unchanged 21 91.3
Eased Somewhat 1 4.3
Eased Considerably 0 0.0
Total 23 100.0

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?

  Number of Respondents Percent
Tightened Considerably 1 4.3
Tightened Somewhat 1 4.3
Remained Basically Unchanged 20 87.0
Eased Somewhat 1 4.3
Eased Considerably 0 0.0
Total 23 100.0

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
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    2. Reduced willingness of your institution to take on risk
        Number of Respondents
      Most Important 1
      2nd Most Important 1
      3rd Most Important 0
      Total 2
    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Higher internal treasury charges for funding
        Number of Respondents
      Most Important 1
      2nd Most Important 1
      3rd Most Important 0
      Total 2
    5. Diminished availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 2
      Total 2
    6. Worsening in general market liquidity and functioning
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    7. Less-aggressive competition from other institutions
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    8. Other (please specify)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    2. Increased willingness of your institution to take on risk
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    4. Lower internal treasury charges for funding
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    5. Increased availability of balance sheet or capital at your institution
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    6. Improvement in general market liquidity and functioning
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0
    7. More-aggressive competition from other institutions
        Number of Respondents
      Most Important 1
      2nd Most Important 0
      3rd Most Important 0
      Total 1
    8. Other (please specify)
        Number of Respondents
      Most Important 0
      2nd Most Important 0
      3rd Most Important 0
      Total 0

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

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 1 4.3
Remained Basically Unchanged 22 95.7
Decreased Somewhat 0 0.0
Decreased Considerably 0 0.0
Total 23 100.0

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 1 4.3
    Increased Somewhat 0 0.0
    Remained Basically Unchanged 19 82.6
    Decreased Somewhat 3 13.0
    Decreased Considerably 0 0.0
    Total 23 100.0
  2. Hedge funds
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 3 13.0
    Remained Basically Unchanged 17 73.9
    Decreased Somewhat 3 13.0
    Decreased Considerably 0 0.0
    Total 23 100.0
  3. Trading REITs
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 0 0.0
    Remained Basically Unchanged 15 88.2
    Decreased Somewhat 2 11.8
    Decreased Considerably 0 0.0
    Total 17 100.0
  4. Mutual funds, ETFs, pension plans, and endowments
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 0 0.0
    Remained Basically Unchanged 20 87.0
    Decreased Somewhat 3 13.0
    Decreased Considerably 0 0.0
    Total 23 100.0
  5. Insurance companies
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 4.8
    Remained Basically Unchanged 17 81.0
    Decreased Somewhat 3 14.3
    Decreased Considerably 0 0.0
    Total 21 100.0
  6. Separately managed accounts established with investment advisers
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 0 0.0
    Remained Basically Unchanged 18 90.0
    Decreased Somewhat 2 10.0
    Decreased Considerably 0 0.0
    Total 20 100.0
  7. Nonfinancial corporations
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 5.0
    Remained Basically Unchanged 17 85.0
    Decreased Somewhat 2 10.0
    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 1 4.3
    Remained Basically Unchanged 21 91.3
    Decreased Somewhat 1 4.3
    Decreased Considerably 0 0.0
    Total 23 100.0
  2. Hedge funds
      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
  3. Trading REITs
      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
  4. Mutual funds, ETFs, pension plans, and endowments
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 4.3
    Remained Basically Unchanged 20 87.0
    Decreased Somewhat 2 8.7
    Decreased Considerably 0 0.0
    Total 23 100.0
  5. Insurance companies
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 4.8
    Remained Basically Unchanged 18 85.7
    Decreased Somewhat 2 9.5
    Decreased Considerably 0 0.0
    Total 21 100.0
  6. Separately managed accounts established with investment advisers
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 2 10.0
    Remained Basically Unchanged 17 85.0
    Decreased Somewhat 1 5.0
    Decreased Considerably 0 0.0
    Total 20 100.0
  7. Nonfinancial corporations
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 2 10.0
    Remained Basically Unchanged 16 80.0
    Decreased Somewhat 1 5.0
    Decreased Considerably 1 5.0
    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 0.0
    Tightened Somewhat 1 100.0
    Remained Basically Unchanged 0 0.0
    Eased Somewhat 0 0.0
    Eased Considerably 0 0.0
    Total 1 100.0

