Board of Governors of the Federal Reserve System

Current Release RSS DDP

Summary

The June 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 special questions about the effect on dealers and their clients of the increase in U.S. equity market volatility in early February and the widening in LIBOR-OIS spreads that occurred earlier this year. 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 May 7, 2018, and May 23, 2018. The core questions asked about changes between March 2018 and May 2018.

Core Questions
(Questions 1-79)¹

Responses to the core questions in the June survey offered several insights regarding 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, survey responses revealed the following:

• In providing credit to their hedge fund clients, about one-eighth and one-fifth of respondents reported an easing in price and nonprice terms, respectively (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.
• In providing credit to their trading real estate investment trust (REIT) clients, on net, nearly one-third of respondents reported an easing in price terms, while just under one-fifth of respondents reported an easing in nonprice terms. As was true for hedge fund clients, the dealers that indicated an easing of terms cited more aggressive competition from other institutions as the most important reason for the easing in terms.
• Price and nonprice terms were basically unchanged for all other classes of counterparties.
• About one-fifth and one-fourth of the dealers reported an increase in negotiation intensity by hedge fund and trading REIT clients, respectively, for more favorable price and nonprice terms.
• With regard to mark and collateral dispute with different counterparty types, a small number of dealers reported considerable increases in the volume of disputes with various counterparties.

Dealers indicated little change over the past three months with respect to the use of financial leverage by different counterparty types on net (see the exhibit Use of Financial Leverage).

With regard to OTC derivatives markets, responses to the core questions revealed that initial margin requirements were basically unchanged, on net, across all counterparty types.

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

• On net, roughly one-fourth of all dealers indicated a decline in demand for funding on equities (see the exhibit Measures of Demand for Funding and Market Functioning).
• One-fourth of all dealers reported a decrease in the demand for term funding on non-agency residential mortgage-backed securities. One-fifth of all respondents also noted a decrease in the demand for term funding on consumer asset-backed securities. Demand for funding on other asset classes was reportedly little changed.
• Approximately one-fifth of dealers reported a decrease in financing rates for high-grade and high-yield corporate bonds and commercial mortgage-backed securities; a similar fraction reported that financing rates had eased for equities for their most-favored clients. Financing rates for other asset classes were reportedly little changed.
• Survey responses indicate that liquidity and functioning across asset classes have changed little in the past three months.²

 

Special Questions

Equity Market Volatility ³
(Questions 81-85)

Volatility in U.S. equity markets increased sharply in early February 2018 and the LIBOR-OIS spread also rose notably in recent months.⁴ In special questions for the survey this quarter, dealers were queried about the effects of these financial market developments on their risk management practices and on how they fund their clients.

With respect to the effect of the February increase in U.S. equity market volatility, respondents indicated the following:

• Roughly one-half of dealers responded that they made some changes to their counterparty risk management in response to the market volatility. About one-fifth of dealers made changes to margin requirements or haircuts or both; a smaller fraction reported changes to models used to assess counterparty risk or to actual counterparty risk limits.⁵ Just under one-third of dealers specified other actions they took in response to the rise in market volatility, which included an increase in stress tests on the VIX and other volatility-related securities and derivatives, as well as more proactive monitoring of intraday margin calls.
  • For those dealers that reported making changes, responses were mixed as to whether those changes were long-lasting or temporary.⁶ Dealers that made changes to models used to assess counterparty risk noted that the changes were long lasting. Responses regarding changes in margin requirements, haircuts and counterparty risk limits were roughly split between the long-lasting and temporary buckets.
• Dealers indicated that increases in margin requirements or haircuts or both by central counterparties over the past three months had either minimal or no influence on the terms on bilateral transactions offered to their clients.
• Four-fifths of dealers reported no change in the demand for leverage via margin loans or equity derivatives since the increase in equity market volatility.

Widening in LIBOR-OIS Spread ⁷
(Questions 86-88)

With respect to the effect of the widening in the LIBOR-OIS spread, respondents indicated the following:

• All dealers reported that the amount of funding they made available to clients remained basically unchanged in response to the increase in the spread. With regard to terms, a small fraction of dealers indicated tightening in price terms to hedge funds and trading REITs in response to the rise in the spread, while price terms to other types of clients were unaffected. Nonprice terms for all clients were said to be unchanged in reaction to the widening in the spread.

