Board of Governors of the Federal Reserve System

Senior Credit Officer Opinion Survey, March 2022

Current Release RSS DDP

Summary

The March 2022 Senior Credit Officer Opinion Survey on Dealer Financing Terms collected qualitative information on changes in credit terms and conditions in securities financing and over-the-counter (OTC) derivatives markets. In addition to the core questions, the survey included a set of special questions about the potential effects of hypothetical future changes in the interest rate environment on the price and nonprice terms of financing offered by dealers and on the demand for funding from different types of clients. The special questions also asked about how different classes of clients are positioned for such changes. The 23 institutions participating in the survey account for almost all dealer financing of dollar-denominated securities to non-dealers and are the most active intermediaries in OTC derivatives markets. The survey was conducted between February 8, 2022, and February 22, 2022. The core questions asked about changes between December 2021 and February 2022.¹

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 all classes of counterparties (see the exhibit "Management of Concentrated Credit Exposures and Indicators of Supply of Credit").
• A small fraction of respondents indicated that resources and attention devoted to managing concentrated credit exposure to central counterparties and other financial utilities increased somewhat. More than one-half of dealers indicated that changes in central counterparty practices have affected, at least to a minimal extent, the credit terms they offer to clients on bilateral transactions that are not cleared.
• Approximately one-fourth of dealers, on net, reported that the volume of mark and collateral disputes increased over the past three months for hedge funds; about one-fifth reported an increase for dealers, mutual funds, exchange-traded funds, pension plans and endowments, and insurance companies; and a small fraction reported an increase for nonfinancial corporations. On net, dealers reported little change in the duration and persistence of mark and collateral disputes with all client types.

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

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

• Nonprice terms in master agreements for OTC derivatives remained largely unchanged.
• Approximately one-fourth of dealers reported an increase, on net, in the volume of mark and collateral disputes over the past three months for foreign exchange and equity derivatives, and a small fraction of respondents reported an increase, on net, for credit referencing corporates, credit referencing securitized products, and interest rate derivatives. The duration and persistence of mark and collateral disputes remained unchanged on net.

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

• For most asset classes, terms under which various types of securities are funded remained largely unchanged. About one-fifth of respondents, on net, indicated easing of collateral spreads for commercial mortgage-backed securities (CMBS) for both average and most-favored clients. For high-yield corporate bonds, a small fraction of respondents, on net, indicated tightening of collateral spreads for both average and most-favored clients.
• On net, about one-fifth of dealers reported increased demand to fund CMBS, and a similar net fraction reported increased demand for term funding of CMBS. On net, the demand for funding of other asset classes was largely unchanged (see the exhibit "Measures of Demand for Funding and Market Functioning").
• On net, liquidity and market functioning for all asset classes remained unchanged.
• The volume and duration of mark and collateral disputes remained unchanged, on net, across all collateral types.

Special Questions on the Effects of Hypothetical Changes in the Interest Rate Environment
(Questions 81-87)

U.S. Treasury yields varied significantly over the past year, and interest rate volatility rose in the last quarter of 2021. The special questions asked about the potential effects of hypothetical future changes in the interest rate environment on the price and nonprice terms of financing offered by dealers and on the demand for funding from different types of clients. The questions also asked about how different classes of clients are positioned for such changes. Two hypothetical scenarios of the Treasury yield curve changes were considered.

The upward parallel yield curve shift scenario assumed an upward parallel shift in the Treasury yield curve over the first half of 2022 with 2-year and 10-year Treasury yields increasing 50 basis points from the levels observed at the end of January 2022 by July 2022. With respect to this scenario, dealers reported the following:

• Approximately one-fifth of respondents, on net, indicated that both price and nonprice terms offered to clients would tighten somewhat under the scenario.³
• A net fraction of about one-fourth of respondents indicated that insurance companies as well as pension plans and endowments were more typically net long with respect to this scenario than net short.⁴ For other client types, the fraction of respondents reporting that more clients were net long than net short was similar to the fraction reporting the opposite.
• Nearly one-half of dealers, on net, expected somewhat increased demand for funding from global macro hedge funds under this scenario. Approximately two-fifths of respondents, on net, expected somewhat increased demand for funding from insurance companies and fixed income arbitrage hedge funds, and one-fourth expected somewhat increased demand for funding from trading real estate investment trusts and nonfinancial corporations.