Initial Margin

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

  1. Initial margin requirements for average clients
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 4.8
    Remained Basically Unchanged 19 90.5
    Decreased Somewhat 1 4.8
    Decreased Considerably 0 0.0
    Total 21 100.0
  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 4.8
    Remained Basically Unchanged 19 90.5
    Decreased Somewhat 1 4.8
    Decreased Considerably 0 0.0
    Total 21 100.0

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

  1. Initial margin requirements for average clients
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 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 2 10.0
    Remained Basically Unchanged 18 90.0
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 20 100.0
  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 2 10.0
    Remained Basically Unchanged 18 90.0
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 20 100.0

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

  1. Initial margin requirements for average clients
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 6.3
    Remained Basically Unchanged 14 87.5
    Decreased Somewhat 1 6.3
    Decreased Considerably 0 0.0
    Total 16 100.0
  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 5.9
    Remained Basically Unchanged 15 88.2
    Decreased Somewhat 1 5.9
    Decreased Considerably 0 0.0
    Total 17 100.0

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

  1. Initial margin requirements for average clients
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 7.7
    Remained Basically Unchanged 12 92.3
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 13 100.0
  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 7.7
    Remained Basically Unchanged 12 92.3
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 13 100.0

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

  1. Initial margin requirements for average clients
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 0 0.0
    Remained Basically Unchanged 16 100.0
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 16 100.0
  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 16 100.0
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 16 100.0

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

  1. Initial margin requirements for average clients
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 5.9
    Remained Basically Unchanged 16 94.1
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 17 100.0
  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 5.9
    Remained Basically Unchanged 16 94.1
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 17 100.0

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?

  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

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 50.0
    Remained Basically Unchanged 0 0.0
    Decreased Somewhat 1 25.0
    Decreased Considerably 1 25.0
    Total 4 100.0
  2. Interest rate
      Number of Respondents Percent
    Increased Considerably 1 50.0
    Increased Somewhat 1 50.0
    Remained Basically Unchanged 0 0.0
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 2 100.0
  3. Equity
      Number of Respondents Percent
    Increased Considerably 1 33.3
    Increased Somewhat 1 33.3
    Remained Basically Unchanged 0 0.0
    Decreased Somewhat 1 33.3
    Decreased Considerably 0 0.0
    Total 3 100.0
  4. Credit referencing corporates
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 50.0
    Remained Basically Unchanged 0 0.0
    Decreased Somewhat 0 0.0
    Decreased Considerably 1 50.0
    Total 2 100.0
  5. Credit referencing securitized products including MBS and ABS
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 50.0
    Remained Basically Unchanged 0 0.0
    Decreased Somewhat 0 0.0
    Decreased Considerably 1 50.0
    Total 2 100.0
  6. Commodity
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 0 0.0
    Remained Basically Unchanged 0 0.0
    Decreased Somewhat 1 50.0
    Decreased Considerably 1 50.0
    Total 2 100.0
  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 0 0.0
    Decreased Somewhat 0 0.0
    Decreased Considerably 1 100.0
    Total 1 100.0

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 2 10.0
    Remained Basically Unchanged 17 85.0
    Decreased Somewhat 1 5.0
    Decreased Considerably 0 0.0
    Total 20 100.0
  2. Interest rate
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 5.3
    Remained Basically Unchanged 17 89.5
    Decreased Somewhat 1 5.3
    Decreased Considerably 0 0.0
    Total 19 100.0
  3. Equity
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 3 17.6
    Remained Basically Unchanged 13 76.5
    Decreased Somewhat 1 5.9
    Decreased Considerably 0 0.0
    Total 17 100.0
  4. Credit referencing corporates
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 2 13.3
    Remained Basically Unchanged 12 80.0
    Decreased Somewhat 1 6.7
    Decreased Considerably 0 0.0
    Total 15 100.0
  5. Credit referencing securitized products including MBS and ABS
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 3 23.1
    Remained Basically Unchanged 9 69.2
    Decreased Somewhat 1 7.7
    Decreased Considerably 0 0.0
    Total 13 100.0
  6. Commodity
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 7.7
    Remained Basically Unchanged 11 84.6
    Decreased Somewhat 1 7.7
    Decreased Considerably 0 0.0
    Total 13 100.0
  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 8.3
    Remained Basically Unchanged 10 83.3
    Decreased Somewhat 1 8.3
    Decreased Considerably 0 0.0
    Total 12 100.0