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

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

2. 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

3. The description of the LIBOR-OIS spread in the introduction paragraph below covers the period from the close of the prior survey to the close of the current survey. Return to text

4. Notwithstanding the declines seen in the LIBOR-OIS spread since April, at the time the survey was conducted the measure was still higher relative to its level its level in February, when the survey for the March SCOOS report was under way. Return to text

5. Responses to the question on which actions dealers took were not required to be mutually exclusive, and therefore the responses do not sum to 100 percent. Return to text

6. Changes were deemed "long lasting" if they remained in place after the spike in implied volatility in early February and "temporary" if they were reversed after the spike in implied volatility had subsided. Return to text

7. The description of the LIBOR-OIS spread in the introduction paragraph below covers the period from the close of the prior survey to the close of the current survey. 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 June 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	1	100.0 %
      2nd Most Important	0	0.0 %
      3rd Most Important	0	0.0 %
      Total	1	100.0 %

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

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

   2. Increased willingness of your institution to take on risk

      	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 %

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

      	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 %

   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	1	50.0 %
      2nd Most Important	1	50.0 %
      3rd Most Important	0	0.0 %
      Total	2	100.0 %

   7. More-aggressive competition from other institutions

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

   8. Other (please specify)

      	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. 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	1	100.0 %
      2nd Most Important	0	0.0 %
      3rd Most Important	0	0.0 %
      Total	1	100.0 %

   2. Reduced willingness of your institution to take on risk

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

   6. Improvement in general market liquidity and functioning

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

   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	5	83.3 %
      2nd Most Important	0	0.0 %
      3rd Most Important	1	16.7 %
      Total	6	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	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	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	1	100.0 %
      2nd Most Important	0	0.0 %
      3rd Most Important	0	0.0 %
      Total	1	100.0 %

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

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

 

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

 

1. Mutual funds

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

2. ETFs

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

3. Pension plans

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

4. Endowments

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

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	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	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	0	0.0 %
      2nd Most Important	2	100.0 %
      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	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

   8. 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 %

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

   7. More-aggressive competition from other institutions

      	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 %

   8. 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 %

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	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. Hedge funds

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

3. Trading REITs

   	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 %

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

   	Number of Respondents	Percent
   Increased Considerably	1	5.3 %
   Increased Somewhat	2	10.5 %
   Remained Basically Unchanged	14	73.7 %
   Decreased Somewhat	2	10.5 %
   Decreased Considerably	0	0.0 %
   Total	19	100.0 %

5. Insurance companies

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

6. Separately managed accounts established with investment advisers

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

7. Nonfinancial corporations

   	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 %

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

1. Dealers and other financial intermediaries

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

2. Hedge funds

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

3. Trading REITs

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

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

   	Number of Respondents	Percent
   Increased Considerably	1	5.3 %
   Increased Somewhat	1	5.3 %
   Remained Basically Unchanged	14	73.7 %
   Decreased Somewhat	1	5.3 %
   Decreased Considerably	2	10.5 %
   Total	19	100.0 %

5. Insurance companies

   	Number of Respondents	Percent
   Increased Considerably	1	5.3 %
   Increased Somewhat	1	5.3 %
   Remained Basically Unchanged	15	78.9 %
   Decreased Somewhat	1	5.3 %
   Decreased Considerably	1	5.3 %
   Total	19	100.0 %

6. Separately managed accounts established with investment advisers

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

7. Nonfinancial corporations

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

 

Over-the-Counter Derivatives

 

Questions 41 through 51 ask about OTC derivatives trades. Question 41 focuses on nonprice terms applicable to new and renegotiated master agreements. Questions 42 through 48 ask about the initial margin requirements for most-favored and average clients applicable to different types of contracts: Question 42 focuses on foreign exchange (FX); question 43 on interest rates; question 44 on equity; question 45 on contracts referencing corporate credits (single-name and indexes); question 46 on credit derivatives referencing structured products such as mortgage-backed securities (MBS) and asset-backed securities (ABS) (specific tranches and indexes); question 47 on commodities; and question 48 on total return swaps (TRS) referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans). Question 49 asks about posting of nonstandard collateral pursuant to OTC 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	5.0 %
   Remained Basically Unchanged	18	90.0 %
   Eased Somewhat	1	5.0 %
   Eased Considerably	0	0.0 %
   Total	20	100.0 %