The yield curve flattening scenario assumed a flattening of the Treasury yield curve over the first half of 2022 with 10-year Treasury securities remaining comparable with those observed at the end of January 2022, and with yields on 2-year Treasury securities increasing 50 basis points from the levels observed at the end of January 2022 by July 2022. With respect to this scenario, dealers reported the following:

• Approximately one-fifth of respondents, on net, indicated that both price and nonprice terms offered to clients would tighten somewhat under the scenario.
• Approximately one-fourth of respondents, on net, reported that nonfinancial corporations were more typically net long with respect to this scenario than net short. For other client types, the fraction of respondents reporting that more clients were net long than net short was similar to the fraction reporting the opposite.
• A small net fraction of dealers expected somewhat decreased demand for funding from fixed income arbitrage hedge funds under the scenario. On net, dealers expected basically unchanged demand for funding from other types of clients.

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

1. 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. In the survey, tightening and easing of price terms were defined as widening and tightening of spreads offered for clients above a dealer's cost of funding, respectively. Return to text

4. In the survey special questions, "net long" was defined to mean that the clients' positions would be expected to increase in value, on net, under the given scenario, and "net short" was defined to mean that the clients' positions would be expected to decrease in value on net. Return to text

 

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

Accessible version

 

Exhibit 2: Use of Financial Leverage

Accessible version

Exhibit 3: Measures of Demand for Funding and Market Functioning

Accessible version

Results of the March 2022 Senior Credit Officer Opinion Survey on Dealer Financing Terms

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

 

Counterparty Types

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

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

Dealers and Other Financial Intermediaries

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

Central Counterparties and Other Financial Utilities

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

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

Hedge Funds

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

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? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

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

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

Trading Real Estate Investment Trusts

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

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? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

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

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

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

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? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other (please specify)

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

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?

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	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	22	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	22	100.0

2. ETFs

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

3. Pension plans

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

4. Endowments

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

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

Insurance Companies

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

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? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

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

Investment Advisers to Separately Managed Accounts

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? (Please indicate tightening if terms have become more stringent-for example, if financing rates have risen.)

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? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other (please specify)

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

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?

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

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

Nonfinancial Corporations

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

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? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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	Percentage
   Increased Considerably	3	13.0
   Increased Somewhat	2	8.7
   Remained Basically Unchanged	18	78.3
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	23	100.0

2. Hedge funds

   	Number of Respondents	Percentage
   Increased Considerably	2	8.7
   Increased Somewhat	4	17.4
   Remained Basically Unchanged	17	73.9
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	23	100.0

3. Trading REITs

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

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

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

5. Insurance companies

   	Number of Respondents	Percentage
   Increased Considerably	2	9.5
   Increased Somewhat	2	9.5
   Remained Basically Unchanged	17	81.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	100.0

6. Separately managed accounts established with investment advisers

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

7. Nonfinancial corporations

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

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

1. Dealers and other financial intermediaries

   	Number of Respondents	Percentage
   Increased Considerably	1	4.3
   Increased Somewhat	0	0.0
   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	Percentage
   Increased Considerably	1	4.3
   Increased Somewhat	2	8.7
   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	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	16	94.1
   Decreased Somewhat	1	5.9
   Decreased Considerably	0	0.0
   Total	17	100.0

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

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	1	4.3
   Remained Basically Unchanged	19	82.6
   Decreased Somewhat	2	8.7
   Decreased Considerably	1	4.3
   Total	23	100.0

