Senior Credit Officer Opinion Survey on Dealer Financing Terms
Senior Credit Officer Opinion Survey, September 2024
Current Release RSS DDP
Summary
The September 2024 Senior Credit Officer Opinion Survey on Dealer Financing Terms collected qualitative information on changes in credit terms and conditions in securities financing and over-the-counter (OTC) derivatives markets between May 2024 and August 2024.1 In addition to the core questions, the survey included a set of special questions about equity volatility trading.
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:
- One-fifth of respondents indicated that price terms tightened somewhat for real estate investment trusts (REITs) (see the exhibit “Management of Concentrated Credit Exposures and Indicators of Supply of Credit”). For all other types of counterparties, dealers reported, on net, that both price and nonprice terms on securities financing transactions and OTC derivatives remained basically unchanged over the past three months.
- Close to one-fifth of respondents indicated that the intensity of efforts by hedge funds to negotiate more-favorable price and nonprice terms increased over the past three months.
- Across most counterparty types, small fractions of respondents indicated that the volume of mark and collateral disputes increased over the past three months.
With respect to clients’ use of financial leverage, responses to the core questions revealed the following:
- One-fourth of dealers reported that REITs increased their use of financial leverage somewhat over the past three months (see the exhibit “Use of Financial Leverage”). The use of financial leverage remained unchanged for all other types of clients.
With regard to OTC derivatives markets, responses to the core questions revealed the following:
- Nearly all dealers reported no changes in nonprice terms in master agreements.
- Nearly all dealers reported no changes in initial margin requirements for all types of OTC derivatives.
- One-fourth of dealers indicated an increase in the duration and persistence of mark and collateral disputes relating to OTC derivatives contracts referencing corporate credits (single name and indexes). The volume, duration, and persistence of mark and collateral disputes remained basically unchanged for other types of OTC derivatives.
With respect to securities financing transactions, respondents indicated the following:
- The terms on securities financing were reported as basically unchanged for most collateral types. One-fifth of dealers indicated an easing over the past three months of collateral spreads for non-agency residential mortgage-backed securities.
- Across all collateral types, the demand for funding and the demand for term funding remained basically unchanged (see the exhibit “Measures of Demand for Funding and Market Functioning”). Unlike the past two quarters, the demand for funding of equities (including stock loans) has not increased.
- Dealers reported, on net, little change in the liquidity and market functioning across all types of securities.
- The volume, duration, and persistence of mark and collateral disputes remained basically unchanged over the past three months across all collateral classes.
Special Questions on Equity Volatility Trading
(Questions 81–90)
In special questions this quarter, dealers were asked about their clients’ current exposure to equity volatility and the strategies and instruments used by clients to take positions in equity volatility.
Dealers were asked to characterize the current use of volatility strategies and products by all clients. The responses indicated significant use across most client classes, most notably by hedge fund clients.
- More than one-half of respondents indicated that a large number of their hedge fund clients widely employ volatility strategies and products. Another one-third responded that volatility strategies and products are employed by some hedge fund clients or in some situations. About one-fourth of respondents reported that the use of volatility strategies and products by hedge fund clients has increased somewhat since the start of 2023.
- For mutual funds, exchange-traded funds (ETFs), and separately managed accounts established with investment advisers, more than one-half of respondents indicated that volatility strategies and products are employed by some clients or in some situations. About one-half of respondents reported that the use by these clients has increased since the start of 2023.
- With regard to pension plans, endowments, and insurance companies, three-fifths of dealers reported that volatility strategies and products are either widely employed or employed by some clients or in some situations. On net, respondents indicated no change in use since the start of 2023.
Dealers were also asked to assess how different types of clients were positioned for a sustained increase in equity volatility and how the net positioning has changed relative to the start of 2023.
- Regarding hedge fund clients, one-third of respondents indicated either that most clients are long volatility or that more clients have long positions than short positions in volatility.3 Only one dealer responded that more clients are net short than net long. Dealers indicated, on net, no change in positioning for hedge fund clients.
- For mutual funds, ETFs, and separately managed accounts, two-fifths of respondents reported either that most clients are short volatility or that more clients have short positions in volatility than long positions, whereas only one-tenth reported that more clients have long positions than short positions. A net fraction of one-fourth of dealers indicated that mutual funds, ETFs, and separately managed accounts have increased short positions, decreased long positions, or both relative to the start of 2023.
- More than one-third of respondents, on net, reported either that most clients are net long or that more clients are net long than net short for pension plans, endowments, and insurance companies. Dealers indicated, on net, no change in positioning for these clients.
Dealers were asked about the volatility strategies and instruments used by clients who dedicate a significant share of their trading to equity volatility products or strategies (henceforth, “volatility traders”).
- The most popular volatility strategy used by such clients was selling volatility. However, buying volatility and strategies that profit when the volatility of the Chicago Board Options Exchange Volatility Index (VIX) increases were reported to be similarly popular.4 A smaller number of dealers also reported that such clients used dispersion trading.
- Relative to the start of 2023, one-half of dealers with volatility trader clients responded that the amount of capital dedicated to selling volatility by such clients has increased somewhat. In contrast, respondents indicated, on net, no change in the amount of clients’ capital dedicated to buying volatility. One-third of dealers indicated that the amount of clients’ capital dedicated to dispersion trading increased. Net fractions of two-fifths and one-third of dealers reported an increase in the amount of clients’ capital dedicated to strategies that profit when the volatility of the VIX increases and when the volatility of the VIX decreases, respectively.
- Almost all dealers who have hedge fund clients who are volatility traders responded that exchange-traded equity options—excluding zero-days-to-expiry options—are most heavily used by such clients. A smaller number of respondents indicated the use of OTC equity options, VIX options, VIX futures, and variance swaps and volatility swaps by such clients.
- For non-hedge-fund clients who are volatility traders, dealers indicated that OTC equity options and exchange-traded equity options are most heavily used. Smaller numbers indicated the use of VIX futures and VIX options by such clients.
Finally, dealers were asked about the concentration of their clients’ accounts with respect to equity volatility—measured in terms of vega notional.5 Of the respondents who have clients who take substantial net positions in equity volatility, close to one-half reported a high concentration—that is, either a few clients or a small share of clients accounted for most of the net positions.
This document was prepared by Yesol Huh, Division of Research and Statistics, Board of Governors of the Federal Reserve System. Assistance in developing and administering the survey was provided by staff members in the Capital Markets Function, the Statistics Function, and the Markets Group at the Federal Reserve Bank of New York.
1. The 23 institutions participating in the survey account for almost all dealer financing of dollar-denominated securities to nondealers and are the most active intermediaries in OTC derivatives markets. The survey was conducted between August 13, 2024, and August 26, 2024. The core questions asked about changes between mid-May 2024 and mid-August 2024. Return to text
2. Question 80, not discussed here, was optional and allowed respondents to provide additional comments. Return to text
3. Buying volatility, or taking long positions in volatility, refers to taking positions that increase in value when volatility increases. Selling volatility, or taking short positions in volatility, refers to taking positions that decrease in value when volatility increases. Return to text
4. The volatility of the VIX, or volatility-of-volatility, increases when there is greater uncertainty about future market conditions. Investors can profit from such contingencies—for instance, by using VIX options. Return to text
5. Vega notional is a measure of the sensitivity of a position’s market value to a change in volatility. Formally, it is defined as the change in the dollar value of the position for a 1 percentage point change in volatility. Return to text
Exhibit 1: Management of Concentrated Credit Exposures and Indicators of Supply of Credit
Exhibit 2: Use of Financial Leverage
Exhibit 3: Measures of Demand for Funding and Market Functioning
Results of the September 2024 Senior Credit Officer Opinion Survey on Dealer Financing Terms
The following results include the original instructions provided to the survey respondents. Please note that percentages are based on the number of financial institutions that gave responses other than "Not applicable." Components may not add to totals due to rounding.
