Board of Governors of the Federal Reserve System

Senior Credit Officer Opinion Survey, December 2022

Current Release RSS DDP

Summary

The December 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 provision of funding collateralized by agency residential mortgage-backed securities (RMBS) to trading real estate investment trust (REIT) clients and management of the associated counterparty risk. The 20 institutions participating in the survey account for the vast majority of dealer financing of dollar-denominated securities to non-dealers and are the most active intermediaries in OTC derivatives markets. The survey was conducted between November 8, 2022, and November 21, 2022. The core questions asked about changes between mid-September 2022 and mid-November 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:

• Roughly two-fifths of dealers, on net, reported that price terms on securities financing transactions and OTC derivatives offered to trading REITs have tightened over the past three months, and one-third reported tightening of price terms to nonfinancial corporations (see the exhibit “Management of Concentrated Credit Exposures and Indicators of Supply of Credit”). In addition, about one-fourth of dealers indicated a tightening of price terms to hedge funds, mutual funds, exchange-traded funds, pension plans, endowments, and investment advisors to separately managed accounts.
• About one-third of dealers reported that nonprice terms, such as haircuts, maximum maturity, or covenants, tightened somewhat for hedge funds over the past three months. About one-fourth of dealers indicated tightening of nonprice terms for trading REITs, and one-fifth indicated tightening for nonfinancial corporations. Nonprice terms remained basically unchanged for other client types.
• For both trading REITs and nonfinancial corporations, dealers cited deterioration in current or expected financial strength of counterparties as the most important reason for the tightening of price and nonprice terms. For hedge funds, mutual funds, exchange-traded funds, pension plans, endowments, and investment advisors to separately managed accounts, worsening in general market liquidity and functioning was cited as the main reason for the tightening.
• Respondents indicated that resources and attention devoted to managing concentrated credit exposure to dealers and central counterparties remained basically unchanged. Over one-half of respondents indicated that changes in central counterparty practices have affected, to at least a small degree, the credit terms they offer to clients on bilateral transactions that are not cleared.

With respect to clients’ use of financial leverage, one-fourth of dealers indicated decreased use of leverage by hedge funds, continuing a trend of decreasing hedge fund leverage observed in several recent surveys (see the exhibit “Use of Financial Leverage”). For other client types, respondents indicated that the use of leverage was basically unchanged.

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

• About one-fourth of dealers reported an increase in the volume of mark and collateral disputes relating to OTC foreign exchange derivatives. A smaller fraction of dealers reported an increase in the duration and persistence of mark and collateral disputes relating to OTC interest rate derivatives. The volume, duration, and persistence of mark and collateral disputes relating to other types of OTC derivatives remained largely unchanged.
• Nonprice terms in master agreements for OTC derivatives remained largely unchanged.
• One-fifth of respondents reported an increase in the posting of nonstandard collateral as permitted under relevant agreements.

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

• One-half of respondents reported a tightening of funding terms for average clients with respect to collateral spreads for high-yield corporate bonds, and a similar fraction reported tightening with respect to collateral spreads and haircuts for non-agency RMBS. At least one-fifth of dealers reported a tightening with respect to collateral spreads and haircuts for average clients across all collateral classes except equities.
• Roughly one-fourth of dealers, on net, indicated tightening of funding terms for average clients with respect to the maximum amount and maturity of funding for equities and non-agency RMBS.
• One-third of respondents reported an increase in demand for funding of non-agency RMBS, and roughly one-fifth reported the same for commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) (see the exhibit "Measures of Demand for Funding and Market Functioning"). Additionally, one-fourth reported increased demand for term funding of non-agency RMBS, while a smaller fraction reported increased demand for term funding of agency RMBS. On net, about one-fourth of dealers indicated decreased demand for funding of equities.
• Roughly one-fourth of dealers indicated that liquidity and market functioning deteriorated over the past three months for high-yield corporate bonds, while about one-fifth reported a deterioration for CMBS and ABS. On net, dealers reported that liquidity and market functioning for agency and non-agency RMBS remained basically unchanged.

Special Questions on Agency Mortgage-Backed Securities Funding and Trading Real Estate Investment Trust Clients
(Questions 81–92)

In the special questions, dealers were asked about their provision of funding collateralized by agency RMBS to trading REIT clients and their management of the associated counterparty risk. Four-fifths of dealers indicated that they provide funding collateralized by agency RMBS to trading REIT clients.