Securities Financing

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

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

High-Grade Corporate Bonds

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

  1. Terms for average clients
    1. Maximum amount of funding
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.3
      Remained Basically Unchanged 17 89.5
      Eased Somewhat 1 5.3
      Eased Considerably 0 0.0
      Total 19 100.0
    2. Maximum maturity
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.3
      Remained Basically Unchanged 17 89.5
      Eased Somewhat 1 5.3
      Eased Considerably 0 0.0
      Total 19 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.3
      Remained Basically Unchanged 17 89.5
      Eased Somewhat 1 5.3
      Eased Considerably 0 0.0
      Total 19 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 2 10.5
      Remained Basically Unchanged 14 73.7
      Eased Somewhat 2 10.5
      Eased Considerably 1 5.3
      Total 19 100.0
    5. Other
        Number of Respondents Percent
      Tightened Considerably 0 Undefined
      Tightened Somewhat 0 Undefined
      Remained Basically Unchanged 0 Undefined
      Eased Somewhat 0 Undefined
      Eased Considerably 0 Undefined
      Total 0 Undefined
  2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
    1. Maximum amount of funding
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.3
      Remained Basically Unchanged 16 84.2
      Eased Somewhat 2 10.5
      Eased Considerably 0 0.0
      Total 19 100.0
    2. Maximum maturity
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.3
      Remained Basically Unchanged 17 89.5
      Eased Somewhat 1 5.3
      Eased Considerably 0 0.0
      Total 19 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.3
      Remained Basically Unchanged 16 84.2
      Eased Somewhat 2 10.5
      Eased Considerably 0 0.0
      Total 19 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 2 10.5
      Remained Basically Unchanged 14 73.7
      Eased Somewhat 2 10.5
      Eased Considerably 1 5.3
      Total 19 100.0
    5. Other
        Number of Respondents Percent
      Tightened Considerably 0 Undefined
      Tightened Somewhat 0 Undefined
      Remained Basically Unchanged 0 Undefined
      Eased Somewhat 0 Undefined
      Eased Considerably 0 Undefined
      Total 0 Undefined

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

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

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?

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

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

  Number of Respondents Percent
Improved Considerably 0 0.0
Improved Somewhat 1 4.8
Remained Basically Unchanged 18 85.7
Deteriorated Somewhat 1 4.8
Deteriorated Considerably 1 4.8
Total 21 100.0

High-Yield Corporate Bonds

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

  1. Terms for average clients
    1. Maximum amount of funding
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.0
      Remained Basically Unchanged 18 90.0
      Eased Somewhat 1 5.0
      Eased Considerably 0 0.0
      Total 20 100.0
    2. Maximum maturity
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.0
      Remained Basically Unchanged 18 90.0
      Eased Somewhat 1 5.0
      Eased Considerably 0 0.0
      Total 20 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.0
      Remained Basically Unchanged 17 85.0
      Eased Somewhat 2 10.0
      Eased Considerably 0 0.0
      Total 20 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 2 10.0
      Remained Basically Unchanged 15 75.0
      Eased Somewhat 2 10.0
      Eased Considerably 1 5.0
      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 17 85.0
      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 18 90.0
      Eased Somewhat 1 5.0
      Eased Considerably 0 0.0
      Total 20 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.0
      Remained Basically Unchanged 16 80.0
      Eased Somewhat 3 15.0
      Eased Considerably 0 0.0
      Total 20 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 2 10.0
      Remained Basically Unchanged 15 75.0
      Eased Somewhat 2 10.0
      Eased Considerably 1 5.0
      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?

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 5 25.0
Remained Basically Unchanged 15 75.0
Decreased Somewhat 0 0.0
Decreased Considerably 0 0.0
Total 20 100.0

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?