Counterparty Types
Questions 1 through 40 ask about credit terms applicable to, and mark and collateral disputes with, different counterparty types, considering the entire range of securities financing and over-the-counter (OTC) derivatives transactions. Question 1 focuses on dealers and other financial intermediaries as counterparties; questions 2 and 3 on central counterparties and other financial utilities; questions 4 through 10 focus on hedge funds; questions 11 through 16 on trading real estate investment trusts (REITs); questions 17 through 22 on mutual funds, exchange-traded funds (ETFs), pension plans, and endowments; questions 23 through 28 on insurance companies; questions 29 through 34 on separately managed accounts established with investment advisers; and questions 35 through 38 on nonfinancial corporations. Questions 39 and 40 ask about mark and collateral disputes for each of the aforementioned counterparty types.
In some questions, the survey differentiates between the compensation demanded for bearing credit risk (price terms) and the contractual provisions used to mitigate exposures (nonprice terms). If your institution’s terms have tightened or eased over the past three months, please so report them regardless of how they stand relative to longer-term norms. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other currencies, please explain in the appropriate comment space. Where material differences exist across different business areas--for example, between traditional prime brokerage and OTC derivatives--please answer with regard to the business area generating the most exposure and explain in the appropriate comment space.
Dealers and Other Financial Intermediaries
1. Over the past three months, how has the amount of resources and attention your firm devotes to management of concentrated credit exposure to dealers and other financial intermediaries (such as large banking institutions) changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.3 |
| Remained Basically Unchanged | 21 | 91.3 |
| Decreased Somewhat | 1 | 4.3 |
| Decreased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
Central Counterparties and Other Financial Utilities
2. Over the past three months, how has the amount of resources and attention your firm devotes to management of concentrated credit exposure to central counterparties and other financial utilities changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.3 |
| Remained Basically Unchanged | 22 | 95.7 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
3. To what extent have changes in the practices of central counterparties, including margin requirements and haircuts, influenced the credit terms your institution applies to clients on bilateral transactions which are not cleared?
| Number of Respondents | Percentage | |
|---|---|---|
| To A Considerable Extent | 1 | 4.3 |
| To Some Extent | 3 | 13.0 |
| To A Minimal Extent | 10 | 43.5 |
| Not At All | 9 | 39.1 |
| Total | 23 | 100.0 |
Hedge Funds
4. Over the past three months, how have the price terms (for example, financing rates) offered to hedge funds as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms? (Please indicate tightening if terms have become more stringent-for example, if financing rates have risen.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 3 | 13.0 |
| Remained Basically Unchanged | 19 | 82.6 |
| Eased Somewhat | 1 | 4.3 |
| Eased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
5. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions, or other documentation features) with respect to hedge funds across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 1 | 4.3 |
| Remained Basically Unchanged | 20 | 87.0 |
| Eased Somewhat | 2 | 8.7 |
| Eased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
6. To the extent that the price or nonprice terms applied to hedge funds have tightened or eased over the past three months (as reflected in your responses to questions 4 and 5), what are the most important reasons for the change?
- Possible reasons for tightening
- 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 - 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 - 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 - 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 - Diminished availability of balance sheet or capital at your institution
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 - Worsening in general market liquidity and functioning
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 - 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 - 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
- Deterioration in current or expected financial strength of counterparties
- Possible reasons for easing
- Improvement in current or expected financial strength of counterparties
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 - Increased willingness of your institution to take on risk
Number of Respondents Percentage Most Important 1 100.0 2nd Most Important 0 0.0 3rd Most Important 0 0.0 Total 1 100.0 - 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 1 100.0 3rd Most Important 0 0.0 Total 1 100.0 - 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 - 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 - Improvement in general market liquidity and functioning
Number of Respondents Percentage Most Important 1 100.0 2nd Most Important 0 0.0 3rd Most Important 0 0.0 Total 1 100.0 - More-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 - 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
- Improvement in current or expected financial strength of counterparties
7. How has the intensity of efforts by hedge funds to negotiate more-favorable price and nonprice terms changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 4 | 17.4 |
| Remained Basically Unchanged | 19 | 82.6 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
8. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by hedge funds changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 2 | 8.7 |
| Remained Basically Unchanged | 19 | 82.6 |
| Decreased Somewhat | 2 | 8.7 |
| Decreased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
9. Considering the entire range of transactions facilitated by your institution for such clients, how has the availability of additional (and currently unutilized) financial leverage under agreements currently in place with hedge funds (for example, under prime broker, warehouse agreements, and other committed but undrawn or partly drawn facilities) changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.3 |
| Remained Basically Unchanged | 21 | 91.3 |
| Decreased Somewhat | 1 | 4.3 |
| Decreased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
10. How has the provision of differential terms by your institution to most-favored (as a function of breadth, duration, and extent of relationship) hedge funds changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 2 | 9.1 |
| Remained Basically Unchanged | 20 | 90.9 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
Trading Real Estate Investment Trusts
11. Over the past three months, how have the price terms (for example, financing rates) offered to trading REITs as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms? (Please indicate tightening if terms have become more stringent-for example, if financing rates have risen.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 4 | 21.1 |
| Remained Basically Unchanged | 15 | 78.9 |
| Eased Somewhat | 0 | 0.0 |
| Eased Considerably | 0 | 0.0 |
| Total | 19 | 100.0 |
12. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to trading REITs across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 1 | 5.3 |
| Remained Basically Unchanged | 17 | 89.5 |
| Eased Somewhat | 1 | 5.3 |
| Eased Considerably | 0 | 0.0 |
| Total | 19 | 100.0 |
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?