With regard to the provision of funding collateralized by agency RMBS to trading REIT clients, these respondents indicated the following changes over the past three months:

• About two-fifths of dealers reported having tightened collateral spreads on funding with a maturity between 0 and 30 days, and one-half reported having tightened collateral spreads on funding with a maturity greater than 30 days. Smaller net fractions reported tightening with respect to the maximum amount of funding for both shorter- and longer-term funding.
• Roughly two-thirds of dealers reported that the weighted average maturity (WAM) of funding was between 31 and 90 days, while the rest reported it was between 2 and 30 days. On net, dealers reported that the WAM remained basically unchanged over the past three months.
• A small fraction of respondents indicated that the maximum amount of such funding offered had decreased somewhat, and a similar fraction indicated that they anticipate the maximum amount offered will decrease further over the next three months. On net, respondents reported that the amount of funding provided and the demand for funding remained basically unchanged.

With regard to managing counterparty risk associated with the provision of funding collateralized by agency RMBS to trading REIT clients over the past three months, respondents indicated the following:

• Roughly two-thirds of respondents indicated that collection of initial margin or haircuts was the most important method for managing counterparty risk. A small fraction reported that limits on counterparty borrowing were most important, while over one-half reported that the limits were the second or third most important. About two-thirds of respondents indicated that the collection of variation margin was the second or third most important method.
• Almost two-thirds of respondents reported that at least 50 percent of their trading REIT clients were subject to a collateral or margin call during the past three months. Of the dealers who reported using liquidity covenants for this funding, over one-fourth reported that 1 to 9 percent of their trading REIT clients were subject to a liquidity covenant violation notice. Most dealers reported that none of their clients received leverage or net worth covenant violation notices.

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

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

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

 

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

   4. Higher internal treasury charges for funding

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

   6. Worsening in general market liquidity and functioning

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

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	4	80.0
      2nd Most Important	1	20.0
      3rd Most Important	0	0.0
      Total	5	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	1	100.0
      2nd Most Important	0	0.0
      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	1	100.0
      3rd Most Important	0	0.0
      Total	1	100.0

   6. Worsening in general market liquidity and functioning

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

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	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	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	1	100.0
      3rd Most Important	0	0.0
      Total	1	100.0

   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percentage
      Most Important	4	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	4	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	1	100.0
      Total	1	100.0

   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	17	89.5
   Decreased Somewhat	2	10.5
   Decreased Considerably	0	0.0
   Total	19	100.0

2. ETFs

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	1	5.6
   Decreased Considerably	0	0.0
   Total	18	100.0

3. Pension plans

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

4. Endowments

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	1	5.6
   Decreased Considerably	0	0.0
   Total	18	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	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	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

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	1	100.0
      3rd Most Important	0	0.0
      Total	1	100.0

   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percentage
      Most Important	4	100.0
      2nd Most Important	0	0.0
      3rd Most Important	0	0.0
      Total	4	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	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	4	80.0
      2nd Most Important	0	0.0
      3rd Most Important	1	20.0
      Total	5	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	2	100.0
      3rd Most Important	0	0.0
      Total	2	100.0

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

      	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

   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

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	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. Hedge funds

   	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

3. Trading REITs

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

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

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

5. Insurance companies

   	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

6. Separately managed accounts established with investment advisers

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

7. Nonfinancial corporations

   	Number of Respondents	Percentage
   Increased Considerably	1	5.6
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	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	0	0.0
   Increased Somewhat	3	15.0
   Remained Basically Unchanged	17	85.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	20	100.0

2. Hedge funds

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

3. Trading REITs

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.6
   Remained Basically Unchanged	17	94.4
   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	0	0.0
   Increased Somewhat	2	10.5
   Remained Basically Unchanged	17	89.5
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	100.0

5. Insurance companies

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

6. Separately managed accounts established with investment advisers

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	2	11.8
   Remained Basically Unchanged	15	88.2
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

7. Nonfinancial corporations

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

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	15	100.0
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	15	100.0

2. Acceptable collateral

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

4. Triggers and covenants

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

5. Other documentation features (including cure periods and cross-default provisions)

   	Number of Respondents	Percentage
   Tightened Considerably	0	0.0
   Tightened Somewhat	0	0.0
   Remained Basically Unchanged	15	100.0
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	15	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	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	5.3
   Remained Basically Unchanged	18	94.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	19	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	1	5.6
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	100.0