5. Insurance companies

   	Number of Respondents	Percentage
   Increased Considerably	1	4.8
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	81.0
   Decreased Somewhat	2	9.5
   Decreased Considerably	1	4.8
   Total	21	100.0

6. Separately managed accounts established with investment advisers

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

7. Nonfinancial corporations

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

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 derivative 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	Percentage
   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	Percentage
   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	Percentage
   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	Percentage
   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	Percentage
   Tightened Considerably	0	0.0
   Tightened Somewhat	1	5.3
   Remained Basically Unchanged	18	94.7
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	19	100.0

6. Other (please specify)

   	Number of Respondents	Percentage
   Tightened Considerably	0	0.0
   Tightened Somewhat	0	0.0
   Remained Basically Unchanged	0	0.0
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	0	0.0

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	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	21	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	21	100.0

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

   	Number of Respondents	Percentage
   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

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	Percentage
   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	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	2	10.0
   Remained Basically Unchanged	18	90.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	100.0

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

1. Initial margin requirements for average clients

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

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

   	Number of Respondents	Percentage
   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

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	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	15	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	15	100.0

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

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	15	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	15	100.0

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	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	12	92.3
   Decreased Somewhat	1	7.7
   Decreased Considerably	0	0.0
   Total	13	100.0

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

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

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percentage
   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	Percentage
   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

48. Over the past three months, how have initial margin requirements set by your institution with respect to TRS referencing non-securities (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	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

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

   	Number of Respondents	Percentage
   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

Nonstandard Collateral

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

Mark and Collateral Disputes

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

1. FX

   	Number of Respondents	Percentage
   Increased Considerably	1	5.3
   Increased Somewhat	4	21.1
   Remained Basically Unchanged	14	73.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	100.0

2. Interest rate

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

3. Equity

   	Number of Respondents	Percentage
   Increased Considerably	2	11.8
   Increased Somewhat	3	17.6
   Remained Basically Unchanged	12	70.6
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

4. Credit referencing corporates

   	Number of Respondents	Percentage
   Increased Considerably	1	7.1
   Increased Somewhat	1	7.1
   Remained Basically Unchanged	12	85.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	14	100.0

5. Credit referencing securitized products including MBS and ABS

   	Number of Respondents	Percentage
   Increased Considerably	1	7.7
   Increased Somewhat	1	7.7
   Remained Basically Unchanged	11	84.6
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	13	100.0

6. Commodity

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

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

   	Number of Respondents	Percentage
   Increased Considerably	1	7.7
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	12	92.3
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	13	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	Percentage
   Increased Considerably	1	5.3
   Increased Somewhat	1	5.3
   Remained Basically Unchanged	16	84.2
   Decreased Somewhat	1	5.3
   Decreased Considerably	0	0.0
   Total	19	100.0

2. Interest rate

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

3. Equity

   	Number of Respondents	Percentage
   Increased Considerably	2	11.8
   Increased Somewhat	1	5.9
   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	Percentage
   Increased Considerably	1	7.1
   Increased Somewhat	1	7.1
   Remained Basically Unchanged	12	85.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	14	100.0

5. Credit referencing securitized products including MBS and ABS

   	Number of Respondents	Percentage
   Increased Considerably	1	7.7
   Increased Somewhat	1	7.7
   Remained Basically Unchanged	11	84.6
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	13	100.0

6. Commodity

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

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

   	Number of Respondents	Percentage
   Increased Considerably	1	7.7
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	12	92.3
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	13	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	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	4.8
      Remained Basically Unchanged	20	95.2
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	21	100.0

   2. Maximum maturity

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

   3. Haircuts

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

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

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

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

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

   3. Haircuts

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

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

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

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

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

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

Funding of 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	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	5.3
      Remained Basically Unchanged	18	94.7
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	19	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      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	Percentage
      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

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

      	Number of Respondents	Percentage
      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	Percentage
      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