- Possible reasons for tightening
- 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 - 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 - 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 - Higher internal treasury charges for funding
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 - Diminished availability of balance sheet or capital at your institution
Number of Respondents Percentage Most Important 1 50.0 2nd Most Important 1 50.0 3rd Most Important 0 0.0 Total 2 100.0 - Worsening in general market liquidity and functioning
Number of Respondents Percentage Most Important 1 50.0 2nd Most Important 1 50.0 3rd Most Important 0 0.0 Total 2 100.0 - Less-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 - 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
- Deterioration in current or expected financial strength of counterparties
- Possible reasons for easing
- 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 - Increased willingness of your institution to take on risk
Number of Respondents Percentage Most Important 1 100.0 2nd Most Important 0 0.0 3rd Most Important 0 0.0 Total 1 100.0 - 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 1 100.0 3rd Most Important 0 0.0 Total 1 100.0 - 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 - 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 - 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 - 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 - 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
- Improvement in current or expected financial strength of counterparties
14. How has the intensity of efforts by trading REITs to negotiate more-favorable price and nonprice terms changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 2 | 11.1 |
| Remained Basically Unchanged | 15 | 83.3 |
| Decreased Somewhat | 1 | 5.6 |
| Decreased Considerably | 0 | 0.0 |
| Total | 18 | 100.0 |
15. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by trading REITs changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 5 | 26.3 |
| Remained Basically Unchanged | 14 | 73.7 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 19 | 100.0 |
16. How has the provision of differential terms by your institution to most-favored (as a function of breadth, duration, and extent of relationship) trading REITs changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 2 | 10.5 |
| Remained Basically Unchanged | 16 | 84.2 |
| Decreased Somewhat | 1 | 5.3 |
| Decreased Considerably | 0 | 0.0 |
| Total | 19 | 100.0 |
Mutual Funds, Exchange-Traded Funds, Pension Plans, and Endowments
17. Over the past three months, how have the price terms (for example, financing rates) offered to mutual funds, ETFs, pension plans, and endowments as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms? (Please indicate tightening if terms have become more stringent-for example, if financing rates have risen.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 1 | 4.3 |
| Remained Basically Unchanged | 22 | 95.7 |
| Eased Somewhat | 0 | 0.0 |
| Eased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
18. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to mutual funds, ETFs, pension plans, and endowments across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 3 | 13.0 |
| Remained Basically Unchanged | 19 | 82.6 |
| Eased Somewhat | 1 | 4.3 |
| Eased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
19. To the extent that the price or nonprice terms applied to mutual funds, ETFs, pension plans, and endowments have tightened or eased over the past three months (as reflected in your responses to questions 17 and 18), what are the most important reasons for the change?
- Possible reasons for tightening
- 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 - 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 - 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 - 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 - 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 - Worsening in general market liquidity and functioning
Number of Respondents Percentage Most Important 1 100.0 2nd Most Important 0 0.0 3rd Most Important 0 0.0 Total 1 100.0 - 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 - Other (please specify)
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
- Deterioration in current or expected financial strength of counterparties
- Possible reasons for easing
- 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 - Increased willingness of your institution to take on risk
Number of Respondents Percentage Most Important 1 100.0 2nd Most Important 0 0.0 3rd Most Important 0 0.0 Total 1 100.0 - 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 1 100.0 3rd Most Important 0 0.0 Total 1 100.0 - 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 - 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 - 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 - 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 - 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
- Improvement in current or expected financial strength of counterparties
20. How has the intensity of efforts by mutual funds, ETFs, pension plans, and endowments to negotiate more-favorable price and nonprice terms changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.3 |
| Remained Basically Unchanged | 22 | 95.7 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
21. Considering the entire range of transactions facilitated by your institution, how has the use of financial leverage by each of the following types of clients changed over the past three months?
- Mutual funds
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 0 0.0 Remained Basically Unchanged 22 100.0 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 22 100.0 - ETFs
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 0 0.0 Remained Basically Unchanged 22 95.7 Decreased Somewhat 0 0.0 Decreased Considerably 1 4.3 Total 23 100.0 - Pension plans
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 0 0.0 Remained Basically Unchanged 22 100.0 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 22 100.0 - Endowments
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 0 0.0 Remained Basically Unchanged 22 100.0 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 22 100.0
22. How has the provision of differential terms by your institution to most-favored (as a function of breadth, duration, and extent of relationship) mutual funds, ETFs, pension plans, and endowments changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.5 |
| Remained Basically Unchanged | 21 | 95.5 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
Insurance Companies
23. Over the past three months, how have the price terms (for example, financing rates) offered to insurance companies as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms? (Please indicate tightening if terms have become more stringent-for example, if financing rates have risen.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 2 | 9.1 |
| Remained Basically Unchanged | 20 | 90.9 |
| Eased Somewhat | 0 | 0.0 |
| Eased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
24. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to insurance companies across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 1 | 4.5 |
| Remained Basically Unchanged | 19 | 86.4 |
| Eased Somewhat | 2 | 9.1 |
| Eased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
25. To the extent that the price or nonprice terms applied to insurance companies have tightened or eased over the past three months (as reflected in your responses to questions 23 and 24), what are the most important reasons for the change?
- Possible reasons for tightening
- 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 - 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 - 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 - 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 - 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 - Worsening in general market liquidity and functioning
Number of Respondents Percentage Most Important 1 100.0 2nd Most Important 0 0.0 3rd Most Important 0 0.0 Total 1 100.0 - 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 - 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
- Deterioration in current or expected financial strength of counterparties
- Possible reasons for easing
- 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 - 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 - Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
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 - 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 - 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 - 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 - More-aggressive competition from other institutions
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 - 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
- Improvement in current or expected financial strength of counterparties
26. How has the intensity of efforts by insurance companies to negotiate more favorable price and nonprice terms changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 2 | 9.1 |
| Remained Basically Unchanged | 19 | 86.4 |
| Decreased Somewhat | 1 | 4.5 |
| Decreased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
27. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by insurance companies changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 2 | 9.1 |
| Remained Basically Unchanged | 20 | 90.9 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
28. How has the provision of differential terms by your institution to most favored (as a function of breadth, duration, and extent of relationship) insurance companies changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.8 |
| Remained Basically Unchanged | 20 | 95.2 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 21 | 100.0 |
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.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 0 | 0.0 |
| Remained Basically Unchanged | 22 | 100.0 |
| Eased Somewhat | 0 | 0.0 |
| Eased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
30. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to separately managed accounts established with investment advisers across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms? (Please indicate tightening if terms have become more stringent-for example, if haircuts have been increased.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 1 | 4.5 |
| Remained Basically Unchanged | 20 | 90.9 |
| Eased Somewhat | 1 | 4.5 |
| Eased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
31. To the extent that the price or nonprice terms applied to separately managed accounts established with investment advisers have tightened or eased over the past three months (as reflected in your responses to questions 29 and 30), what are the most important reasons for the change?
- Possible reasons for tightening
- 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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
- Deterioration in current or expected financial strength of counterparties
- Possible reasons for easing
- 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 - Increased willingness of your institution to take on risk
Number of Respondents Percentage Most Important 1 100.0 2nd Most Important 0 0.0 3rd Most Important 0 0.0 Total 1 100.0 - 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 1 100.0 3rd Most Important 0 0.0 Total 1 100.0 - 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 - 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 - 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 - 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 - 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
- Improvement in current or expected financial strength of counterparties
32. How has the intensity of efforts by investment advisers to negotiate more-favorable price and nonprice terms on behalf of separately managed accounts changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.5 |
| Remained Basically Unchanged | 21 | 95.5 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
33. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by separately managed accounts established with investment advisers changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 0 | 0.0 |
| Remained Basically Unchanged | 22 | 100.0 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
34. How has the provision of differential terms by your institution to separately managed accounts established with most-favored (as a function of breadth, duration, and extent of relationship) investment advisers changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.5 |
| Remained Basically Unchanged | 21 | 95.5 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
Nonfinancial Corporations
35. Over the past three months, how have the price terms (for example, financing rates) offered to nonfinancial corporations as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms? (Please indicate tightening if terms have become more stringent-for example, if financing rates have risen.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 0 | 0.0 |
| Remained Basically Unchanged | 22 | 95.7 |
| Eased Somewhat | 1 | 4.3 |
| Eased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
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.)
| Number of Respondents | Percentage | |
|---|---|---|
| Tightened Considerably | 0 | 0.0 |
| Tightened Somewhat | 0 | 0.0 |
| Remained Basically Unchanged | 23 | 100.0 |
| Eased Somewhat | 0 | 0.0 |
| Eased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
37. To the extent that the price or nonprice terms applied to nonfinancial corporations have tightened or eased over the past three months (as reflected in your responses to questions 35 and 36), what are the most important reasons for the change?