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

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

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	5.6
   Remained Basically Unchanged	16	88.9
   Decreased Somewhat	1	5.6
   Decreased Considerably	0	0.0
   Total	18	100.0

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

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	1	5.6
   Decreased Considerably	0	0.0
   Total	18	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	2	12.5
   Remained Basically Unchanged	13	81.3
   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	0	0.0
   Remained Basically Unchanged	15	93.8
   Decreased Somewhat	1	6.3
   Decreased Considerably	0	0.0
   Total	16	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	1	8.3
   Remained Basically Unchanged	11	91.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	12	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	100.0
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	12	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	6.7
   Remained Basically Unchanged	13	86.7
   Decreased Somewhat	1	6.7
   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	1	6.7
   Remained Basically Unchanged	13	86.7
   Decreased Somewhat	1	6.7
   Decreased Considerably	0	0.0
   Total	15	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	1	6.3
   Remained Basically Unchanged	15	93.8
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	16	100.0

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

   	Number of Respondents	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

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	0	0.0
   Increased Somewhat	4	23.5
   Remained Basically Unchanged	13	76.5
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

2. Interest rate

   	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

3. Equity

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

4. Credit referencing corporates

   	Number of Respondents	Percentage
   Increased Considerably	1	7.1
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	13	92.9
   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	2	14.3
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	12	85.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	14	100.0

6. Commodity

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

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	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	13	100.0
   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	0	0.0
   Increased Somewhat	2	11.8
   Remained Basically Unchanged	15	88.2
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

2. Interest rate

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	3	17.6
   Remained Basically Unchanged	14	82.4
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	17	100.0

3. Equity

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

4. Credit referencing corporates

   	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

5. Credit referencing securitized products including MBS and ABS

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

6. Commodity

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	1	6.7
   Remained Basically Unchanged	13	86.7
   Decreased Somewhat	0	0.0
   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	0	0.0
   Increased Somewhat	0	0.0
   Remained Basically Unchanged	13	100.0
   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	3	16.7
      Remained Basically Unchanged	15	83.3
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	5	27.8
      Remained Basically Unchanged	13	72.2
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	7	38.9
      Remained Basically Unchanged	11	61.1
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	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	5.6
      Remained Basically Unchanged	17	94.4
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	4	22.2
      Remained Basically Unchanged	14	77.8
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	6	33.3
      Remained Basically Unchanged	12	66.7
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	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	3	16.7
      Remained Basically Unchanged	15	83.3
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	6	33.3
      Remained Basically Unchanged	12	66.7
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	1	5.6
      Tightened Somewhat	8	44.4
      Remained Basically Unchanged	9	50.0
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	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	5.6
      Remained Basically Unchanged	17	94.4
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	5	27.8
      Remained Basically Unchanged	13	72.2
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	1	5.6
      Tightened Somewhat	6	33.3
      Remained Basically Unchanged	11	61.1
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	18	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	4	23.5
      Remained Basically Unchanged	13	76.5
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	100.0

   2. Maximum maturity

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	4	23.5
      Remained Basically Unchanged	13	76.5
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	100.0

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	3	17.6
      Remained Basically Unchanged	14	82.4
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	3	17.6
      Remained Basically Unchanged	13	76.5
      Eased Somewhat	1	5.9
      Eased Considerably	0	0.0
      Total	17	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	4	23.5
      Remained Basically Unchanged	13	76.5
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	100.0

   2. Maximum maturity

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	3	17.6
      Remained Basically Unchanged	14	82.4
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	100.0

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	3	17.6
      Remained Basically Unchanged	14	82.4
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	2	11.8
      Remained Basically Unchanged	15	88.2
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	17	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	2	13.3
      Remained Basically Unchanged	13	86.7
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	15	100.0

   2. Maximum maturity

      	Number of Respondents	Percentage
      Tightened Considerably	1	6.3
      Tightened Somewhat	1	6.3
      Remained Basically Unchanged	14	87.5
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	16	100.0

