Board of Governors of the Federal Reserve System

Current Release RSS DDP

Summary

The March 2018 Senior Credit Officer Opinion Survey on Dealer Financing Terms collected qualitative information on changes over the previous three months in credit terms and conditions in securities financing and over-the-counter (OTC) derivatives markets. In addition to the core questions, the survey included a set of special questions about leverage through margin accounts in the U.S. equity markets. 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 during the period between February 13, 2018, and February 26, 2018. The core questions asked about changes between December 2017 and February 2018.¹

Core Questions
(Questions 1-79)²

Responses to the core questions in the March survey offered a few insights on recent developments in dealer-intermediated markets. 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:

• In providing credit to their hedge fund clients, about one-fifth of respondents reported an easing in nonprice terms, and smaller fractions reported an easing in price terms and an increase in negotiation intensity (see the exhibit Management of Concentrated Credit Exposures and Indicators of Supply of Credit). Among the dealers that indicated an easing of terms, more aggressive competition from other institutions was cited as the most important reason.
• Price and nonprice terms were basically unchanged for all other classes of counterparties.

 

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

With regard to OTC derivatives markets, responses indicated that initial margin requirements were basically unchanged, on net, for average and most-favored clients.

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

• Approximately one-fifth of dealers indicated an increase in funding demand for equities (see the exhibit Measures of Demand for Funding and Market Functioning). Demand for funding has remained basically unchanged across other asset classes.
• Survey responses indicate that liquidity and functioning across asset classes have changed little in the past three months.³
• One-fifth of dealers, on net, reported a decrease in financing rates of high-grade corporate bonds for most-favored clients. Smaller net fractions indicated a decrease in financing rates of high-grade and high-yield corporate bonds for average clients.
• One-fourth of respondents noted a decrease in haircuts and financing rates for non-agency residential mortgage-backed securities (RMBS), commercial mortgage-backed securities, and consumer asset-backed securities, and smaller fractions indicated an increase in maximum funding and maximum maturity for these asset classes. A small fraction of dealers, on net, reported an easing across all terms for agency RMBS.
• On net, dealers indicated no change in terms for securities financing transactions in equities.

 

Special Questions on Equity Market Leverage
(Questions 81-86)

Leverage in U.S. equity markets, measured by the amount of credit extended through margin accounts relative to market capitalization, has increased since 2010. In the special questions for the survey this quarter, dealers were queried about their clients’ use of leverage in U.S. equity markets, primarily focusing on leverage through margin accounts.

With respect to the amount of credit extended to clients through margin accounts as a fraction of gross positions (defined as the sum of long and short exposures):

• A net fraction of one-half of respondents reported an increase in this amount since the beginning of 2016 for their hedge fund clients, and one-fifth, on net, reported such an increase for mutual funds, ETFs, pension plans, and endowments. The most cited reason for the increase was greater willingness on clients’ parts to take risk due to either lower expected future volatility or higher risk appetite. The next most cited reason was higher expected future returns.
• Dealers were asked to rank the current level of leverage extended to their clients’ investments in 10 U.S. equity market sectors through margin accounts.⁴ One-half of dealers reported that they extend either the highest or the second-highest amount of margin credit to client investments in the technology sector. One-half reported the same for the financial sector, and one-third did so for the energy sector; smaller fractions were reported for the industrial and consumer staples sectors.

 

Broadly speaking, there are two types of margining practices in U.S. equity markets. Strategy-based margins, such as those governed by the Federal Reserve Board’s Regulation T, set the amount of margins based on individual positions or strategies. Alternatively, portfolio margins determine the amount of margins based on the projected loss of a portfolio and generally result in lower margin requirements, especially for hedged or diversified positions.⁵ Portfolio margining was first introduced as a pilot program in April 2007 and was made permanent in August 2008. On clients’ use of various margining practices, responses revealed the following: ⁶

• Two-thirds of dealers indicated that their hedge fund clients mostly use portfolio margins but also use strategy-based margins to some extent. One-fourth responded that their hedge fund clients almost exclusively use portfolio margins.
• One-half responded that separately managed accounts established with investment advisors and mutual funds, ETFs, pension plans, and endowments mostly use portfolio margins but also use strategy-based margins to some extent. One-fifth indicated that these clients almost exclusively use portfolio margins.