   3. Haircuts

      	Number of Respondents	Percentage
      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	Percentage
      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

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

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

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

Equities (Including through Stock Loan)

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

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

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

   2. Maximum maturity

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	10.0
      Remained Basically Unchanged	18	90.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	20	100.0

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	10.0
      Remained Basically Unchanged	18	90.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	20	100.0

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

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

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

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

   2. Maximum maturity

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	10.0
      Remained Basically Unchanged	18	90.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	20	100.0

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	10.0
      Remained Basically Unchanged	18	90.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	20	100.0

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

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

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

Agency Residential Mortgage-Backed Securities

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

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

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

   2. Maximum maturity

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

   3. Haircuts

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

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

      	Number of Respondents	Percentage
      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

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

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

   2. Maximum maturity

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

   3. Haircuts

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

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

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

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

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

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

Non-agency Residential Mortgage-Backed Securities

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

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

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

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      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

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

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	13	86.7
      Eased Somewhat	2	13.3
      Eased Considerably	0	0.0
      Total	15	100.0

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

      	Number of Respondents	Percentage
      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	Percentage
      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

   3. Haircuts

      	Number of Respondents	Percentage
      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

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

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	13	86.7
      Eased Somewhat	2	13.3
      Eased Considerably	0	0.0
      Total	15	100.0

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

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

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

Commercial Mortgage-Backed Securities

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

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

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

   2. Maximum maturity

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	16	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	16	100.0

   3. Haircuts

      	Number of Respondents	Percentage
      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

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

      	Number of Respondents	Percentage
      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

   5. Other (please specify)

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

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

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	16	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	16	100.0

   2. Maximum maturity

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	16	100.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	16	100.0

   3. Haircuts

      	Number of Respondents	Percentage
      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

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

      	Number of Respondents	Percentage
      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

   5. Other (please specify)

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

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

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

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

Consumer Asset-Backed Securities

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

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

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

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      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

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

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	12	92.3
      Eased Somewhat	1	7.7
      Eased Considerably	0	0.0
      Total	13	100.0

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

      	Number of Respondents	Percentage
      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	Percentage
      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

   3. Haircuts

      	Number of Respondents	Percentage
      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

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

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	12	92.3
      Eased Somewhat	1	7.7
      Eased Considerably	0	0.0
      Total	13	100.0

   5. Other (please specify)

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	0	0.0
      Remained Basically Unchanged	0	0.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	0	0.0

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

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

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

Mark and Collateral Disputes

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

1. High-grade corporate bonds

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

4. Agency RMBS

   	Number of Respondents	Percentage
   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

5. Non-agency RMBS

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

6. CMBS

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

7. Consumer ABS

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

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	Percentage
   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

2. High-yield corporate bonds

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

3. Equities

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

4. Agency RMBS

   	Number of Respondents	Percentage
   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

5. Non-agency RMBS

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

6. CMBS

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

7. Consumer ABS

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

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.

80. Are there any other recent developments involving conditions and practices in any of the markets addressed in this survey or applicable to the counterparty types listed in this survey that you regard as particularly significant and which were not fully addressed in the prior questions? Your response will help us stay abreast of emerging issues and in choosing questions for future surveys. There is no need to reply to this question if there is nothing you wish to add.

Special Questions

U.S. Treasury yields varied significantly over the past year, and interest rate volatility rose in the last quarter of 2021, amid increasing uncertainty over the outlook for the economy and especially inflation.1 The following questions explore the potential effects of hypothetical future changes in the interest rate environment on the price and nonprice terms of financing provided by your institution as well as how different classes of clients are positioned for such changes.

We consider two hypothetical scenarios. In each case, we specify a change in the Treasury yield curve. We recognize that the effect of a scenario may depend on the underlying macroeconomic and market conditions, and so we ask that you provide responses based on the conditions you judge most plausible given each yield curve scenario.