- Possible reasons for tightening
- 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 - 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 - 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 - 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 - 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 - 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 - 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 - 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
- Deterioration in current or expected financial strength of counterparties
- Possible reasons for easing
- 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 - 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 - 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 - 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 - 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 - Improvement in general market liquidity and functioning
Number of Respondents Percentage Most Important 1 100.0 2nd Most Important 0 0.0 3rd Most Important 0 0.0 Total 1 100.0 - More-aggressive competition from other institutions
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 - 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
- Improvement in current or expected financial strength of counterparties
38. How has the intensity of efforts by nonfinancial corporations to negotiate more favorable price and nonprice terms changed over the past three months?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.3 |
| Remained Basically Unchanged | 22 | 95.7 |
| Decreased Somewhat | 0 | 0.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
Mark and Collateral Disputes
39. Over the past three months, how has the volume of mark and collateral disputes with clients of each of the following types changed?
- Dealers and other financial intermediaries
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 4.5 Remained Basically Unchanged 20 90.9 Decreased Somewhat 1 4.5 Decreased Considerably 0 0.0 Total 22 100.0 - Hedge funds
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 3 13.6 Remained Basically Unchanged 18 81.8 Decreased Somewhat 1 4.5 Decreased Considerably 0 0.0 Total 22 100.0 - Trading REITs
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 - Mutual funds, ETFs, pension plans, and endowments
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 3 13.6 Remained Basically Unchanged 19 86.4 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 22 100.0 - Insurance companies
Number of Respondents Percentage Increased Considerably 1 4.8 Increased Somewhat 2 9.5 Remained Basically Unchanged 18 85.7 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 21 100.0 - Separately managed accounts established with investment advisers
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 4.8 Remained Basically Unchanged 19 90.5 Decreased Somewhat 1 4.8 Decreased Considerably 0 0.0 Total 21 100.0 - Nonfinancial corporations
Number of Respondents Percentage Increased Considerably 1 5.0 Increased Somewhat 1 5.0 Remained Basically Unchanged 17 85.0 Decreased Somewhat 1 5.0 Decreased Considerably 0 0.0 Total 20 100.0
40. Over the past three months, how has the duration and persistence of mark and collateral disputes with clients of each of the following types changed?
- Dealers and other financial intermediaries
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 4.5 Remained Basically Unchanged 21 95.5 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 22 100.0 - Hedge funds
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 4.5 Remained Basically Unchanged 20 90.9 Decreased Somewhat 1 4.5 Decreased Considerably 0 0.0 Total 22 100.0 - Trading REITs
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 - Mutual funds, ETFs, pension plans, and endowments
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 2 9.1 Remained Basically Unchanged 18 81.8 Decreased Somewhat 2 9.1 Decreased Considerably 0 0.0 Total 22 100.0 - Insurance companies
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 3 14.3 Remained Basically Unchanged 18 85.7 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 21 100.0 - Separately managed accounts established with investment advisers
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 4.8 Remained Basically Unchanged 19 90.5 Decreased Somewhat 1 4.8 Decreased Considerably 0 0.0 Total 21 100.0 - Nonfinancial corporations
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
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?
- Requirements, timelines, and thresholds for posting additional margin
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Acceptable collateral
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate agreements are in place)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 18 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 18 100.0 - Triggers and covenants
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 17 89.5 Eased Somewhat 2 10.5 Eased Considerably 0 0.0 Total 19 100.0 - 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 17 89.5 Eased Somewhat 2 10.5 Eased Considerably 0 0.0 Total 19 100.0 - 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?
- Initial margin requirements for average clients
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 4.8 Remained Basically Unchanged 20 95.2 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 21 100.0 - 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 4.8 Remained Basically Unchanged 20 95.2 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 21 100.0
43. Over the past three months, how have initial margin requirements set by your institution with respect to OTC interest rate derivatives changed?
- Initial margin requirements for average clients
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 - Initial margin requirements for most favored clients, as a consequence of breadth, duration, and/or extent of relationship
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
44. Over the past three months, how have initial margin requirements set by your institution with respect to OTC equity derivatives changed?
- Initial margin requirements for average clients
Number of Respondents Percentage Increased Considerably 1 4.8 Increased Somewhat 2 9.5 Remained Basically Unchanged 18 85.7 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 21 100.0 - Initial margin requirements for most favored clients, as a consequence of breadth, duration, and/or extent of relationship
Number of Respondents Percentage Increased Considerably 1 4.8 Increased Somewhat 1 4.8 Remained Basically Unchanged 19 90.5 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 21 100.0
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?
- Initial margin requirements for average clients
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 0 0.0 Remained Basically Unchanged 17 94.4 Decreased Somewhat 0 0.0 Decreased Considerably 1 5.6 Total 18 100.0 - 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 88.2 Decreased Somewhat 1 5.9 Decreased Considerably 1 5.9 Total 17 100.0
46. Over the past three months, how have initial margin requirements set by your institution with respect to OTC credit derivatives referencing securitized products (such as specific ABS or MBS tranches and associated indexes) changed?
- Initial margin requirements for average clients
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 - 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?
- Initial margin requirements for average clients
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 - Initial margin requirements for most favored clients, as a consequence of breadth, duration, and/or extent of relationship
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 0 0.0 Remained Basically Unchanged 16 94.1 Decreased Somewhat 1 5.9 Decreased Considerably 0 0.0 Total 17 100.0
48. Over the past three months, how have initial margin requirements set by your institution with respect to TRS referencing non-securities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans) changed?
- 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 - 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 5.6 Remained Basically Unchanged 17 94.4 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 18 100.0
Nonstandard Collateral
49. Over the past three months, how has the posting of nonstandard collateral (that is, other than cash and U.S. Treasury securities) as permitted under relevant agreements changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 2 | 8.7 |
| Remained Basically Unchanged | 20 | 87.0 |
| Decreased Somewhat | 1 | 4.3 |
| Decreased Considerably | 0 | 0.0 |
| Total | 23 | 100.0 |
Mark and Collateral Disputes
50. Over the past three months, how has the volume of mark and collateral disputes relating to contracts of each of the following types changed?
- FX
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 - Interest rate
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 2 11.1 Remained Basically Unchanged 15 83.3 Decreased Somewhat 1 5.6 Decreased Considerably 0 0.0 Total 18 100.0 - Equity
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 5.9 Remained Basically Unchanged 13 76.5 Decreased Somewhat 3 17.6 Decreased Considerably 0 0.0 Total 17 100.0 - Credit referencing corporates
Number of Respondents Percentage Increased Considerably 1 6.7 Increased Somewhat 2 13.3 Remained Basically Unchanged 11 73.3 Decreased Somewhat 1 6.7 Decreased Considerably 0 0.0 Total 15 100.0 - Credit referencing securitized products including MBS and ABS
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 2 14.3 Remained Basically Unchanged 11 78.6 Decreased Somewhat 1 7.1 Decreased Considerably 0 0.0 Total 14 100.0 - Commodity
Number of Respondents Percentage Increased Considerably 1 6.3 Increased Somewhat 2 12.5 Remained Basically Unchanged 12 75.0 Decreased Somewhat 1 6.3 Decreased Considerably 0 0.0 Total 16 100.0 - 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 1 8.3 Remained Basically Unchanged 11 91.7 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 12 100.0
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?