 

Lastly, on various methods that clients could use to take on leverage in U.S. equity markets, the responses revealed the following:

• Three-fourths of dealers indicated that their clients predominantly use margin accounts to obtain leverage. Synthetic leverage through derivatives exposure was the second most frequently cited, followed by leverage through securities loans and repurchase agreements.
• Of those respondents that reported that their clients use methods other than margin accounts to take on leverage, three-fourths indicated that the amount of leverage that clients take using those alternative methods has not changed since the beginning of 2016. One-fourth reported an increase.

 

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

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

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

3. Note that survey respondents were instructed to report changes in liquidity and functioning in the market for the underlying collateral to be funded through repurchase agreements and similar secured financing transactions, not changes in the funding markets themselves. This question was not asked with respect to equity markets in the core questions. Return to text

4. The 10 S&P 500 sectors--energy, basic materials, industrial, consumer discretionary, consumer staples, health, financial, technology, telecom, and utilities--were the choices given in the survey, and respondents were asked to rank the top three. Return to text

5. Portfolio margins are specified in FINRA rule 4210 (g). Return to text

6. Total numbers of responses were insufficient to draw conclusions for trading REITs, insurance companies, and nonfinancial corporations. Return to text

 

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

Accessible version

 

Exhibit 2: Use of Financial Leverage

Accessible version

Exhibit 3: Measures of Demand of Funding and Market Functioning

 

Accessible version

 

Results of the March 2018 Senior Credit Officer Opinion Survey on Dealer Financing Terms

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

 

 

Counterparty Types

 

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

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

 

Dealers and Other Financial Intermediaries

 

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

 

Central Counterparties and Other Financial Utilities

 

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

 

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

 

 

Hedge Funds

 

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

 

5. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to hedge funds across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

6. To the extent that the price or nonprice terms applied to hedge funds have tightened or eased over the past three months (as reflected in your responses to questions 4 and 5), what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	4	66.7%
      2nd Most Important	1	16.7%
      3rd Most Important	1	16.7%
      Total	6	100.0%

   8. Other (please specify)

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

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

 

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

 

 

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

 

 

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

 

 

Trading Real Estate Investment Trusts

 

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

 

12. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to trading REITs across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

13. To the extent that the price or nonprice terms applied to trading REITs have tightened or eased over the past three months (as reflected in your responses to questions 11 and 12), what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other (please specify)

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other

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

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

 

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

 

 

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

 

 

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

 

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

 

18. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to mutual funds, ETFs, pension plans, and endowments across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

19. To the extent that the price or nonprice terms applied to mutual funds, ETFs, pension plans, and endowments have tightened or eased over the past three months (as reflected in your responses to questions 17 and 18) what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other

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

20. How has the intensity of efforts by mutual funds, ETFs, pension plans, and endowments to negotiate more-favorable price and nonprice terms changed over the past three months?

 

21. Considering the entire range of transactions facilitated by your institution, how has the use of financial leverage by each of the following types of clients changed over the past three months?

 

1. Mutual funds

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

2. ETFs

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

3. Pension plans

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	19	100.0%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

4. Endowments

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	19	100.0%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

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

 

Insurance Companies

 

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

 

24. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to insurance companies across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

25. To the extent that the price or nonprice terms applied to insurance companies have tightened or eased over the past three months (as reflected in your responses to questions 23 and 24) what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other

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

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

 

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

 

 

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

 

 

Separately Managed Accounts Established with Investment Advisers

 

29. Over the past three months, how have the price terms (for example, financing rates) offered to separately managed accounts established with investment advisers as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms?