Upward Parallel Yield Curve Shift Scenario (Questions 81-84): Consider an upward parallel shift in the Treasury yield curve over the first half of 2022. Assume the 2-year and 10-year Treasury yields increase 50 basis points from the levels observed at the end of January 2022 by July 2022.

Yield Curve Flattening Scenario (Questions 85-88): Consider a flattening of the Treasury yield curve in the first half of 2022. Assume yields on 10-year Treasury securities remain comparable with those observed at the end of January 2022, while yields on 2-year Treasury securities increase 50 basis points from the levels observed at the end of January 2022 by July 2022.

81. Considering the entire range of transactions facilitated by your institution for clients, how would the spreads above your cost of funding offered to clients on securities financing and OTC derivatives transactions likely change in response to the upward parallel yield curve shift scenario?

82. Considering the entire range of transactions facilitated by your institution for clients, how would your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions, or other documentation features) offered to clients likely change in response to the upward parallel yield curve shift scenario?

83. On net, how are your client accounts of each of the following types positioned for the upward parallel yield curve shift scenario? In this question, "net long" means that your clients' positions would be expected to increase in value, on net, and "net short" means your clients' positions would be expected to decrease in value on net. Please use the following scale: 1 = most clients are net long, 2 = more clients are net long than net short, 3 = roughly equal proportions of clients are net long and net short, 4 = more clients are net short than net long, 5 = most clients are net short, 6 = most clients do not have net directional exposure to the upward parallel yield curve shift scenario, or n/a = not applicable (that is, your institution has few or no clients of the specified type).

1. Fixed income arbitrage hedge funds

   	Number of Respondents	Percentage
   Most Clients Are Net Long	0	0.0
   More Clients Are Net Long Than Net Short	4	25.0
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	4	25.0
   More Clients Are Net Short Than Net Long	4	25.0
   Most Clients Are Net Short	0	0.0
   Most clients do not have net directional exposure to the upward parallel yield curve shift scenario	4	25.0
   Total	16	100.0

2. Global macro hedge funds

   	Number of Respondents	Percentage
   Most Clients Are Net Long	4	22.2
   More Clients Are Net Long Than Net Short	3	16.7
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	3	16.7
   More Clients Are Net Short Than Net Long	5	27.8
   Most Clients Are Net Short	1	5.6
   Most clients do not have net directional exposure to the upward parallel yield curve shift scenario	2	11.1
   Total	18	100.0

3. Trading REITs

   	Number of Respondents	Percentage
   Most Clients Are Net Long	1	6.3
   More Clients Are Net Long Than Net Short	3	18.8
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	6	37.5
   More Clients Are Net Short Than Net Long	2	12.5
   Most Clients Are Net Short	2	12.5
   Most clients do not have net directional exposure to the upward parallel yield curve shift scenario	2	12.5
   Total	16	100.0

4. Pension plans and endowments

   	Number of Respondents	Percentage
   Most Clients Are Net Long	4	23.5
   More Clients Are Net Long Than Net Short	4	23.5
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	4	23.5
   More Clients Are Net Short Than Net Long	3	17.6
   Most Clients Are Net Short	1	5.9
   Most clients do not have net directional exposure to the upward parallel yield curve shift scenario	1	5.9
   Total	17	100.0

5. Insurance companies

   	Number of Respondents	Percentage
   Most Clients Are Net Long	2	13.3
   More Clients Are Net Long Than Net Short	5	33.3
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	5	33.3
   More Clients Are Net Short Than Net Long	2	13.3
   Most Clients Are Net Short	1	6.7
   Most clients do not have net directional exposure to the upward parallel yield curve shift scenario	0	0.0
   Total	15	100.0

6. Nonfinancial corporations

   	Number of Respondents	Percentage
   Most Clients Are Net Long	1	6.7
   More Clients Are Net Long Than Net Short	2	13.3
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	8	53.3
   More Clients Are Net Short Than Net Long	1	6.7
   Most Clients Are Net Short	1	6.7
   Most clients do not have net directional exposure to the upward parallel yield curve shift scenario	2	13.3
   Total	15	100.0

84. Under the upward parallel yield curve shift scenario, how do you expect the demand for funding from each of the following types of clients to change? Please use the following scale: 1 = increase considerably, 2 = increase somewhat, 3 = remain basically unchanged, 4 = decrease somewhat, 5 = decrease considerably, or n/a = not applicable (that is, your institution has few or no clients of the specified type).