- FX
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 - Interest rate
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 - Equity
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 - Credit referencing corporates
Number of Respondents Percentage Increased Considerably 1 6.7 Increased Somewhat 3 20.0 Remained Basically Unchanged 11 73.3 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 15 100.0 - Credit referencing securitized products including MBS and ABS
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 - Commodity
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 - 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 1 8.3 Remained Basically Unchanged 11 91.7 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 12 100.0
Securities Financing
Questions 52 through 79 ask about securities funding at your institution--that is, lending to clients collateralized by securities. Such activities may be conducted on a "repo" desk, on a trading desk engaged in facilitation for institutional clients and/or proprietary transactions, on a funding desk, or on a prime brokerage platform. Questions 52 through 55 focus on lending against high-grade corporate bonds; questions 56 through 59 on lending against high-yield corporate bonds; questions 60 and 61 on lending against equities (including through stock loan); questions 62 through 65 on lending against agency residential mortgage-backed securities (agency RMBS); questions 66 through 69 on lending against non-agency residential mortgage-backed securities (non-agency RMBS); questions 70 through 73 on lending against commercial mortgage-backed securities (CMBS); and questions 74 through 77 on consumer ABS (for example, backed by credit card receivables or auto loans). Questions 78 and 79 ask about mark and collateral disputes for lending backed by each of the aforementioned contract types.
If your institution’s terms have tightened or eased over the past three months, please so report them regardless of how they stand relative to longer-term norms. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other currencies, please explain in the appropriate comment space.
High-Grade Corporate Bonds
52. Over the past three months, how have the terms under which high-grade corporate bonds are funded changed?
- Terms for average clients
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 21 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 21 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 21 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 21 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 1 4.8 Remained Basically Unchanged 20 95.2 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 21 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 2 9.5 Remained Basically Unchanged 18 85.7 Eased Somewhat 1 4.8 Eased Considerably 0 0.0 Total 21 100.0 - 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
- Maximum amount of funding
- Terms for most favored clients, as a consequence of breadth, duration and/or extent of relationship
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 20 95.2 Eased Somewhat 1 4.8 Eased Considerably 0 0.0 Total 21 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 20 95.2 Eased Somewhat 1 4.8 Eased Considerably 0 0.0 Total 21 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 1 4.8 Remained Basically Unchanged 19 90.5 Eased Somewhat 1 4.8 Eased Considerably 0 0.0 Total 21 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 2 9.5 Remained Basically Unchanged 19 90.5 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 21 100.0 - 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
- Maximum amount of funding
53. Over the past three months, how has demand for funding of high-grade corporate bonds by your institution's clients changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 2 | 9.5 |
| Remained Basically Unchanged | 18 | 85.7 |
| Decreased Somewhat | 1 | 4.8 |
| Decreased Considerably | 0 | 0.0 |
| Total | 21 | 100.0 |
54. Over the past three months, how has demand for term funding with a maturity greater than 30 days of high-grade corporate bonds by your institution's clients changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.8 |
| Remained Basically Unchanged | 19 | 90.5 |
| Decreased Somewhat | 1 | 4.8 |
| Decreased Considerably | 0 | 0.0 |
| Total | 21 | 100.0 |
55. Over the past three months, how have liquidity and functioning in the high-grade corporate bond market changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Improved Considerably | 0 | 0.0 |
| Improved Somewhat | 2 | 9.1 |
| Remained Basically Unchanged | 20 | 90.9 |
| Deteriorated Somewhat | 0 | 0.0 |
| Deteriorated Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
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?
- Terms for average clients
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 20 95.2 Eased Somewhat 1 4.8 Eased Considerably 0 0.0 Total 21 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 20 95.2 Eased Somewhat 1 4.8 Eased Considerably 0 0.0 Total 21 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 1 4.8 Remained Basically Unchanged 20 95.2 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 21 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 2 9.5 Remained Basically Unchanged 17 81.0 Eased Somewhat 2 9.5 Eased Considerably 0 0.0 Total 21 100.0 - 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
- Maximum amount of funding
- Terms for most favored clients, as a consequence of breadth, duration and/or extent of relationship
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 90.5 Eased Somewhat 1 4.8 Eased Considerably 1 4.8 Total 21 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 90.5 Eased Somewhat 1 4.8 Eased Considerably 1 4.8 Total 21 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 1 4.8 Remained Basically Unchanged 19 90.5 Eased Somewhat 0 0.0 Eased Considerably 1 4.8 Total 21 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 2 9.5 Remained Basically Unchanged 18 85.7 Eased Somewhat 1 4.8 Eased Considerably 0 0.0 Total 21 100.0 - 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
- Maximum amount of funding
57. Over the past three months, how has demand for funding of high-yield corporate bonds by your institution's clients changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 4.8 |
| Remained Basically Unchanged | 19 | 90.5 |
| Decreased Somewhat | 1 | 4.8 |
| Decreased Considerably | 0 | 0.0 |
| Total | 21 | 100.0 |
58. Over the past three months, how has demand for term funding with a maturity greater than 30 days of high-yield corporate bonds by your institution's clients changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 0 | 0.0 |
| Remained Basically Unchanged | 20 | 95.2 |
| Decreased Somewhat | 1 | 4.8 |
| Decreased Considerably | 0 | 0.0 |
| Total | 21 | 100.0 |
59. Over the past three months, how have liquidity and functioning in the high-yield corporate bond market changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Improved Considerably | 0 | 0.0 |
| Improved Somewhat | 2 | 9.1 |
| Remained Basically Unchanged | 20 | 90.9 |
| Deteriorated Somewhat | 0 | 0.0 |
| Deteriorated Considerably | 0 | 0.0 |
| Total | 22 | 100.0 |
Equities (Including through Stock Loan)
60. Over the past three months, how have the terms under which equities are funded (including through stock loan) changed?
- Terms for average clients
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 1 5.3 Remained Basically Unchanged 18 94.7 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - 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
- Maximum amount of funding
- Terms for most favored clients, as a consequence of breadth, duration and/or extent of relationship
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 1 5.3 Remained Basically Unchanged 18 94.7 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - 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
- Maximum amount of funding
61. Over the past three months, how has demand for funding of equities (including through stock loan) by your institution's clients changed?