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 5 25.0
Remained Basically Unchanged 14 70.0
Decreased Somewhat 1 5.0
Decreased Considerably 0 0.0
Total 20 100.0

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

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

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 10.5
      Remained Basically Unchanged 16 84.2
      Eased Somewhat 1 5.3
      Eased Considerably 0 0.0
      Total 19 100.0
    2. Maximum maturity
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 2 10.5
      Remained Basically Unchanged 16 84.2
      Eased Somewhat 1 5.3
      Eased Considerably 0 0.0
      Total 19 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 2 10.5
      Remained Basically Unchanged 17 89.5
      Eased Somewhat 0 0.0
      Eased Considerably 0 0.0
      Total 19 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.3
      Remained Basically Unchanged 16 84.2
      Eased Somewhat 2 10.5
      Eased Considerably 0 0.0
      Total 19 100.0
    5. Other
        Number of Respondents Percent
      Tightened Considerably 0 Undefined
      Tightened Somewhat 0 Undefined
      Remained Basically Unchanged 0 Undefined
      Eased Somewhat 0 Undefined
      Eased Considerably 0 Undefined
      Total 0 Undefined
  2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
    1. Maximum amount of funding
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 2 10.5
      Remained Basically Unchanged 15 78.9
      Eased Somewhat 2 10.5
      Eased Considerably 0 0.0
      Total 19 100.0
    2. Maximum maturity
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 2 10.5
      Remained Basically Unchanged 16 84.2
      Eased Somewhat 1 5.3
      Eased Considerably 0 0.0
      Total 19 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 3 15.8
      Remained Basically Unchanged 16 84.2
      Eased Somewhat 0 0.0
      Eased Considerably 0 0.0
      Total 19 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 1 5.3
      Remained Basically Unchanged 17 89.5
      Eased Somewhat 1 5.3
      Eased Considerably 0 0.0
      Total 19 100.0
    5. Other
        Number of Respondents Percent
      Tightened Considerably 0 Undefined
      Tightened Somewhat 0 Undefined
      Remained Basically Unchanged 0 Undefined
      Eased Somewhat 0 Undefined
      Eased Considerably 0 Undefined
      Total 0 Undefined

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

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 3 15.8
Remained Basically Unchanged 14 73.7
Decreased Somewhat 2 10.5
Decreased Considerably 0 0.0
Total 19 100.0

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 20 95.2
      Eased Somewhat 1 4.8
      Eased Considerably 0 0.0
      Total 21 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 20 95.2
      Eased Somewhat 1 4.8
      Eased Considerably 0 0.0
      Total 21 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 1 4.8
      Tightened Somewhat 2 9.5
      Remained Basically Unchanged 14 66.7
      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 0 0.0
      Remained Basically Unchanged 19 90.5
      Eased Somewhat 2 9.5
      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 2 9.5
      Remained Basically Unchanged 14 66.7
      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

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

  Number of Respondents Percent
Increased Considerably 0 0.0
Increased Somewhat 1 4.8
Remained Basically Unchanged 15 71.4
Decreased Somewhat 4 19.0
Decreased Considerably 1 4.8
Total 21 100.0

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?

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

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

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

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 14 87.5
      Eased Somewhat 2 12.5
      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 13 81.3
      Eased Somewhat 3 18.8
      Eased Considerably 0 0.0
      Total 16 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 10 62.5
      Eased Somewhat 6 37.5
      Eased Considerably 0 0.0
      Total 16 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 9 56.3
      Eased Somewhat 7 43.8
      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 13 81.3
      Eased Somewhat 3 18.8
      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 13 81.3
      Eased Somewhat 3 18.8
      Eased Considerably 0 0.0
      Total 16 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 10 62.5
      Eased Somewhat 6 37.5
      Eased Considerably 0 0.0
      Total 16 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 9 56.3
      Eased Somewhat 7 43.8
      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

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

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

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?