1. Fixed income arbitrage hedge funds

   	Number of Respondents	Percentage
   Increase somewhat	7	38.9
   Increase considerably	1	5.6
   Remain Basically Unchanged	9	50.0
   Decrease somewhat	1	5.6
   Decrease considerably	0	0.0
   Total	18	100.0

2. Global macro hedge funds

   	Number of Respondents	Percentage
   Increase somewhat	8	42.1
   Increase considerably	1	5.3
   Remain Basically Unchanged	10	52.6
   Decrease somewhat	0	0.0
   Decrease considerably	0	0.0
   Total	19	100.0

3. Trading REITs

   	Number of Respondents	Percentage
   Increase somewhat	4	25.0
   Increase considerably	1	6.3
   Remain Basically Unchanged	10	62.5
   Decrease somewhat	1	6.3
   Decrease considerably	0	0.0
   Total	16	100.0

4. Pension plans and endowments

   	Number of Respondents	Percentage
   Increase somewhat	2	11.8
   Increase considerably	0	0.0
   Remain Basically Unchanged	15	88.2
   Decrease somewhat	0	0.0
   Decrease considerably	0	0.0
   Total	17	100.0

5. Insurance companies

   	Number of Respondents	Percentage
   Increase somewhat	7	41.2
   Increase considerably	0	0.0
   Remain Basically Unchanged	10	58.8
   Decrease somewhat	0	0.0
   Decrease considerably	0	0.0
   Total	17	100.0

6. Nonfinancial corporations

   	Number of Respondents	Percentage
   Increase somewhat	3	18.8
   Increase considerably	2	12.5
   Remain Basically Unchanged	10	62.5
   Decrease somewhat	1	6.3
   Decrease considerably	0	0.0
   Total	16	100.0

85. Considering the entire range of transactions facilitated by your institution for clients, how would the spreads above your cost of funding offered to clients on securities financing and OTC derivatives transactions likely change in response to the yield curve flattening scenario?

86. Considering the entire range of transactions facilitated by your institution for clients, how would your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions, or other documentation features) offered to clients likely change in response to the yield curve flattening scenario?

87. On net, how are your client accounts of each of the following types positioned for the yield curve flattening scenario? In this question, "net long" means that your clients' positions would be expected to increase in value, on net, and "net short" means your clients' positions would be expected to decrease in value on net. Please use the following scale: 1 = most clients are net long, 2 = more clients are net long than net short, 3 = roughly equal proportions of clients are net long and net short, 4 = more clients are net short than net long, 5 = most clients are net short, 6 = most clients do not have net directional exposure to the yield curve flattening scenario, or n/a = not applicable (that is, your institution has few or no clients of the specified type).

1. Fixed income arbitrage hedge funds

   	Number of Respondents	Percentage
   Most Clients Are Net Long	1	6.3
   More Clients Are Net Long Than Net Short	3	18.8
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	5	31.3
   More Clients Are Net Short Than Net Long	3	18.8
   Most Clients Are Net Short	0	0.0
   Most clients do not have net directional exposure to the yield curve flattening scenario	4	25.0
   Total	16	100.0

2. Global macro hedge funds

   	Number of Respondents	Percentage
   Most Clients Are Net Long	3	16.7
   More Clients Are Net Long Than Net Short	4	22.2
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	4	22.2
   More Clients Are Net Short Than Net Long	5	27.8
   Most Clients Are Net Short	0	0.0
   Most clients do not have net directional exposure to the yield curve flattening scenario	2	11.1
   Total	18	100.0