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	1	6.3
      Tightened Somewhat	3	18.8
      Remained Basically Unchanged	12	75.0
      Eased Somewhat	0	0.0
      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	5	33.3
      Remained Basically Unchanged	9	60.0
      Eased Somewhat	1	6.7
      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	1	6.3
      Remained Basically Unchanged	15	93.8
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	16	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	3	18.8
      Remained Basically Unchanged	13	81.3
      Eased Somewhat	0	0.0
      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	5	31.3
      Remained Basically Unchanged	10	62.5
      Eased Somewhat	1	6.3
      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	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	1	7.1
      Tightened Somewhat	4	28.6
      Remained Basically Unchanged	8	57.1
      Eased Somewhat	1	7.1
      Eased Considerably	0	0.0
      Total	14	100.0

   2. Maximum maturity

      	Number of Respondents	Percentage
      Tightened Considerably	1	7.1
      Tightened Somewhat	3	21.4
      Remained Basically Unchanged	10	71.4
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	14	100.0

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	1	7.1
      Tightened Somewhat	7	50.0
      Remained Basically Unchanged	5	35.7
      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	1	7.7
      Tightened Somewhat	7	53.8
      Remained Basically Unchanged	4	30.8
      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	2	15.4
      Remained Basically Unchanged	10	76.9
      Eased Somewhat	1	7.7
      Eased Considerably	0	0.0
      Total	13	100.0

   2. Maximum maturity

      	Number of Respondents	Percentage
      Tightened Considerably	1	7.1
      Tightened Somewhat	1	7.1
      Remained Basically Unchanged	12	85.7
      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	5	38.5
      Remained Basically Unchanged	7	53.8
      Eased Somewhat	1	7.7
      Eased Considerably	0	0.0
      Total	13	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	1	7.7
      Tightened Somewhat	6	46.2
      Remained Basically Unchanged	5	38.5
      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

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	2	16.7
      Remained Basically Unchanged	10	83.3
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	12	100.0

   2. Maximum maturity

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	8.3
      Remained Basically Unchanged	11	91.7
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	12	100.0

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	5	41.7
      Remained Basically Unchanged	6	50.0
      Eased Somewhat	1	8.3
      Eased Considerably	0	0.0
      Total	12	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	1	8.3
      Tightened Somewhat	4	33.3
      Remained Basically Unchanged	6	50.0
      Eased Somewhat	1	8.3
      Eased Considerably	0	0.0
      Total	12	100.0

   5. Other (please specify)

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

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

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	1	8.3
      Remained Basically Unchanged	11	91.7
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	12	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	4	33.3
      Remained Basically Unchanged	7	58.3
      Eased Somewhat	1	8.3
      Eased Considerably	0	0.0
      Total	12	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	1	8.3
      Tightened Somewhat	4	33.3
      Remained Basically Unchanged	6	50.0
      Eased Somewhat	1	8.3
      Eased Considerably	0	0.0
      Total	12	100.0

   5. Other (please specify)

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

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

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	6	46.2
      Remained Basically Unchanged	6	46.2
      Eased Somewhat	1	7.7
      Eased Considerably	0	0.0
      Total	13	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	1	7.7
      Tightened Somewhat	5	38.5
      Remained Basically Unchanged	6	46.2
      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	1	7.7
      Remained Basically Unchanged	12	92.3
      Eased Somewhat	0	0.0
      Eased Considerably	0	0.0
      Total	13	100.0

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percentage
      Tightened Considerably	0	0.0
      Tightened Somewhat	4	30.8
      Remained Basically Unchanged	8	61.5
      Eased Somewhat	1	7.7
      Eased Considerably	0	0.0
      Total	13	100.0

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

      	Number of Respondents	Percentage
      Tightened Considerably	1	7.7
      Tightened Somewhat	5	38.5
      Remained Basically Unchanged	6	46.2
      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	1	5.6
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	100.0

2. High-yield corporate bonds

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

3. Equities

   	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

4. Agency RMBS

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

5. Non-agency RMBS

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	2	14.3
   Remained Basically Unchanged	12	85.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	14	100.0

6. CMBS

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	2	15.4
   Remained Basically Unchanged	11	84.6
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	13	100.0

7. Consumer ABS

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	2	15.4
   Remained Basically Unchanged	11	84.6
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	13	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	1	5.6
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	100.0

2. High-yield corporate bonds

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

3. Equities

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

4. Agency RMBS

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	1	5.6
   Remained Basically Unchanged	17	94.4
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	18	100.0

5. Non-agency RMBS

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	2	14.3
   Remained Basically Unchanged	12	85.7
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	14	100.0