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

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

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

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 13 92.9
      Eased Somewhat 1 7.1
      Eased Considerably 0 0.0
      Total 14 100.0
    2. Maximum maturity
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 12 85.7
      Eased Somewhat 2 14.3
      Eased Considerably 0 0.0
      Total 14 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 9 64.3
      Eased Somewhat 5 35.7
      Eased Considerably 0 0.0
      Total 14 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 8 57.1
      Eased Somewhat 6 42.9
      Eased Considerably 0 0.0
      Total 14 100.0
    5. Other
        Number of Respondents Percent
      Tightened Considerably 0 Undefined
      Tightened Somewhat 0 Undefined
      Remained Basically Unchanged 0 Undefined
      Eased Somewhat 0 Undefined
      Eased Considerably 0 Undefined
      Total 0 Undefined
  2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
    1. Maximum amount of funding
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 12 85.7
      Eased Somewhat 2 14.3
      Eased Considerably 0 0.0
      Total 14 100.0
    2. Maximum maturity
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 11 78.6
      Eased Somewhat 3 21.4
      Eased Considerably 0 0.0
      Total 14 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 8 57.1
      Eased Somewhat 6 42.9
      Eased Considerably 0 0.0
      Total 14 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 8 57.1
      Eased Somewhat 6 42.9
      Eased Considerably 0 0.0
      Total 14 100.0
    5. Other
        Number of Respondents Percent
      Tightened Considerably 0 Undefined
      Tightened Somewhat 0 Undefined
      Remained Basically Unchanged 0 Undefined
      Eased Somewhat 0 Undefined
      Eased Considerably 0 Undefined
      Total 0 Undefined

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

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

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?

  Number of Respondents Percent
Increased Considerably 1 6.7
Increased Somewhat 3 20.0
Remained Basically Unchanged 11 73.3
Decreased Somewhat 0 0.0
Decreased Considerably 0 0.0
Total 15 100.0

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

  Number of Respondents Percent
Improved Considerably 0 0.0
Improved Somewhat 3 20.0
Remained Basically Unchanged 12 80.0
Deteriorated Somewhat 0 0.0
Deteriorated Considerably 0 0.0
Total 15 100.0

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 13 92.9
      Eased Somewhat 1 7.1
      Eased Considerably 0 0.0
      Total 14 100.0
    2. Maximum maturity
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 12 85.7
      Eased Somewhat 2 14.3
      Eased Considerably 0 0.0
      Total 14 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 10 71.4
      Eased Somewhat 4 28.6
      Eased Considerably 0 0.0
      Total 14 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 9 64.3
      Eased Somewhat 5 35.7
      Eased Considerably 0 0.0
      Total 14 100.0
    5. Other
        Number of Respondents Percent
      Tightened Considerably 0 Undefined
      Tightened Somewhat 0 Undefined
      Remained Basically Unchanged 0 Undefined
      Eased Somewhat 0 Undefined
      Eased Considerably 0 Undefined
      Total 0 Undefined
  2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
    1. Maximum amount of funding
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 13 92.9
      Eased Somewhat 1 7.1
      Eased Considerably 0 0.0
      Total 14 100.0
    2. Maximum maturity
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 12 85.7
      Eased Somewhat 2 14.3
      Eased Considerably 0 0.0
      Total 14 100.0
    3. Haircuts
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 10 71.4
      Eased Somewhat 4 28.6
      Eased Considerably 0 0.0
      Total 14 100.0
    4. Collateral spreads over relevant benchmark (effective financing rates)
        Number of Respondents Percent
      Tightened Considerably 0 0.0
      Tightened Somewhat 0 0.0
      Remained Basically Unchanged 9 64.3
      Eased Somewhat 5 35.7
      Eased Considerably 0 0.0
      Total 14 100.0
    5. Other
        Number of Respondents Percent
      Tightened Considerably 0 Undefined
      Tightened Somewhat 0 Undefined
      Remained Basically Unchanged 0 Undefined
      Eased Somewhat 0 Undefined
      Eased Considerably 0 Undefined
      Total 0 Undefined

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

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

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?