3. Trading REITs

   	Number of Respondents	Percentage
   Most Clients Are Net Long	1	6.3
   More Clients Are Net Long Than Net Short	4	25.0
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	4	25.0
   More Clients Are Net Short Than Net Long	5	31.3
   Most Clients Are Net Short	0	0.0
   Most clients do not have net directional exposure to the yield curve flattening scenario	2	12.5
   Total	16	100.0

4. Pension plans and endowments

   	Number of Respondents	Percentage
   Most Clients Are Net Long	2	11.8
   More Clients Are Net Long Than Net Short	4	23.5
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	5	29.4
   More Clients Are Net Short Than Net Long	2	11.8
   Most Clients Are Net Short	2	11.8
   Most clients do not have net directional exposure to the yield curve flattening scenario	2	11.8
   Total	17	100.0

5. Insurance companies

   	Number of Respondents	Percentage
   Most Clients Are Net Long	1	6.7
   More Clients Are Net Long Than Net Short	4	26.7
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	4	26.7
   More Clients Are Net Short Than Net Long	3	20.0
   Most Clients Are Net Short	3	20.0
   Most clients do not have net directional exposure to the yield curve flattening scenario	0	0.0
   Total	15	100.0

6. Nonfinancial corporations

   	Number of Respondents	Percentage
   Most Clients Are Net Long	2	13.3
   More Clients Are Net Long Than Net Short	3	20.0
   Roughly Equal Proportions Of Clients Are Net Long And Net Short	8	53.3
   More Clients Are Net Short Than Net Long	1	6.7
   Most Clients Are Net Short	0	0.0
   Most clients do not have net directional exposure to the yield curve flattening scenario	1	6.7
   Total	15	100.0

88. Under the yield curve flattening scenario, how do you expect the demand for funding from each of the following types of clients to change? Please use the following scale: 1 = increase considerably, 2 = increase somewhat, 3 = remain basically unchanged, 4 = decrease somewhat, 5 = decrease considerably, or n/a = not applicable (that is, your institution has few or no clients of the specified type).

1. Fixed income arbitrage hedge funds

   	Number of Respondents	Percentage
   Increase somewhat	4	22.2
   Increase considerably	0	0.0
   Remain Basically Unchanged	7	38.9
   Decrease somewhat	6	33.3
   Decrease considerably	1	5.6
   Total	18	100.0

2. Global macro hedge funds

   	Number of Respondents	Percentage
   Increase somewhat	5	26.3
   Increase considerably	0	0.0
   Remain Basically Unchanged	10	52.6
   Decrease somewhat	3	15.8
   Decrease considerably	1	5.3
   Total	19	100.0

3. Trading REITs

   	Number of Respondents	Percentage
   Increase somewhat	3	17.6
   Increase considerably	0	0.0
   Remain Basically Unchanged	9	52.9
   Decrease somewhat	4	23.5
   Decrease considerably	1	5.9
   Total	17	100.0

4. Pension plans and endowments

   	Number of Respondents	Percentage
   Increase somewhat	1	5.9
   Increase considerably	0	0.0
   Remain Basically Unchanged	15	88.2
   Decrease somewhat	1	5.9
   Decrease considerably	0	0.0
   Total	17	100.0

5. Insurance companies

   	Number of Respondents	Percentage
   Increase somewhat	4	23.5
   Increase considerably	0	0.0
   Remain Basically Unchanged	11	64.7
   Decrease somewhat	2	11.8
   Decrease considerably	0	0.0
   Total	17	100.0

6. Nonfinancial corporations

   	Number of Respondents	Percentage
   Increase somewhat	2	12.5
   Increase considerably	2	12.5
   Remain Basically Unchanged	10	62.5
   Decrease somewhat	2	12.5
   Decrease considerably	0	0.0
   Total	16	100.0