 

30. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to separately managed accounts established with investment advisers across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

31. To the extent that the price or nonprice terms applied to separately managed accounts established with investment advisers have tightened or eased over the past three months (as reflected in your responses to questions 29 and 30), what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other

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

32. How has the intensity of efforts by investment advisers to negotiate more-favorable price and nonprice terms on behalf of separately managed accounts changed over the past three months?

 

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

 

 

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

 

 

Nonfinancial Corporations

 

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

 

36. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to nonfinancial corporations across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms?

 

 

37. To the extent that the price or nonprice terms applied to nonfinancial corporations have tightened or eased over the past three months (as reflected in your responses to questions 35 and 36) what are the most important reasons for the change?

 

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

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

   2. Reduced willingness of your institution to take on risk

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

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

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

   4. Higher internal treasury charges for funding

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

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

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

   6. Worsening in general market liquidity and functioning

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

   7. Less-aggressive competition from other institutions

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

   8. Other

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

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

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

   2. Increased willingness of your institution to take on risk

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

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

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

   4. Lower internal treasury charges for funding

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

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

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

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

   8. Other

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

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

 

Mark and Collateral Disputes

 

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

1. Dealers and other financial intermediaries

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

2. Hedge funds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	2	11.1%
   Remained Basically Unchanged	14	77.8%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	2	11.1%
   Total	18	100.0%

3. Trading REITs

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

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

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.3%
   Remained Basically Unchanged	15	79.0%
   Decreased Somewhat	2	10.5%
   Decreased Considerably	1	5.3%
   Total	19	100.0%

5. Insurance companies

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

6. Separately managed accounts established with investment advisers

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

7. Nonfinancial corporations

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	6.3%
   Remained Basically Unchanged	14	87.5%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	1	6.3%
   Total	16	100.0%

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

1. Dealers and other financial intermediaries

   	Number of Respondents	Percent
   Increased Considerably	2	10.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	16	80.0%
   Decreased Somewhat	2	10.0%
   Decreased Considerably	0	0.0%
   Total	20	100.0%

2. Hedge funds

   	Number of Respondents	Percent
   Increased Considerably	1	5.6%
   Increased Somewhat	1	5.6%
   Remained Basically Unchanged	14	77.8%
   Decreased Somewhat	1	5.6%
   Decreased Considerably	1	5.6%
   Total	18	100.0%

3. Trading REITs

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

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

   	Number of Respondents	Percent
   Increased Considerably	1	5.6%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	15	83.3%
   Decreased Somewhat	2	11.1%
   Decreased Considerably	0	0.0%
   Total	18	100.0%

5. Insurance companies

   	Number of Respondents	Percent
   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%

6. Separately managed accounts established with investment advisers

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

7. Nonfinancial corporations

   	Number of Respondents	Percent
   Increased Considerably	1	6.3%
   Increased Somewhat	1	6.3%
   Remained Basically Unchanged	14	87.5%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	16	100.0%

 

Over-the-Counter Derivatives

 

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

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

 

New and Renegotiated Master Agreements

 

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

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

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

2. Acceptable collateral

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

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

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0%
   Tightened Somewhat	0	0.0%
   Remained Basically Unchanged	17	100.0%
   Eased Somewhat	0	0.0%
   Eased Considerably	0	0.0%
   Total	17	100.0%

4. Triggers and covenants

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

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

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

6. Other

   	Number of Respondents	Percent
   Increased Considerably	0	Undefined
   Increased Somewhat	0	Undefined
   Remained Basically Unchanged	0	Undefined
   Decreased Somewhat	0	Undefined
   Decreased Considerably	0	Undefined
   Total	0	Undefined

 

Initial Margin

 

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	1	5.3%
   Remained basically unchanged	17	89.5%
   Decreased somewhat	1	5.3%
   Decreased considerably	0	0.0%
   Total	19	100.0%