| Number of Respondents | 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 |
Agency Residential Mortgage-Backed Securities
62. Over the past three months, how have the terms under which agency RMBS are funded changed?
- Terms for average clients
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 1 5.3 Remained Basically Unchanged 18 94.7 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 2 10.5 Remained Basically Unchanged 14 73.7 Eased Somewhat 3 15.8 Eased Considerably 0 0.0 Total 19 100.0 - 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
- Maximum amount of funding
- Terms for most favored clients, as a consequence of breadth, duration and/or extent of relationship
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 19 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 19 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 2 10.5 Remained Basically Unchanged 15 78.9 Eased Somewhat 2 10.5 Eased Considerably 0 0.0 Total 19 100.0 - 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
- Maximum amount of funding
63. Over the past three months, how has demand for funding of agency RMBS by your institution's clients changed?
| 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 |
64. Over the past three months, how has demand for term funding with a maturity greater than 30 days of agency RMBS by your institution's clients changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Increased Considerably | 0 | 0.0 |
| Increased Somewhat | 1 | 5.0 |
| Remained Basically Unchanged | 18 | 90.0 |
| Decreased Somewhat | 1 | 5.0 |
| Decreased Considerably | 0 | 0.0 |
| Total | 20 | 100.0 |
65. Over the past three months, how have liquidity and functioning in the agency RMBS market changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Improved Considerably | 0 | 0.0 |
| Improved Somewhat | 1 | 5.0 |
| Remained Basically Unchanged | 19 | 95.0 |
| Deteriorated Somewhat | 0 | 0.0 |
| Deteriorated Considerably | 0 | 0.0 |
| Total | 20 | 100.0 |
Non-agency Residential Mortgage-Backed Securities
66. Over the past three months, how have the terms under which non-agency RMBS are funded changed?
- Terms for average clients
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 17 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 17 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 17 100.0 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 17 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 16 94.1 Eased Somewhat 1 5.9 Eased Considerably 0 0.0 Total 17 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 14 82.4 Eased Somewhat 3 17.6 Eased Considerably 0 0.0 Total 17 100.0 - 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
- Maximum amount of funding
- Terms for most favored clients, as a consequence of breadth, duration and/or extent of relationship
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 16 94.1 Eased Somewhat 1 5.9 Eased Considerably 0 0.0 Total 17 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 16 94.1 Eased Somewhat 1 5.9 Eased Considerably 0 0.0 Total 17 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 16 94.1 Eased Somewhat 1 5.9 Eased Considerably 0 0.0 Total 17 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 15 88.2 Eased Somewhat 2 11.8 Eased Considerably 0 0.0 Total 17 100.0 - 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
- Maximum amount of funding
67. Over the past three months, how has demand for funding of non-agency RMBS by your institution's clients changed?
| 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 |
68. Over the past three months, how has demand for term funding with a maturity greater than 30 days of non-agency RMBS by your institution's clients changed?
| Number of Respondents | 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 |
69. Over the past three months, how have liquidity and functioning in the non-agency RMBS market changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Improved Considerably | 0 | 0.0 |
| Improved Somewhat | 1 | 5.6 |
| Remained Basically Unchanged | 17 | 94.4 |
| Deteriorated Somewhat | 0 | 0.0 |
| Deteriorated Considerably | 0 | 0.0 |
| Total | 18 | 100.0 |
Commercial Mortgage-Backed Securities
70. Over the past three months, how have the terms under which CMBS are funded changed?
- Terms for average clients
- 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 - 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 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 15 93.8 Eased Somewhat 1 6.3 Eased Considerably 0 0.0 Total 16 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 15 93.8 Eased Somewhat 1 6.3 Eased Considerably 0 0.0 Total 16 100.0 - 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
- Maximum amount of funding
- Terms for most favored clients, as a consequence of breadth, duration and/or extent of relationship
- Maximum amount of funding
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 1 5.9 Remained Basically Unchanged 16 94.1 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 17 100.0 - Maximum maturity
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 1 5.9 Remained Basically Unchanged 16 94.1 Eased Somewhat 0 0.0 Eased Considerably 0 0.0 Total 17 100.0 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 16 94.1 Eased Somewhat 1 5.9 Eased Considerably 0 0.0 Total 17 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 16 94.1 Eased Somewhat 1 5.9 Eased Considerably 0 0.0 Total 17 100.0 - 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
- Maximum amount of funding
71. Over the past three months, how has demand for funding of CMBS by your institution's clients changed?
| 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 |
72. Over the past three months, how has demand for term funding with a maturity greater than 30 days of CMBS by your institution's clients changed?
| Number of Respondents | 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 |
73. Over the past three months, how have liquidity and functioning in the CMBS market changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Improved Considerably | 0 | 0.0 |
| Improved Somewhat | 1 | 5.6 |
| Remained Basically Unchanged | 17 | 94.4 |
| Deteriorated Somewhat | 0 | 0.0 |
| Deteriorated Considerably | 0 | 0.0 |
| Total | 18 | 100.0 |
Consumer Asset-Backed Securities
74. Over the past three months, how have the terms under which consumer ABS (for example, backed by credit card receivables or auto loans) are funded changed?
- Terms for average clients
- Maximum amount of funding
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 - Maximum maturity
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 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 14 93.3 Eased Somewhat 1 6.7 Eased Considerably 0 0.0 Total 15 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 13 86.7 Eased Somewhat 2 13.3 Eased Considerably 0 0.0 Total 15 100.0 - 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
- Maximum amount of funding
- Terms for most favored clients, as a consequence of breadth, duration and/or extent of relationship
- Maximum amount of funding
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 - Maximum maturity
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 - Haircuts
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 14 93.3 Eased Somewhat 1 6.7 Eased Considerably 0 0.0 Total 15 100.0 - Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents Percentage Tightened Considerably 0 0.0 Tightened Somewhat 0 0.0 Remained Basically Unchanged 14 93.3 Eased Somewhat 1 6.7 Eased Considerably 0 0.0 Total 15 100.0 - 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
- Maximum amount of funding
75. Over the past three months, how has demand for funding of consumer ABS by your institution's clients changed?
| 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 |
76. Over the past three months, how has demand for term funding with a maturity greater than 30 days of consumer ABS by your institution's clients changed?
| Number of Respondents | 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 |
77. Over the past three months, how have liquidity and functioning in the consumer ABS market changed?
| Number of Respondents | Percentage | |
|---|---|---|
| Improved Considerably | 0 | 0.0 |
| Improved Somewhat | 1 | 6.3 |
| Remained Basically Unchanged | 14 | 87.5 |
| Deteriorated Somewhat | 1 | 6.3 |
| Deteriorated Considerably | 0 | 0.0 |
| Total | 16 | 100.0 |
Mark and Collateral Disputes
78. Over the past three months, how has the volume of mark and collateral disputes relating to lending against each of the following collateral types changed?
- High-grade corporate bonds
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 5.0 Remained Basically Unchanged 19 95.0 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 20 100.0 - High-yield corporate bonds
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 5.0 Remained Basically Unchanged 19 95.0 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 20 100.0 - Equities
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 - Agency RMBS
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 5.0 Remained Basically Unchanged 19 95.0 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 20 100.0 - Non-agency RMBS
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 - CMBS
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 - Consumer ABS
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
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?
- High-grade corporate bonds
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 5.0 Remained Basically Unchanged 19 95.0 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 20 100.0 - High-yield corporate bonds
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 5.0 Remained Basically Unchanged 19 95.0 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 20 100.0 - Equities
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 - Agency RMBS
Number of Respondents Percentage Increased Considerably 0 0.0 Increased Somewhat 1 5.0 Remained Basically Unchanged 19 95.0 Decreased Somewhat 0 0.0 Decreased Considerably 0 0.0 Total 20 100.0 - Non-agency RMBS
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 - CMBS
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 - Consumer ABS
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
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.
| Number of Respondents | Percentage | |
|---|---|---|
| Free-Text Entry | 3 | 100.0 |
| Total | 3 | 100.0 |
Special Questions
Market commentaries suggest that there has been renewed interest among some market participants in volatility trading. In these special questions, we ask about your clients' current exposure to equity volatility and the strategies and the instruments by which clients take positions in equity volatility. Position-taking can take the form of volatility strategies constructed from equity options that are exposed to changes in market volatility but are neutral with respect to changes in equity prices (for example, straddles), or it can employ volatility products, such as VIX futures and options, volatility-linked exchange-traded products (ETPs), and variance swaps.