6. CMBS

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	2	15.4
   Remained Basically Unchanged	11	84.6
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	13	100.0

7. Consumer ABS

   	Number of Respondents	Percentage
   Increased Considerably	0	0.0
   Increased Somewhat	2	15.4
   Remained Basically Unchanged	11	84.6
   Decreased Somewhat	0	0.0
   Decreased Considerably	0	0.0
   Total	13	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

Over the past three months, yields on agency RMBS have risen significantly amid volatile trading conditions. Trading REITs typically employ leverage to invest in agency RMBS. The special questions ask about your institution's provision of funding collateralized by agency RMBS to trading REIT clients and your management of the associated counterparty risk.

Agency Mortgage-Backed Securities Funding and Trading Real Estate Investment Trust Clients

81. Does your institution provide funding collateralized by agency RMBS to trading REIT clients?

82. Considering funding collateralized by agency RMBS, how has the amount of such funding provided by your institution to agency REIT clients changed over the past three months?

83. Considering funding collateralized by agency RMBS, how has the maximum amount of such funding offered by your institution to trading REIT clients changed over the past three months?

84. Considering funding collateralized by agency RMBS, how do you expect the maximum amount of such funding offered by your institution to trading REIT clients to change over the next three months?

85. Over the past three months, how has demand for funding of agency RMBS from your institutions trading REIT clients changed?

86. Over the past three months, how have the terms offered to your trading REIT clients changed for funding with a maturity between 0 and 30 days collateralized by agency RMBS?

1. Maximum amount of funding

   	Number of Respondents	Percentage
   Tightened Considerably	0	0.0
   Tightened Somewhat	3	18.8
   Remained Basically Unchanged	13	81.3
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	16	100.0

2. Haircuts

   	Number of Respondents	Percentage
   Tightened Considerably	0	0.0
   Tightened Somewhat	3	18.8
   Remained Basically Unchanged	12	75.0
   Eased Somewhat	1	6.3
   Eased Considerably	0	0.0
   Total	16	100.0

3. Collateral spreads

   	Number of Respondents	Percentage
   Tightened Considerably	0	0.0
   Tightened Somewhat	7	43.8
   Remained Basically Unchanged	9	56.3
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	16	100.0

4. 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	1	100.0
   Eased Considerably	0	0.0
   Total	1	100.0

87. Over the past three months, how have the terms offered to your trading REIT clients changed on funding with a maturity greater than 30 days collateralized by agency RMBS?

1. Maximum amount of funding

   	Number of Respondents	Percentage
   Tightened Considerably	0	0.0
   Tightened Somewhat	3	18.8
   Remained Basically Unchanged	13	81.3
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	16	100.0

2. Haircuts

   	Number of Respondents	Percentage
   Tightened Considerably	0	0.0
   Tightened Somewhat	3	18.8
   Remained Basically Unchanged	12	75.0
   Eased Somewhat	1	6.3
   Eased Considerably	0	0.0
   Total	16	100.0

3. Collateral spreads

   	Number of Respondents	Percentage
   Tightened Considerably	2	12.5
   Tightened Somewhat	6	37.5
   Remained Basically Unchanged	8	50.0
   Eased Somewhat	0	0.0
   Eased Considerably	0	0.0
   Total	16	100.0

4. 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	1	100.0
   Eased Considerably	0	0.0
   Total	1	100.0

88. What is the weighted average maturity of your institution's funding collateralized by agency RMBS to trading REIT clients?

89. How has the weighted average maturity of your institution's funding collateralized by agency RMBS to trading REIT clients changed over the past three months?

90. To the extent that the weighted average maturity of your institution's funding collateralized by agency RMBS to trading REIT clients has increased or decreased over the past three months, how important is each of the following reasons?