2. Acceptable collateral

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

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

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

4. Triggers and covenants

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

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

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

6. Other

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

 

Initial Margin

 

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

1. Initial margin requirements for average clients

   	Number of Respondents	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	18	90.0 %
   Decreased somewhat	2	10.0 %
   Decreased considerably	0	0.0 %
   Total	20	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	20	95.2 %
   Decreased somewhat	1	4.8 %
   Decreased considerably	0	0.0 %
   Total	21	100.0 %

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0 %
   Increased somewhat	0	0.0 %
   Remained basically unchanged	19	90.5 %
   Decreased somewhat	2	9.5 %
   Decreased considerably	0	0.0 %
   Total	21	100.0 %

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased considerably	0	0.0 %
   Increased somewhat	2	10.0 %
   Remained basically unchanged	17	85.0 %
   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	2	10.0 %
   Remained basically unchanged	17	85.0 %
   Decreased somewhat	1	5.0 %
   Decreased considerably	0	0.0 %
   Total	20	100.0 %

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased considerably	0	0.0 %
   Increased somewhat	1	5.6 %
   Remained basically unchanged	16	88.9 %
   Decreased somewhat	1	5.6 %
   Decreased considerably	0	0.0 %
   Total	18	100.0 %

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0 %
   Increased somewhat	1	5.6 %
   Remained basically unchanged	16	88.9 %
   Decreased somewhat	1	5.6 %
   Decreased considerably	0	0.0 %
   Total	18	100.0 %

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	14	100.0 %
   Decreased somewhat	0	0.0 %
   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	16	100.0 %
   Decreased somewhat	0	0.0 %
   Decreased considerably	0	0.0 %
   Total	16	100.0 %

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

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

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   Increased considerably	0	0.0 %
   Increased somewhat	1	6.3 %
   Remained basically unchanged	15	93.8 %
   Decreased somewhat	0	0.0 %
   Decreased considerably	0	0.0 %
   Total	16	100.0 %

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

   	Number of Respondents	Percent
   Increased considerably	0	0.0 %
   Increased somewhat	1	6.3 %
   Remained basically unchanged	15	93.8 %
   Decreased somewhat	0	0.0 %
   Decreased considerably	0	0.0 %
   Total	16	100.0 %

 

Nonstandard Collateral

 

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

 

Mark and Collateral Disputes

 

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

1. FX

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

2. Interest rate

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

3. Equity

   	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 %

4. Credit referencing corporates

   	Number of Respondents	Percent
   Increased Considerably	1	5.9 %
   Increased Somewhat	0	0.0 %
   Remained Basically Unchanged	15	88.2 %
   Decreased Somewhat	1	5.9 %
   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	13	92.9 %
   Decreased Somewhat	0	0.0 %
   Decreased Considerably	0	0.0 %
   Total	14	100.0 %

6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	1	6.7 %
   Increased Somewhat	0	0.0 %
   Remained Basically Unchanged	14	93.3 %
   Decreased Somewhat	0	0.0 %
   Decreased Considerably	0	0.0 %
   Total	15	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	6.7 %
   Increased Somewhat	1	6.7 %
   Remained Basically Unchanged	13	86.7 %
   Decreased Somewhat	0	0.0 %
   Decreased Considerably	0	0.0 %
   Total	15	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	0	0.0 %
   Remained Basically Unchanged	16	88.9 %
   Decreased Somewhat	0	0.0 %
   Decreased Considerably	1	5.6 %
   Total	18	100.0 %

2. Interest rate

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

3. Equity

   	Number of Respondents	Percent
   Increased Considerably	1	5.9 %
   Increased Somewhat	1	5.9 %
   Remained Basically Unchanged	13	76.5 %
   Decreased Somewhat	1	5.9 %
   Decreased Considerably	1	5.9 %
   Total	17	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	13	86.7 %
   Decreased Somewhat	1	6.7 %
   Decreased Considerably	1	6.7 %
   Total	15	100.0 %

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

   	Number of Respondents	Percent
   Increased Considerably	0	0.0 %
   Increased Somewhat	1	6.7 %
   Remained Basically Unchanged	13	86.7 %
   Decreased Somewhat	0	0.0 %
   Decreased Considerably	1	6.7 %
   Total	15	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	20	100.0 %
      Eased Somewhat	0	0.0 %
      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	19	95.0 %
      Eased Somewhat	1	5.0 %
      Eased Considerably	0	0.0 %
      Total	20	100.0 %