Questions 81 through 84 ask about the use of volatility strategies and products by each type of client as well as changes in use since the start of 2023. Question 85 ask about client concentration in volatility trading. Questions 86 to 90 focus on clients who dedicate a significant share of their trading to equity volatility products or strategies.
Equity Volatility Trading
81. How would you characterize the current use of volatility strategies and products by clients of each of the following types?
- Hedge funds
Number of Respondents Percentage Widely Employed By A Large Number Of Clients 9 52.9 Employed By Some Clients Or In Some Situations 5 29.4 Employed By A Few Clients Or In A Few Situations 3 17.6 Employed To A Minimal Extent By Such Clients 0 0.0 Not Employed By Such Clients 0 0.0 Total 17 100.0 - Mutual funds, exchange-traded funds (ETFs), and separately managed accounts established with investment advisers
Number of Respondents Percentage Widely Employed By A Large Number Of Clients 1 5.9 Employed By Some Clients Or In Some Situations 9 52.9 Employed By A Few Clients Or In A Few Situations 3 17.6 Employed To A Minimal Extent By Such Clients 3 17.6 Not Employed By Such Clients 1 5.9 Total 17 100.0 - Pension plans, endowments, and insurance companies
Number of Respondents Percentage Widely Employed By A Large Number Of Clients 5 29.4 Employed By Some Clients Or In Some Situations 5 29.4 Employed By A Few Clients Or In A Few Situations 5 29.4 Employed To A Minimal Extent By Such Clients 1 5.9 Not Employed By Such Clients 1 5.9 Total 17 100.0
82. Relative to the start of 2023, how has the use of volatility strategies and products by your institutions clients of each of the following types changed?
- Hedge funds
Number of Respondents Percentage Increased Substantially 0 0.0 Increased Somewhat 4 23.5 Remained Basically Unchanged 13 76.5 Decreased Somewhat 0 0.0 Decreased Substantially 0 0.0 Total 17 100.0 - Mutual funds, ETFs, and separately managed accounts established with investment advisers
Number of Respondents Percentage Increased Substantially 2 11.8 Increased Somewhat 6 35.3 Remained Basically Unchanged 9 52.9 Decreased Somewhat 0 0.0 Decreased Substantially 0 0.0 Total 17 100.0 - Pension plans, endowments, and insurance companies
Number of Respondents Percentage Increased Substantially 0 0.0 Increased Somewhat 3 17.6 Remained Basically Unchanged 13 76.5 Decreased Somewhat 1 5.9 Decreased Substantially 0 0.0 Total 17 100.0
83. On net, how are your clients of each of the following types positioned for a sustained increase in equity volatility?
- Hedge funds
Number of Respondents Percentage Most Clients Are Net Long 1 5.9 More Clients Are Net Long Than Net Short 5 29.4 Roughly Equal Proportions Of Clients Are Net Long And Net Short 8 47.1 More Clients Are Net Short Than Net Long 1 5.9 Most Clients Are Net Short 0 0.0 Most Clients Do Not Have Net Directional Exposure To Equity Market Volatility 2 11.8 Total 17 100.0 - Mutual funds, ETFs, and separately managed accounts established with investment advisers
Number of Respondents Percentage Most Clients Are Net Long 0 0.0 More Clients Are Net Long Than Net Short 2 11.8 Roughly Equal Proportions Of Clients Are Net Long And Net Short 6 35.3 More Clients Are Net Short Than Net Long 3 17.6 Most Clients Are Net Short 4 23.5 Most Clients Do Not Have Net Directional Exposure To Equity Market Volatility 2 11.8 Total 17 100.0 - Pension plans, endowments, and insurance companies
Number of Respondents Percentage Most Clients Are Net Long 1 5.9 More Clients Are Net Long Than Net Short 6 35.3 Roughly Equal Proportions Of Clients Are Net Long And Net Short 7 41.2 More Clients Are Net Short Than Net Long 1 5.9 Most Clients Are Net Short 0 0.0 Most Clients Do Not Have Net Directional Exposure To Equity Market Volatility 2 11.8 Total 17 100.0
84. Relative to the start of 2023, how have your clients of each type changed their net positioning with respect to equity volatility?
- Hedge funds
Number of Respondents Percentage Most Clients Have Increased Long Positions And/or Decreased Short Positions 0 0.0 More Clients Have Increased Long Positions And/or Decreased Short Positions Than The Reverse 3 17.6 Clients Who Have Increased Long Positions And/Or Decreased Short Positions Are In Roughly Equal Proportion To Those That Have Increased Short Positions And/Or Decreased Long Positions 3 17.6 More Clients Have Increased Short Positions And/or Decreased Long Positions Than The Reverse 3 17.6 Most Clients Have Increased Short Positions And/Or Decreased Long Positions 0 0.0 No Significant Change In Volatility Exposure 8 47.1 Total 17 100.0 - Mutual funds, ETFs, and separately managed accounts established with investment advisers
Number of Respondents Percentage Most Clients Have Increased Long Positions And/or Decreased Short Positions 0 0.0 More Clients Have Increased Long Positions And/or Decreased Short Positions Than The Reverse 1 5.9 Clients Who Have Increased Long Positions And/Or Decreased Short Positions Are In Roughly Equal Proportion To Those That Have Increased Short Positions And/Or Decreased Long Positions 3 17.6 More Clients Have Increased Short Positions And/or Decreased Long Positions Than The Reverse 4 23.5 Most Clients Have Increased Short Positions And/Or Decreased Long Positions 1 5.9 No Significant Change In Volatility Exposure 8 47.1 Total 17 100.0 - Pension plans, endowments, and insurance companies
Number of Respondents Percentage Most Clients Have Increased Long Positions And/or Decreased Short Positions 0 0.0 More Clients Have Increased Long Positions And/or Decreased Short Positions Than The Reverse 3 17.6 Clients Who Have Increased Long Positions And/Or Decreased Short Positions Are In Roughly Equal Proportion To Those That Have Increased Short Positions And/Or Decreased Long Positions 3 17.6 More Clients Have Increased Short Positions And/or Decreased Long Positions Than The Reverse 2 11.8 Most Clients Have Increased Short Positions And/Or Decreased Long Positions 0 0.0 No Significant Change In Volatility Exposure 9 52.9 Total 17 100.0
85. Among various clients who trade equity volatility products, how concentrated is the net positions of your client accounts with respect to equity volatility (in terms of vega notional)? Please consider the cleared positions held in client accounts as well as bilateral OTC positions with your institution.
| Number of Respondents | Percentage | |
|---|---|---|
| A few clients account for most of the net positions | 1 | 4.3 |
| A small share of clients account for most of the net positions | 6 | 26.1 |
| Net positions are similar in magnitude across a moderate share of clients | 2 | 8.7 |
| Net positions are similar in magnitude across a large share of clients | 6 | 26.1 |
| Your institution has no clients who take substantial net positions in equity volatility | 8 | 34.8 |
| Total | 23 | 100.0 |
86. Do you have clients who dedicate a significant share of their trading to equity volatility products or strategies?
| Number of Respondents | Percentage | |
|---|---|---|
| Yes | 12 | 52.2 |
| No | 11 | 47.8 |
| Total | 23 | 100.0 |
87. What are the most popular volatility strategies used by those clients? Please select no more than three strategies, indicating the most popular in terms of vega notional by selecting the radio button in the first column, the second most popular by selecting the radio button in the second column, and so on.