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	19	100.0%
   Decreased somewhat	0	0.0%
   Decreased considerably	0	0.0%
   Total	19	100.0%

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	19	95.0%
   Decreased somewhat	1	5.0%
   Decreased considerably	0	0.0%
   Total	20	100.0%

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	20	100.0%
   Decreased somewhat	0	0.0%
   Decreased considerably	0	0.0%
   Total	20	100.0%

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased considerably	1	5.3%
   Increased somewhat	0	0.0%
   Remained basically unchanged	16	84.2%
   Decreased somewhat	2	10.5%
   Decreased considerably	0	0.0%
   Total	19	100.0%

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	18	94.7%
   Decreased somewhat	1	5.3%
   Decreased considerably	0	0.0%
   Total	19	100.0%

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased considerably	1	5.9%
   Increased somewhat	0	0.0%
   Remained basically unchanged	16	94.1%
   Decreased somewhat	0	0.0%
   Decreased considerably	0	0.0%
   Total	17	100.0%

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	17	100.0%
   Decreased somewhat	0	0.0%
   Decreased considerably	0	0.0%
   Total	17	100.0%

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	13	92.9%
   Decreased somewhat	1	7.1%
   Decreased considerably	0	0.0%
   Total	14	100.0%

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	13	92.9%
   Decreased somewhat	1	7.1%
   Decreased considerably	0	0.0%
   Total	14	100.0%

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	14	93.3%
   Decreased somewhat	1	6.7%
   Decreased considerably	0	0.0%
   Total	15	100.0%

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	15	100.0%
   Decreased somewhat	0	0.0%
   Decreased considerably	0	0.0%
   Total	15	100.0%

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	1	6.7%
   Remained basically unchanged	13	86.7%
   Decreased somewhat	1	6.7%
   Decreased considerably	0	0.0%
   Total	15	100.0%

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	14	93.3%
   Decreased somewhat	1	6.7%
   Decreased considerably	0	0.0%
   Total	15	100.0%

 

Nonstandard Collateral

 

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

 

Mark and Collateral Disputes

 

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

1. FX

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	2	11.1%
   Remained Basically Unchanged	14	77.8%
   Decreased Somewhat	1	5.6%
   Decreased Considerably	1	5.6%
   Total	18	100.0%

2. Interest rate

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.0%
   Remained Basically Unchanged	16	80.0%
   Decreased Somewhat	2	10.0%
   Decreased Considerably	1	5.0%
   Total	20	100.0%

3. Equity

   	Number of Respondents	Percent
   Increased Considerably	1	5.6%
   Increased Somewhat	1	5.6%
   Remained Basically Unchanged	15	83.3%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	1	5.6%
   Total	18	100.0%

4. Credit referencing corporates

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

5. Credit referencing securitized products including MBS and ABS

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

6. Commodity

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

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

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

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

1. FX

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

2. Interest rate

   	Number of Respondents	Percent
   Increased Considerably	1	5.0%
   Increased Somewhat	1	5.0%
   Remained Basically Unchanged	16	80.0%
   Decreased Somewhat	1	5.0%
   Decreased Considerably	1	5.0%
   Total	20	100.0%

3. Equity

   	Number of Respondents	Percent
   Increased Considerably	2	11.1%
   Increased Somewhat	1	5.6%
   Remained Basically Unchanged	14	77.8%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	1	5.6%
   Total	18	100.0%

4. Credit referencing corporates

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

5. Credit referencing securitized products including MBS and ABS

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

6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	2	12.5%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	14	87.5%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	16	100.0%

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

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

 

Securities Financing

 

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

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

 

High-Grade Corporate Bonds

 

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	22	100.0%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	22	100.0%

   2. Maximum maturity

      	Number of Respondents	Percent
      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%

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	21	95.5%
      Eased Somewhat	1	4.6%
      Eased Considerably	0	0.0%
      Total	22	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.6%
      Remained Basically Unchanged	17	77.3%
      Eased Somewhat	4	18.2%
      Eased Considerably	0	0.0%
      Total	22	100.0%