1. Possible reasons for an increase
   1. Increased availability of longer-term funding relative to shorter-term funding offered by your institution

      	Number of Respondents	Percentage
      Very Important	0	0.0
      Somewhat Important	2	100.0
      Unimportant	0	0.0
      Total	2	100.0

   2. More favorable price terms (for example, financing rates) for longer-term funding relative to shorter-term funding offered by your institution

      	Number of Respondents	Percentage
      Very Important	1	50.0
      Somewhat Important	0	0.0
      Unimportant	1	50.0
      Total	2	100.0

   3. More favorable nonprice terms (for example, haircuts, covenants, or other documentation features) for longer-term funding relative to shorter-term funding offered by your institution

      	Number of Respondents	Percentage
      Very Important	1	50.0
      Somewhat Important	0	0.0
      Unimportant	1	50.0
      Total	2	100.0

   4. Increased demand from your trading REIT clients for longer-term funding relative to shorter-term funding

      	Number of Respondents	Percentage
      Very Important	0	0.0
      Somewhat Important	2	100.0
      Unimportant	0	0.0
      Total	2	100.0

2. Possible reasons for a decrease
   1. Decreased availability of longer-term funding relative to shorter-term funding offered by your institution

      	Number of Respondents	Percentage
      Very Important	0	0.0
      Somewhat Important	2	66.7
      Unimportant	1	33.3
      Total	3	100.0

   2. Less favorable price terms (for example, financing rates) for longer-term funding relative to shorter-term funding offered by your institution

      	Number of Respondents	Percentage
      Very Important	1	33.3
      Somewhat Important	1	33.3
      Unimportant	1	33.3
      Total	3	100.0

   3. Less favorable nonprice terms (for example, haircuts, covenants, or other documentation features) for longer-term funding relative to shorter-term funding offered by your institution

      	Number of Respondents	Percentage
      Very Important	2	66.7
      Somewhat Important	0	0.0
      Unimportant	1	33.3
      Total	3	100.0

   4. Decreased demand from your trading REIT clients for longer-term funding relative to shorter-term funding

      	Number of Respondents	Percentage
      Very Important	0	0.0
      Somewhat Important	3	100.0
      Unimportant	0	0.0
      Total	3	100.0

91. Which of the following methods are most important for managing your firms counterparty risk associated with the provision of longer-term funding collateralized by agency RMBS to trading REIT clients?

1. Collection of haircut or initial margin

   	Number of Respondents	Percentage
   Most Important	10	71.4
   2nd Most Important	4	28.6
   3rd Most Important	0	0.0
   Total	14	100.0

2. Collection of variation margin

   	Number of Respondents	Percentage
   Most Important	2	16.7
   2nd Most Important	6	50.0
   3rd Most Important	4	33.3
   Total	12	100.0

3. Limits on counterparty maximum borrowing

   	Number of Respondents	Percentage
   Most Important	3	25.0
   2nd Most Important	1	8.3
   3rd Most Important	8	66.7
   Total	12	100.0

4. Limits on counterparty leverage

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

5. Monitoring of counterparty liquidity

   	Number of Respondents	Percentage
   Most Important	1	25.0
   2nd Most Important	2	50.0
   3rd Most Important	1	25.0
   Total	4	100.0

6. Monitoring of counterparty net worth

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

7. 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

92. Over the past three months, what percentages of your trading REIT clients were subject to the following actions?

1. Collateral or margin call

   	Number of Respondents	Percentage
   50 percent or more	10	62.5
   25 to 49 percent	1	6.3
   10 to 24 percent	0	0.0
   1 to 9 percent	1	6.3
   No clients	4	25.0
   This type of covenant isn't used for the provision of funding collateralized by agency RMBS to your trading REIT clients.	0	0.0
   Total	16	100.0

2. Leverage covenant violation notice

   	Number of Respondents	Percentage
   50 percent or more	0	0.0
   25 to 49 percent	0	0.0
   10 to 24 percent	0	0.0
   1 to 9 percent	1	6.3
   No clients	9	56.3
   This type of covenant isn't used for the provision of funding collateralized by agency RMBS to your trading REIT clients.	6	37.5
   Total	16	100.0

3. Liquidity covenant violation notice

   	Number of Respondents	Percentage
   50 percent or more	0	0.0
   25 to 49 percent	0	0.0
   10 to 24 percent	0	0.0
   1 to 9 percent	3	18.8
   No clients	8	50.0
   This type of covenant isn't used for the provision of funding collateralized by agency RMBS to your trading REIT clients.	5	31.3
   Total	16	100.0

4. Net worth covenant violation notice

   	Number of Respondents	Percentage
   50 percent or more	0	0.0
   25 to 49 percent	0	0.0
   10 to 24 percent	0	0.0
   1 to 9 percent	2	12.5
   No clients	8	50.0
   This type of covenant isn't used for the provision of funding collateralized by agency RMBS to your trading REIT clients.	6	37.5
   Total	16	100.0