| Topic | Most Important | 2nd Most Important | 3rd Most Important | Total |
|---|---|---|---|---|
| Number of Respondents |
Number of Respondents |
Number of Respondents |
||
| A) Buying volatility, or implementing strategies that profit when the volatility of a broad market index increases | 4 | 1 | 1 | 6 |
| B) Selling volatility, or implementing strategies that profit when the volatility of a broad market index decreases | 4 | 3 | 2 | 9 |
| C) Dispersion trading, or selling index options and simultaneously buying equity options on index constituents | 0 | 3 | 3 | 6 |
| D) Inverse dispersion trading, or buying index options and simultaneously selling equity options on index constituents | 0 | 0 | 1 | 1 |
| E) Strategies that profit when the volatility of the VIX increases | 4 | 1 | 1 | 6 |
| F) Strategies that profit when the volatility of the VIX decreases | 0 | 1 | 0 | 1 |
| G) Other (please specify) | 0 | 0 | 0 | 0 |
| Total | 12 | 9 | 8 |
88. Relative to the beginning of 2023, how has the use of each of the following volatility strategies by those clients changed?
- Buying volatility, or implementing strategies that profit when the volatility of a broad market index increases
Number of Respondents Percentage The amount of capital dedicated to this strategy has increased considerably 0 0.0 The amount of capital dedicated to this strategy has increased somewhat 4 33.3 The amount of capital dedicated to this strategy has remained basically unchanged 3 25.0 The amount of capital dedicated to this strategy has decreased somewhat 2 16.7 The amount of capital dedicated to this strategy has decreased considerably 2 16.7 Your institution has few or no clients using the specified strategies 1 8.3 Total 12 100.0 - Selling volatility, or implementing strategies that profit when the volatility of a broad market index decreases
Number of Respondents Percentage The amount of capital dedicated to this strategy has increased considerably 0 0.0 The amount of capital dedicated to this strategy has increased somewhat 6 50.0 The amount of capital dedicated to this strategy has remained basically unchanged 5 41.7 The amount of capital dedicated to this strategy has decreased somewhat 0 0.0 The amount of capital dedicated to this strategy has decreased considerably 0 0.0 Your institution has few or no clients using the specified strategies 1 8.3 Total 12 100.0 - Dispersion trading, or selling index options and simultaneously buying equity options on index constituents
Number of Respondents Percentage The amount of capital dedicated to this strategy has increased considerably 2 16.7 The amount of capital dedicated to this strategy has increased somewhat 2 16.7 The amount of capital dedicated to this strategy has remained basically unchanged 6 50.0 The amount of capital dedicated to this strategy has decreased somewhat 0 0.0 The amount of capital dedicated to this strategy has decreased considerably 0 0.0 Your institution has few or no clients using the specified strategies 2 16.7 Total 12 100.0 - Inverse dispersion trading, or buying index options and simultaneously selling equity options on index constituents
Number of Respondents Percentage The amount of capital dedicated to this strategy has increased considerably 0 0.0 The amount of capital dedicated to this strategy has increased somewhat 1 8.3 The amount of capital dedicated to this strategy has remained basically unchanged 6 50.0 The amount of capital dedicated to this strategy has decreased somewhat 0 0.0 The amount of capital dedicated to this strategy has decreased considerably 0 0.0 Your institution has few or no clients using the specified strategies 5 41.7 Total 12 100.0 - Strategies that profit when the volatility of the VIX increases
Number of Respondents Percentage The amount of capital dedicated to this strategy has increased considerably 0 0.0 The amount of capital dedicated to this strategy has increased somewhat 5 41.7 The amount of capital dedicated to this strategy has remained basically unchanged 6 50.0 The amount of capital dedicated to this strategy has decreased somewhat 0 0.0 The amount of capital dedicated to this strategy has decreased considerably 0 0.0 Your institution has few or no clients using the specified strategies 1 8.3 Total 12 100.0 - Strategies that profit when the volatility of the VIX decreases
Number of Respondents Percentage The amount of capital dedicated to this strategy has increased considerably 0 0.0 The amount of capital dedicated to this strategy has increased somewhat 5 41.7 The amount of capital dedicated to this strategy has remained basically unchanged 4 33.3 The amount of capital dedicated to this strategy has decreased somewhat 1 8.3 The amount of capital dedicated to this strategy has decreased considerably 0 0.0 Your institution has few or no clients using the specified strategies 2 16.7 Total 12 100.0 - Other (please specify)
Number of Respondents Percentage The amount of capital dedicated to this strategy has increased considerably 0 0.0 The amount of capital dedicated to this strategy has increased somewhat 0 0.0 The amount of capital dedicated to this strategy has remained basically unchanged 0 0.0 The amount of capital dedicated to this strategy has decreased somewhat 0 0.0 The amount of capital dedicated to this strategy has decreased considerably 0 0.0 Your institution has few or no clients using the specified strategies 1 100.0 Total 1 100.0
89. Which instruments are used most heavily (in terms of vega notional) to gain or manage exposure to equity volatility by your hedge fund clients who dedicate a significant share of their trading to equity volatility products or strategies? Please select no more than three instrument types, indicating the most important by selecting the radio button in the first column, the next most important by selecting the radio button in the second column, and so on.
| Topic | Most Important | 2nd Most Important | 3rd Most Important | Total |
|---|---|---|---|---|
| Number of Respondents |
Number of Respondents |
Number of Respondents |
||
| A) Zero-days-to-expiry options | 0 | 0 | 0 | 0 |
| B) Exchange-traded equity options (excluding zero-days-to-expiry options) | 11 | 0 | 0 | 11 |
| C) Over-the-counter equity options | 1 | 3 | 1 | 5 |
| D) VIX futures | 0 | 2 | 2 | 4 |
| E) VIX options | 0 | 2 | 3 | 5 |
| F) Volatility-linked ETPs | 0 | 0 | 0 | 0 |
| G) Variance swaps and volatility swaps | 0 | 2 | 1 | 3 |
| Total | 12 | 9 | 7 |
90. Which instruments are used most heavily (in terms of vega notional) to gain or manage exposure to equity volatility by your non-hedge-fund clients who dedicate a significant share of their trading to equity volatility products or strategies? Please select no more than three instrument types, indicating the most important by selecting the radio button in the first column, the next most important by selecting the radio button in the second column, and so on.
| Topic | Most Important | 2nd Most Important | 3rd Most Important | Total |
|---|---|---|---|---|
| Number of Respondents |
Number of Respondents |
Number of Respondents |
||
| A) Zero-days-to-expiry options | 1 | 0 | 0 | 1 |
| B) Exchange-traded equity options (excluding zero-days-to-expiry options) | 4 | 4 | 1 | 9 |
| C) Over-the-counter equity options | 6 | 3 | 0 | 9 |
| D) VIX futures | 1 | 1 | 2 | 4 |
| E) VIX options | 0 | 2 | 2 | 4 |
| F) Volatility-linked ETPs | 0 | 0 | 0 | 0 |
| G) Variance swaps and volatility swaps | 0 | 0 | 2 | 2 |
| Total | 12 | 10 | 7 |