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	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	15	75.0 %
      Eased Somewhat	3	15.0 %
      Eased Considerably	1	5.0 %
      Total	20	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	20	100.0 %
      Eased Somewhat	0	0.0 %
      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	20	100.0 %
      Eased Somewhat	0	0.0 %
      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	15	75.0 %
      Eased Somewhat	3	15.0 %
      Eased Considerably	1	5.0 %
      Total	20	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	18	100.0 %
      Eased Somewhat	0	0.0 %
      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	18	100.0 %
      Eased Somewhat	0	0.0 %
      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	1	5.6 %
      Remained Basically Unchanged	12	66.7 %
      Eased Somewhat	4	22.2 %
      Eased Considerably	1	5.6 %
      Total	18	100.0 %

   5. Other

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

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	100.0 %
      Eased Somewhat	0	0.0 %
      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	18	100.0 %
      Eased Somewhat	0	0.0 %
      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	1	5.6 %
      Remained Basically Unchanged	12	66.7 %
      Eased Somewhat	4	22.2 %
      Eased Considerably	1	5.6 %
      Total	18	100.0 %

   5. Other

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

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	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	1	5.0 %
      Remained Basically Unchanged	19	95.0 %
      Eased Somewhat	0	0.0 %
      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	20	100.0 %
      Eased Somewhat	0	0.0 %
      Eased Considerably	0	0.0 %
      Total	20	100.0 %

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

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

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	85.0 %
      Eased Somewhat	3	15.0 %
      Eased Considerably	0	0.0 %
      Total	20	100.0 %

   2. Maximum maturity

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

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	0	0.0 %
      Remained Basically Unchanged	16	80.0 %
      Eased Somewhat	4	20.0 %
      Eased Considerably	0	0.0 %
      Total	20	100.0 %

   5. Other

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

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	1	5.0 %
      Remained Basically Unchanged	17	85.0 %
      Eased Somewhat	2	10.0 %
      Eased Considerably	0	0.0 %
      Total	20	100.0 %

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	1	5.0 %
      Remained Basically Unchanged	17	85.0 %
      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	1	5.0 %
      Remained Basically Unchanged	19	95.0 %
      Eased Somewhat	0	0.0 %
      Eased Considerably	0	0.0 %
      Total	20	100.0 %

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	2	10.0 %
      Remained Basically Unchanged	14	70.0 %
      Eased Somewhat	4	20.0 %
      Eased Considerably	0	0.0 %
      Total	20	100.0 %

   5. Other

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

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

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

   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	1	5.0 %
      Remained Basically Unchanged	17	85.0 %
      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	1	5.0 %
      Remained Basically Unchanged	19	95.0 %
      Eased Somewhat	0	0.0 %
      Eased Considerably	0	0.0 %
      Total	20	100.0 %

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	2	10.0 %
      Remained Basically Unchanged	14	70.0 %
      Eased Somewhat	4	20.0 %
      Eased Considerably	0	0.0 %
      Total	20	100.0 %

   5. Other

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

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	100.0 %
      Eased Somewhat	0	0.0 %
      Eased Considerably	0	0.0 %
      Total	16	100.0 %

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	2	12.5 %
      Remained Basically Unchanged	10	62.5 %
      Eased Somewhat	3	18.8 %
      Eased Considerably	1	6.3 %
      Total	16	100.0 %

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	3	18.8 %
      Remained Basically Unchanged	9	56.3 %
      Eased Somewhat	3	18.8 %
      Eased Considerably	1	6.3 %
      Total	16	100.0 %

   5. Other

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

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	100.0 %
      Eased Somewhat	0	0.0 %
      Eased Considerably	0	0.0 %
      Total	16	100.0 %

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	2	12.5 %
      Remained Basically Unchanged	10	62.5 %
      Eased Somewhat	3	18.8 %
      Eased Considerably	1	6.3 %
      Total	16	100.0 %

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	3	18.8 %
      Remained Basically Unchanged	9	56.3 %
      Eased Somewhat	3	18.8 %
      Eased Considerably	1	6.3 %
      Total	16	100.0 %

   5. Other

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

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	15	100.0 %
      Eased Somewhat	0	0.0 %
      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	14	93.3 %
      Eased Somewhat	1	6.7 %
      Eased Considerably	0	0.0 %
      Total	15	100.0 %