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

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

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

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 19 100.0
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 19 100.0
  3. Equities
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 0 0.0
    Remained Basically Unchanged 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 6.3
    Remained Basically Unchanged 13 81.3
    Decreased Somewhat 2 12.5
    Decreased Considerably 0 0.0
    Total 16 100.0
  6. CMBS
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 6.3
    Remained Basically Unchanged 13 81.3
    Decreased Somewhat 2 12.5
    Decreased Considerably 0 0.0
    Total 16 100.0
  7. Consumer ABS
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 0 0.0
    Remained Basically Unchanged 13 86.7
    Decreased Somewhat 2 13.3
    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 1 4.8
    Remained Basically Unchanged 20 95.2
    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 1 5.3
    Remained Basically Unchanged 18 94.7
    Decreased Somewhat 0 0.0
    Decreased Considerably 0 0.0
    Total 19 100.0
  3. Equities
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 5.3
    Remained Basically Unchanged 18 94.7
    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 2 9.5
    Remained Basically Unchanged 18 85.7
    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 2 12.5
    Remained Basically Unchanged 12 75.0
    Decreased Somewhat 2 12.5
    Decreased Considerably 0 0.0
    Total 16 100.0
  6. CMBS
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 2 12.5
    Remained Basically Unchanged 12 75.0
    Decreased Somewhat 2 12.5
    Decreased Considerably 0 0.0
    Total 16 100.0
  7. Consumer ABS
      Number of Respondents Percent
    Increased Considerably 0 0.0
    Increased Somewhat 1 6.7
    Remained Basically Unchanged 12 80.0
    Decreased Somewhat 2 13.3
    Decreased Considerably 0 0.0
    Total 15 100.0

*The original data erroneously reported that zero respondents answered Remained Basically Unchanged for all components of question 79 in the September 2021 survey. This reporting error was corrected on March 24, 2022. Return to text

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 Risk-management practices in equity options markets1

In 2021, several stocks, as well as options linked to them, experienced large spikes in trading activity and extreme price volatility amid significant attention on social media. In some instances, volatility on individual stocks spilled over to the broader market, most notably in late January 2021. The following questions ask about how these events have affected your firm’s management of counterparty risk stemming from institutional clients trading exchange-listed equity options and over the counter (OTC) derivative and structured products linked to equities.

81. How many of your institutional clients actively trade exchange-listed options on individual stocks?

  Number of Respondents Percent
None 3 13.0
Small fraction 11 47.8
Moderate fraction 6 26.1
Large fraction 3 13.0
Total 23 100.0

82. How does your institution manage counterparty exposure to institutional clients who actively trade exchange-listed equity options on individual stocks?

Topic Most Prevalent
Number of Respondents		 2nd Most Prevalent
Number of Respondents		 3rd Most Prevalent
Number of Respondents		 4th Most Prevalent
Number of Respondents		 Total
A. Collection of initial and variation margins 10 5 0 1 16
B. Limits on potential future exposure (PFE) 4 6 4 2 16
C. Limits on stress-test profits and loss (P&L) 3 5 3 1 12
D. Limits on delta 0 0 0 0 0
E. Limits on gamma, vega 0 1 0 0 1
F. Limits on long-short gross notional exposure 0 0 3 0 3
G. Monitoring of clients' overall leverage and risk exposure 1 2 8 5 16
H. Other (please specify) 2 0 0 1 3
Total 20 19 18 10  

83. For each item selected in question 82, indicate how counterparty risk–management terms have changed since the beginning of 2021 for institutional clients who actively trade exchange-listed equity options on individual stocks.

  1. Collection of initial and variation margins
      Number of Respondents Percent
    Tightened Significantly 0 0.0
    Tightened Somewhat 7 43.8
    Remained Basically Unchanged 9 56.3
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 16 100.0
  2. Limits on potential future exposure (PFE)
      Number of Respondents Percent
    Tightened Significantly 0 0.0
    Tightened Somewhat 4 25.0
    Remained Basically Unchanged 12 75.0
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 16 100.0
  3. Limits on stress-test profits and loss (P&L)
      Number of Respondents Percent
    Tightened Significantly 1 8.3
    Tightened Somewhat 4 33.3
    Remained Basically Unchanged 7 58.3
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 12 100.0
  4. Limits on delta
      Number of Respondents Percent
    Tightened Significantly 0 Undefined
    Tightened Somewhat 0 Undefined
    Remained Basically Unchanged 0 Undefined
    Relaxed Somewhat 0 Undefined
    Relaxed Significantly 0 Undefined
    Total 0 Undefined
  5. Limits on gamma, vega
      Number of Respondents Percent
    Tightened Significantly 0 0.0
    Tightened Somewhat 1 100.0
    Remained Basically Unchanged 0 0.0
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 1 100.0
  6. Limits on long-short gross notional exposure
      Number of Respondents Percent
    Tightened Significantly 1 33.3
    Tightened Somewhat 1 33.3
    Remained Basically Unchanged 1 33.3
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 3 100.0
  7. Monitoring of clients' overall leverage and risk exposure
      Number of Respondents Percent
    Tightened Significantly 1 6.3
    Tightened Somewhat 7 43.8
    Remained Basically Unchanged 8 50.0
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 16 100.0
  8. Other
      Number of Respondents Percent
    Tightened Significantly 0 0.0
    Tightened Somewhat 1 33.3
    Remained Basically Unchanged 2 66.7
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 3 100.0

84. How many of your institutional clients use OTC derivative and structured products with exposure to individual stocks?