   5. Other

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	21	95.5%
      Eased Somewhat	0	0.0%
      Eased Considerably	1	4.6%
      Total	22	100.0%

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	20	90.9%
      Eased Somewhat	1	4.6%
      Eased Considerably	1	4.6%
      Total	22	100.0%

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	20	90.9%
      Eased Somewhat	1	4.6%
      Eased Considerably	1	4.6%
      Total	22	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.6%
      Remained Basically Unchanged	16	72.7%
      Eased Somewhat	4	18.2%
      Eased Considerably	1	4.6%
      Total	22	100.0%

   5. Other

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

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

 

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

 

 

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

 

 

High-Yield Corporate Bonds

 

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

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

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

   2. Maximum maturity

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

   3. Haircuts

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	2	11.1%
      Remained Basically Unchanged	11	61.1%
      Eased Somewhat	4	22.2%
      Eased Considerably	1	5.6%
      Total	18	100.0%

   5. Other

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

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

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

   2. Maximum maturity

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

   3. Haircuts

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	2	11.1%
      Remained Basically Unchanged	11	61.1%
      Eased Somewhat	4	22.2%
      Eased Considerably	1	5.6%
      Total	18	100.0%

   5. Other

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

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

 

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

 

 

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

 

 

Equities (Including through Stock Loan)

 

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

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

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

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      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%

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

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

   5. Other

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

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

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

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      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%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	18	85.7%
      Eased Somewhat	3	14.3%
      Eased Considerably	0	0.0%
      Total	21	100.0%

   5. Other

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

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

 

Agency Residential Mortgage-Backed Securities

 

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

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

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

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	18	85.7%
      Eased Somewhat	3	14.3%
      Eased Considerably	0	0.0%
      Total	21	100.0%

   3. Haircuts

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	18	85.7%
      Eased Somewhat	3	14.3%
      Eased Considerably	0	0.0%
      Total	21	100.0%

   5. Other

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

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

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

   2. Maximum maturity

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

   3. Haircuts

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

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

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

   5. Other

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

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

 

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

 

 

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

 

 

Non-Agency Residential Mortgage-Backed Securities

 

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	16	94.1%
      Eased Somewhat	1	5.9%
      Eased Considerably	0	0.0%
      Total	17	100.0%

   2. Maximum maturity

      	Number of Respondents	Percent
      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%

   3. Haircuts

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	5.9%
      Remained Basically Unchanged	12	70.6%
      Eased Somewhat	3	17.7%
      Eased Considerably	1	5.9%
      Total	17	100.0%

   5. Other

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	16	94.1%
      Eased Somewhat	1	5.9%
      Eased Considerably	0	0.0%
      Total	17	100.0%

   2. Maximum maturity

      	Number of Respondents	Percent
      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%

   3. Haircuts

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	13	76.5%
      Eased Somewhat	3	17.7%
      Eased Considerably	1	5.9%
      Total	17	100.0%

   5. Other

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

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

 

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

 

 

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

 

 

Commercial Mortgage-Backed Securities

 

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	14	93.3%
      Eased Somewhat	1	6.7%
      Eased Considerably	0	0.0%
      Total	15	100.0%

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	11	73.3%
      Eased Somewhat	4	26.7%
      Eased Considerably	0	0.0%
      Total	15	100.0%

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

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

   5. Other

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

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

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

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	11	73.3%
      Eased Somewhat	4	26.7%
      Eased Considerably	0	0.0%
      Total	15	100.0%

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

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

   5. Other

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

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

 

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

 

 

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

 

 

Consumer Asset-Backed Securities

 

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	12	85.7%
      Eased Somewhat	2	14.3%
      Eased Considerably	0	0.0%
      Total	14	100.0%