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	1	6.7 %
      Remained Basically Unchanged	11	73.3 %
      Eased Somewhat	2	13.3 %
      Eased Considerably	1	6.7 %
      Total	15	100.0 %

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	1	6.7 %
      Remained Basically Unchanged	10	66.7 %
      Eased Somewhat	3	20.0 %
      Eased Considerably	1	6.7 %
      Total	15	100.0 %

   5. Other

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

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	6.7 %
      Remained Basically Unchanged	13	86.7 %
      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	1	6.7 %
      Remained Basically Unchanged	13	86.7 %
      Eased Somewhat	1	6.7 %
      Eased Considerably	0	0.0 %
      Total	15	100.0 %

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	2	13.3 %
      Remained Basically Unchanged	10	66.7 %
      Eased Somewhat	2	13.3 %
      Eased Considerably	1	6.7 %
      Total	15	100.0 %

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	2	13.3 %
      Remained Basically Unchanged	9	60.0 %
      Eased Somewhat	3	20.0 %
      Eased Considerably	1	6.7 %
      Total	15	100.0 %

   5. Other

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

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	16	100.0 %
      Eased Somewhat	0	0.0 %
      Eased Considerably	0	0.0 %
      Total	16	100.0 %

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	2	12.5 %
      Remained Basically Unchanged	11	68.8 %
      Eased Somewhat	2	12.5 %
      Eased Considerably	1	6.3 %
      Total	16	100.0 %

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	2	12.5 %
      Remained Basically Unchanged	11	68.8 %
      Eased Somewhat	2	12.5 %
      Eased Considerably	1	6.3 %
      Total	16	100.0 %

   5. Other

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

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	100.0 %
      Eased Somewhat	0	0.0 %
      Eased Considerably	0	0.0 %
      Total	16	100.0 %

   2. Maximum maturity

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

   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	2	12.5 %
      Remained Basically Unchanged	11	68.8 %
      Eased Somewhat	2	12.5 %
      Eased Considerably	1	6.3 %
      Total	16	100.0 %

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0 %
      Tightened Somewhat	2	12.5 %
      Remained Basically Unchanged	11	68.8 %
      Eased Somewhat	2	12.5 %
      Eased Considerably	1	6.3 %
      Total	16	100.0 %

   5. Other

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

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	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	5.6 %
   Increased Somewhat	0	0.0 %
   Remained Basically Unchanged	17	94.4 %
   Decreased Somewhat	0	0.0 %
   Decreased Considerably	0	0.0 %
   Total	18	100.0 %

4. Agency RMBS

   	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 %

5. Non-agency RMBS

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

6. CMBS

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

7. Consumer ABS

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

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

1. High-grade corporate bonds

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

3. Equities

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

4. Agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0 %
   Increased Somewhat	0	0.0 %
   Remained Basically Unchanged	19	95.0 %
   Decreased Somewhat	0	0.0 %
   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	15	93.8 %
   Decreased Somewhat	0	0.0 %
   Decreased Considerably	1	6.3 %
   Total	16	100.0 %

6. CMBS

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

7. Consumer ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0 %
   Increased Somewhat	0	0.0 %
   Remained Basically Unchanged	14	93.3 %
   Decreased Somewhat	0	0.0 %
   Decreased Considerably	1	6.7 %
   Total	15	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 Questions¹

Special Questions on the Effect of Equity Market Volatility

Volatility in U.S. equity markets has increased recently after having been low for a prolonged period. In these special questions we ask about the implications of the rise in volatility, with a specific focus on the sharp increase in early February. To the extent applicable and unless otherwise specified, please focus on counterparty assessments and margins on cash lending (for example, margin loans) as well as derivatives.

81. What actions, if any, did you take in response to the increase in U.S. equity market volatility in early February of this year? Please select all that apply.^*

 

82. As reflected in your answer to question 81, to the extent you took action in response to the February increase in U.S. equity market volatility, what was the duration of those changes?