  Number of Respondents Percent
None 2 8.7
Small fraction 10 43.5
Moderate fraction 10 43.5
Large fraction 1 4.3
Total 23 100.0

85. Which OTC derivative and structured products with exposure to individual stocks are most heavily employed by your institutional clients?

  1. OTC equity options
      Number of Respondents
    Most Important 6
    2nd Most Important 12
    3rd Most Important 0
    Total 18
  2. Total return swaps
      Number of Respondents
    Most Important 13
    2nd Most Important 5
    3rd Most Important 2
    Total 20
  3. Auto-callable notes
      Number of Respondents
    Most Important 1
    2nd Most Important 1
    3rd Most Important 7
    Total 9
  4. Other (please specify)
      Number of Respondents
    Most Important 1
    2nd Most Important 0
    3rd Most Important 0
    Total 1

86. How does your institution manage counterparty exposure to institutional clients engaged in OTC derivative and structured products with exposure to individual stocks?

Topic Most Prevalent
Number of Respondents		 2nd Most Prevalent
Number of Respondents		 3rd Most Prevalent
Number of Respondents		 4th Most Prevalent
Number of Respondents		 Total
A. Collection of initial and variation margins 12 4 2 0 18
B. Limits on potential future exposure (PFE) 4 9 5 0 18
C. Limits on stress-test profits and loss (P&L) 1 4 4 2 11
D. Limits on delta 0 0 0 0 0
E. Limits on gamma, vega 1 0 0 1 2
F. Limits on long-short gross notional exposure 1 0 3 3 7
G. Monitoring of clients' overall leverage and risk exposure 1 3 4 6 14
H. Other (please specify) 1 0 2 1 4
Total 21 20 20 13  

87. For each item selected in question 86, indicate how counterparty risk management terms have changed since the beginning of 2021 for institutional clients engaged in OTC derivatives and structured products with exposure to individual stocks.

  1. Collection of initial and variation margins
      Number of Respondents Percent
    Tightened Significantly 1 5.6
    Tightened Somewhat 11 61.1
    Remained Basically Unchanged 6 33.3
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 18 100.0
  2. Limits on potential future exposure (PFE)
      Number of Respondents Percent
    Tightened Significantly 1 5.6
    Tightened Somewhat 8 44.4
    Remained Basically Unchanged 9 50.0
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 18 100.0
  3. Limits on stress-test profits and loss (P&L)
      Number of Respondents Percent
    Tightened Significantly 1 9.1
    Tightened Somewhat 5 45.5
    Remained Basically Unchanged 5 45.5
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 11 100.0
  4. Limits on delta
      Number of Respondents Percent
    Tightened Significantly 0 0.0
    Tightened Somewhat 0 0.0
    Remained Basically Unchanged 0 0.0
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 0 0.0
  5. Limits on gamma, vega
      Number of Respondents Percent
    Tightened Significantly 0 0.0
    Tightened Somewhat 1 50.0
    Remained Basically Unchanged 1 50.0
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 2 100.0
  6. Limits on long-short gross notional exposure
      Number of Respondents Percent
    Tightened Significantly 1 14.3
    Tightened Somewhat 3 42.9
    Remained Basically Unchanged 3 42.9
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 7 100.0
  7. Monitoring of clients' overall leverage and risk exposure
      Number of Respondents Percent
    Tightened Significantly 0 0.0
    Tightened Somewhat 7 50.0
    Remained Basically Unchanged 7 50.0
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 14 100.0
  8. Other (please specify)
      Number of Respondents Percent
    Tightened Significantly 0 0.0
    Tightened Somewhat 3 75.0
    Remained Basically Unchanged 1 25.0
    Relaxed Somewhat 0 0.0
    Relaxed Significantly 0 0.0
    Total 4 100.0

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

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Last Update: March 24, 2022