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	11	78.6%
      Eased Somewhat	3	21.4%
      Eased Considerably	0	0.0%
      Total	14	100.0%

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	10	71.4%
      Eased Somewhat	4	28.6%
      Eased Considerably	0	0.0%
      Total	14	100.0%

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

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

   5. Other

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	12	85.7%
      Eased Somewhat	2	14.3%
      Eased Considerably	0	0.0%
      Total	14	100.0%

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	11	78.6%
      Eased Somewhat	3	21.4%
      Eased Considerably	0	0.0%
      Total	14	100.0%

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	10	71.4%
      Eased Somewhat	4	28.6%
      Eased Considerably	0	0.0%
      Total	14	100.0%

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

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

   5. Other

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

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

 

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

 

 

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

 

 

Mark and Collateral Disputes

 

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

1. High-grade corporate bonds

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

2. High-yield corporate bonds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	19	100.0%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

3. Equities

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

4. Agency RMBS

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

5. Non-agency RMBS

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

6. CMBS

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

7. Consumer ABS

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

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

1. High-grade corporate bonds

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

2. High-yield corporate bonds

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

3. Equities

   	Number of Respondents	Percent
   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%

4. Agency RMBS

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

5. Non-agency RMBS

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

6. CMBS

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

7. Consumer ABS

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

 

Optional Question

 

Question 80 requests feedback on any other issues you judge to be important relating to credit terms applicable to securities financing transactions and OTC derivatives contracts.

Special Questions on Equity Market Leverage

Leverage in U.S. equity markets, as measured by the amount of credit extended through margin accounts as a fraction of market capitalization, has increased since 2010. In these special questions, we ask about your clients’ use of leverage in U.S. equity markets, primarily focusing on leverage through margin accounts.

Questions 81 through 84 ask about the credit extended to clients through margin accounts and the change in the amount of credit extended since the beginning of 2016. Questions 85 and 86 ask about alternative methods that your clients use to take on leverage. All questions pertain to U.S. equity markets.

81. Since the beginning of 2016, how has the amount of credit extended to your clients through margin accounts as a fraction of their gross positions in U.S. equities changed?¹

1. Hedge funds

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	10	52.6%
   Remained basically unchanged	8	42.1%
   Decreased somewhat	1	5.3%
   Decreased considerably	0	0.0%
   Total	19	100.0%

2. Trading REITs

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	9	100.0%
   Decreased somewhat	0	0.0%
   Decreased considerably	0	0.0%
   Total	9	100.0%

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	4	25.0%
   Remained basically unchanged	11	68.8%
   Decreased somewhat	1	6.3%
   Decreased considerably	0	0.0%
   Total	16	100.0%

4. Insurance companies

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	5	100.0%
   Decreased somewhat	0	0.0%
   Decreased considerably	0	0.0%
   Total	5	100.0%

5. Separately managed accounts established with investment advisers

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	3	20.0%
   Remained basically unchanged	11	73.3%
   Decreased somewhat	1	6.7%
   Decreased considerably	0	0.0%
   Total	15	100.0%

6. Nonfinancial corporations

   	Number of Respondents	Percent
   Increased considerably	0	0.0%
   Increased somewhat	0	0.0%
   Remained basically unchanged	5	100.0%
   Decreased somewhat	0	0.0%
   Decreased considerably	0	0.0%
   Total	5	100.0%

 

82. To the extent that the amount of margin credit extended to your clients as a fraction of their gross positions has changed since the beginning of 2016 (as reflected in your responses to question 81), what are the most important reasons for the change?