 

1. Model inputs

   	Number of Respondents	Percent
   Long-lasting (remained in place after the spike in implied volatility in early February)	2	100.0%
   Temporary (changes were reversed after the February spike in implied volatility subsided)	0	0.0%
   Total	2	100.0 %

2. Margin requirements

   	Number of Respondents	Percent
   Long-lasting (remained in place after the spike in implied volatility in early February)	3	60.0%
   Temporary (changes were reversed after the February spike in implied volatility subsided)	2	40.0%
   Total	5	100.0 %

3. Counterparty risk limits

   	Number of Respondents	Percent
   Long-lasting (remained in place after the spike in implied volatility in early February)	2	50.0%
   Temporary (changes were reversed after the February spike in implied volatility subsided)	2	50.0%
   Total	4	100.0 %

 

83. Over the past three months, to what extent have increases in margin requirements or haircuts or both by central counterparties influenced the credit terms your institution applies to clients on bilateral transactions which are not cleared?

 

1. Hedge Funds

   	Number of Respondents	Percent
   To a considerable extent	0	0.0 %
   To some extent	2	8.7 %
   To a minimal extent	8	34.8 %
   Not at all	13	56.5 %
   Total	23	100.0 %

2. Trading REITS

   	Number of Respondents	Percent
   To a considerable extent	0	0.0 %
   To some extent	0	0.0 %
   To a minimal extent	6	26.1 %
   Not at all	17	73.9 %
   Total	23	100.0 %

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

   	Number of Respondents	Percent
   To a considerable extent	0	0.0 %
   To some extent	0	0.0 %
   To a minimal extent	4	17.4 %
   Not at all	19	82.6 %
   Total	23	100.0 %

4. Insurance companies

   	Number of Respondents	Percent
   To a considerable extent	0	0.0 %
   To some extent	0	0.0 %
   To a minimal extent	2	8.7 %
   Not at all	21	91.3 %
   Total	23	100.0 %

5. Separately Managed Accounts established with investment advisers

   	Number of Respondents	Percent
   To a considerable extent	0	0.0 %
   To some extent	0	0.0 %
   To a minimal extent	3	13.0 %
   Not at all	20	87.0 %
   Total	23	100.0 %

6. Nonfinancial corporates

   	Number of Respondents	Percent
   To a considerable extent	0	0.0 %
   To some extent	0	0.0 %
   To a minimal extent	2	8.7 %
   Not at all	21	91.3 %
   Total	23	100.0 %

84. How has demand for leverage via margin loans on equities changed across your client base since the increase in U.S. equity market volatility in early February?

 

85. How has demand for leverage via equity derivatives changed across your client base since the increase in U.S. equity market volatility in early February?

 

 

Special Questions on LIBOR–OIS Widening

 

The LIBOR–OIS spread has increased in recent months. In these special questions, we ask whether the increase has affected the terms under which your institution provides credit to clients.

86. Considering the entire range of transactions facilitated by your institution for clients, how has the amount of funding your institution makes available to clients changed in response to the increase in the LIBOR–OIS spread?

 

87. How has the widening in the LIBOR–OIS spread affected price terms on credit extended to clients?

 

1. Hedge Funds

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	2	8.7 %
   Remained basically unchanged	21	91.3 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

2. Trading REITS

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	3	13.0 %
   Remained basically unchanged	20	87.0 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

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

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	1	4.3 %
   Remained basically unchanged	22	95.7 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

4. Insurance companies

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	1	4.3 %
   Remained basically unchanged	22	95.7 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

5. Separately Managed Accounts established with investment advisers

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	1	4.3 %
   Remained basically unchanged	22	95.7 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

6. Nonfinancial corporates

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	1	4.3 %
   Remained basically unchanged	22	95.7 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

 

88. How has the widening in the LIBOR–OIS spread affected nonprice terms on credit extended to clients?

 

1. Hedge Funds

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	1	4.3 %
   Remained basically unchanged	22	95.7 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

2. Trading REITS

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	1	4.3 %
   Remained basically unchanged	22	95.7 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

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

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	0	0.0 %
   Remained basically unchanged	23	100.0 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

4. Insurance companies

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	0	0.0 %
   Remained basically unchanged	23	100.0 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

5. Separately Managed Accounts established with investment advisers

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	0	0.0 %
   Remained basically unchanged	23	100.0 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

6. Nonfinancial corporates

   	Number of Respondents	Percent
   Tightened considerably	0	0.0 %
   Tightened somewhat	0	0.0 %
   Remained basically unchanged	23	100.0 %
   Eased somewhat	0	0.0 %
   Eased considerably	0	0.0 %
   Total	23	100.0 %

 

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