 

1. Possible reasons for an increase
   1. Higher expected future returns

      	Number of Respondents	Percent
      Most important	1	33.3%
      2nd most important	2	66.7%
      3rd most important	0	0.0%
      Total	3	100.0%

   2. Increase in clients' willingness to take risk due to either lower expected future volatility or increase in risk appetite

      	Number of Respondents	Percent
      Most important	4	66.7%
      2nd most important	1	16.7%
      3rd most important	1	16.7%
      Total	6	100.0%

   3. More favorable terms on margin loans

      	Number of Respondents	Percent
      Most important	0	0.0%
      2nd most important	0	0.0%
      3rd most important	1	100.0%
      Total	1	100.0%

   4. Wider use of portfolio margins such as the one specified in section (g) of FINRA Rule 4210|4

      	Number of Respondents	Percent
      Most important	2	100.0%
      2nd most important	0	0.0%
      3rd most important	0	0.0%
      Total	2	100.0%

   5. Other reasons

      	Number of Respondents	Percent
      Most important	3	60.0%
      2nd most important	1	20.0%
      3rd most important	1	20.0%
      Total	5	100.0%

2. Possible reasons for a decrease
   1. Lower expected future returns

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

   2. Decrease in clients' willingness to take risk due to either higher expected future volatility or decrease in risk appetite

      	Number of Respondents	Percent
      Most important	1	100.0%
      2nd most important	0	0.0%
      3rd most important	0	0.0%
      Total	1	100.0%

   3. Less favorable terms on margin loans

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

   4. Lower use of portfolio margins such as the one specified in section (g) of FINRA Rule 4210|4

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

   5. Other reasons

      	Number of Respondents	Percent
      Most important	1	100.0%
      2nd most important	0	0.0%
      3rd most important	0	0.0%
      Total	1	100.0%

 

83. In which sectors of U.S. equity markets do your clients currently have the highest amount of credit extended through margin accounts as a fraction of their gross positions?

 

1. Energy

   	Number of Respondents	Percent
   Highest	2	25.0%
   2nd Highest	5	62.5%
   3rd Highest	1	12.5%
   Total	8	100.0%

2. Basic materials

   	Number of Respondents	Percent
   Highest	0	0.0%
   2nd Highest	0	0.0%
   3rd Highest	2	100.0%
   Total	2	100.0%

3. Industrial

   	Number of Respondents	Percent
   Highest	3	75.0%
   2nd Highest	0	0.0%
   3rd Highest	1	25.0%
   Total	4	100.0%

4. Consumer discretionary

   	Number of Respondents	Percent
   Highest	1	25.0%
   2nd Highest	2	50.0%
   3rd Highest	1	25.0%
   Total	4	100.0%

5. Consumer staples

   	Number of Respondents	Percent
   Highest	1	20.0%
   2nd Highest	3	60.0%
   3rd Highest	1	20.0%
   Total	5	100.0%

6. Health

   	Number of Respondents	Percent
   Highest	1	33.3%
   2nd Highest	0	0.0%
   3rd Highest	2	66.7%
   Total	3	100.0%

7. Financial

   	Number of Respondents	Percent
   Highest	7	58.3%
   2nd Highest	3	25.0%
   3rd Highest	2	16.7%
   Total	12	100.0%

8. Technology

   	Number of Respondents	Percent
   Highest	6	46.2%
   2nd Highest	5	38.5%
   3rd Highest	2	15.4%
   Total	13	100.0%

9. Telecom

   	Number of Respondents	Percent
   Highest	0	0.0%
   2nd Highest	1	33.3%
   3rd Highest	2	66.7%
   Total	3	100.0%

10. Utilities

    	Number of Respondents	Percent
    Highest	1	100.0%
    2nd Highest	0	0.0%
    3rd Highest	0	0.0%
    Total	1	100.0%

 

84. Which types of margining practices do your clients use more in U.S. equity markets, as measured by the amount of credit extended? Strategy-based margins refer to margining practices based on individual positions or strategies, such as those governed by Federal Reserve Board’s Regulation T or section (a) through (f) of FINRA Rule 4210. Portfolio margins refer to margining practices based on projected net loss of a portfolio, such as the one specified in section (g) of FINRA Rule 4210.

 

1. Hedge funds

   	Number of Respondents	Percent
   Almost exclusively use portfolio margins	4	23.5%
   Mostly use portfolio margins, but also use strategy-based margins to some extent	11	64.7%
   Portfolio margins and strategy-based margins are used roughly equally	0	0.0%
   Mostly use strategy-based margins, but also use portfolio margins to some extent	1	5.9%
   Almost exclusively use strategy-based margins	1	5.9%
   Total	17	100.0%

2. Trading REITs

   	Number of Respondents	Percent
   Almost exclusively use portfolio margins	0	0.0%
   Mostly use portfolio margins, but also use strategy-based margins to some extent	2	40.0%
   Portfolio margins and strategy-based margins are used roughly equally	1	20.0%
   Mostly use strategy-based margins, but also use portfolio margins to some extent	0	0.0%
   Almost exclusively use strategy-based margins	2	40.0%
   Total	5	100.0%

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

   	Number of Respondents	Percent
   Almost exclusively use portfolio margins	2	18.2%
   Mostly use portfolio margins, but also use strategy-based margins to some extent	5	45.5%
   Portfolio margins and strategy-based margins are used roughly equally	1	9.1%
   Mostly use strategy-based margins, but also use portfolio margins to some extent	1	9.1%
   Almost exclusively use strategy-based margins	2	18.2%
   Total	11	100.0%

4. Insurance companies

   	Number of Respondents	Percent
   Almost exclusively use portfolio margins	0	0.0%
   Mostly use portfolio margins, but also use strategy-based margins to some extent	1	33.3%
   Portfolio margins and strategy-based margins are used roughly equally	1	33.3%
   Mostly use strategy-based margins, but also use portfolio margins to some extent	0	0.0%
   Almost exclusively use strategy-based margins	1	33.3%
   Total	3	100.0%

5. Separately managed accounts established with investment advisers

   	Number of Respondents	Percent
   Almost exclusively use portfolio margins	3	25.0%
   Mostly use portfolio margins, but also use strategy-based margins to some extent	6	50.0%
   Portfolio margins and strategy-based margins are used roughly equally	1	8.3%
   Mostly use strategy-based margins, but also use portfolio margins to some extent	0	0.0%
   Almost exclusively use strategy-based margins	2	16.7%
   Total	12	100.0%

6. Nonfinancial corporations

   	Number of Respondents	Percent
   Almost exclusively use portfolio margins	1	33.3%
   Mostly use portfolio margins, but also use strategy-based margins to some extent	1	33.3%
   Portfolio margins and strategy-based margins are used roughly equally	0	0.0%
   Mostly use strategy-based margins, but also use portfolio margins to some extent	1	33.3%
   Almost exclusively use strategy-based margins	0	0.0%
   Total	3	100.0%

 

85. What are the most important methods that your clients use to take on leverage in U.S. equity markets?

 

1. Leverage through margin accounts

   	Number of Respondents	Percent
   Most Important	15	88.2%
   2nd Most Important	2	11.8%
   3rd Most Important	0	0.0%
   Total	17	100.0%

2. Synthetic leverage through derivatives exposures

   	Number of Respondents	Percent
   Most Important	2	13.3%
   2nd Most Important	11	73.3%
   3rd Most Important	2	13.3%
   Total	15	100.0%

3. Leverage through repurchase agreements

   	Number of Respondents	Percent
   Most Important	3	50.0%
   2nd Most Important	0	0.0%
   3rd Most Important	3	50.0%
   Total	6	100.0%

4. Leverage through securities loans

   	Number of Respondents	Percent
   Most Important	0	0.0%
   2nd Most Important	5	45.5%
   3rd Most Important	6	54.6%
   Total	11	100.0%

5. Other

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

 

86. To the extent that your clients use methods other than margin accounts to take on leverage (as reflected in your response to question 85), how has the amount of leverage they take using those methods changed since the beginning of 2016?

 

1. Throughout these special questions, "gross positions" refer to combined long and short exposures. Return to text