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Senior Credit Officer Opinion Survey on Dealer Financing Terms
June 2010

Summary

In this Section:

The inaugural June 2010 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.1 The survey included a core set of questions that were organized into three groups. The first group of questions covered credit terms applicable to particular types of counterparties across the entire spectrum of transactions. The second group of questions asked about OTC derivatives trades, differentiating among the underlying asset classes (underlyings) and also between "plain vanilla" derivatives and those that are more highly customized. The third group of questions queried about securities financing trades--that is, lending to clients collateralized by securities-- differentiating among different collateral types and recognizing that the terms available to an institution's most-favored clients may differ from those available to average clients. Also included was a set of special questions asking survey respondents to characterize the stringency of current credit terms relative to the end of 2006. This summary is based on responses from 20 financial institutions that account for almost all of the dealer financing of dollar-denominated securities to nondealers and that are the most active intermediaries in OTC derivatives markets. The survey was conducted during the period from May 24, 2010, to June 4, 2010. The reference period for the core questions was March 2010 through May 2010.

Overall, responses to the June survey pointed to some noteworthy developments with respect to counterparty relationships and securities financing over the previous three months. By contrast, the responses indicated little change in the terms and conditions prevalent in OTC derivatives markets over this reference period.2 For instance:

  • Survey respondents reported that the amount of resources and attention devoted by dealers to management of concentrated credit exposures to dealers and other financial intermediaries had increased.
  • Dealers indicated that they had generally loosened credit terms offered to important groups of clients--including hedge funds and other private pools of capital, insurance companies and other institutional investors, and nonfinancial firms--across the spectrum of securities financing and OTC derivatives transactions. Dealers also noted that efforts by clients to negotiate more-favorable terms had increased in intensity.
  • With respect to OTC derivatives transactions, respondents reported that nonprice terms had changed little across different types of underlyings, including those for both plain vanilla and customized derivatives.
  • Responses to questions focused on securities financing suggested an increase in demand for funding high-grade corporate bonds, equities, agency residential mortgage-backed securities (RMBS), and other asset-backed securities (ABS).
  • Dealers reported that the volume of mark and collateral disputes with clients remained basically unchanged across counterparty and transaction types.3
  • Responses to special questions suggested that current credit terms applicable to all counterparty and transaction types were uniformly more stringent than at the end of 2006, before the onset of the financial crisis.

Counterparty Types

(Questions 1-17)

Dealers and other financial intermediaries. More than one-half of the respondents indicated that the amount of resources and attention devoted by dealers to management of concentrated exposures to dealers and other financial intermediaries increased somewhat over the past three months, with the remainder characterizing their focus as unchanged. The vast majority of respondents, however, reported that the volume of mark and collateral disputes with dealers and other financial intermediaries remained basically unchanged over the past three months.

Hedge funds, private equity firms, and other similar private pools of capital. Responses with respect to credit terms applicable to hedge funds, private equity firms, and other similar private pools of capital indicated that, across several dimensions, dealers provided somewhat more-favorable terms over the past three months. A small net fraction of respondents eased price terms, which include, most importantly, financing rates. One-fourth of respondents, on balance, reported having loosened nonprice terms, which include haircuts, maximum maturity, covenants, cure periods, cross-default provisions, or other documentation features. According to the survey, the predominant reasons cited for loosening price and nonprice terms offered to hedge fund counterparties over the past three months were more-aggressive competition from other institutions, improvement in the current or expected financial strength of counterparties, and improvement in general market liquidity and functioning.4 In characterizing their interactions with hedge fund counterparties, almost two-thirds of dealers indicated that the intensity of efforts by these counterparties to negotiate more-favorable price and nonprice terms had increased over the past three months. Of note, one-fourth of respondents reported a considerable increase in the intensity of these efforts. Looking forward over the next three months, more than one-half of survey respondents expected price and nonprice terms to remain basically unchanged, with the remainder of dealers anticipating somewhat tighter terms, on net.

Insurance companies, pension funds, and other institutional investors. Responses to questions about credit terms for insurance companies, pension funds, and other institutional investors showed similar but more muted trends. Small net fractions of dealers indicated that they had loosened both price and nonprice terms for such counterparties over the past three months. The three factors that were reported to have exerted the greatest influence on dealers' policies were improvement in the current or expected financial strength of counterparties, improvement in general market liquidity and functioning, and more-aggressive competition from other institutions. More than one-third of respondents indicated that the intensity of efforts by insurance companies, pension funds, and other institutional investors to negotiate more-favorable price and nonprice terms had increased over the past three months. Looking forward over the next three months, more than one-half of dealers anticipated that price and nonprice terms would remain basically unchanged.

Nonfinancial corporations. The responses to questions about credit terms applicable to nonfinancial corporations also suggest a loosening over the past three months. One-fourth of dealers, on balance, reported a loosening of price terms offered to these counterparties, while a small net fraction of respondents indicated that they had eased nonprice terms. The most important reasons cited for the loosening in credit terms were broadly consistent with those for other counterparty types: Respondents pointed to improvement in general market liquidity and functioning, more-aggressive competition from other institutions, and improvement in the current or expected financial strength of counterparties. Dealers reported some pressure on terms from nonfinancial counterparties, with one-half of survey respondents noting that the intensity of efforts to negotiate more-favorable terms had increased over the past three months. Looking forward, almost one-fifth of dealers, on net, expect a further loosening of the price and nonprice terms under which they transact with nonfinancial corporations.

Over-the-Counter Derivatives

(Questions 18-29)

Overall, the responses to the questions dealing with OTC derivatives trades suggested little change over the past three months in terms for plain vanilla and customized derivatives as well as in the volume of mark and collateral disputes with clients across the various underlyings--foreign exchange, interest rates, equities, credit, commodities, and total return swaps referencing nonsecurities (such as bank debt and whole loans).

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Securities Financing

(Questions 30-46)

The most important trend evident from the responses to questions dealing with securities financing related to demand for funding.5 Survey respondents indicated that, on net, demand for funding generally increased over the past three months. Of note, on balance, one-half of the dealers that lend against other ABS and one-third of the respondents that lend against agency RMBS reported an increase in demand for funding.

Broad trends regarding changes in terms were more difficult to discern from the dealer responses. However, certain specific changes in terms were identified by several dealers. For example, small net fractions of respondents reported having increased financing rates at which high-grade corporate bonds are funded for both average and most-favored clients over the past three months. By contrast, small net fractions of dealers reported having lengthened the maximum maturity under which equities are funded for both average and most-favored clients. In the case of agency RMBS, small net fractions of survey respondents indicated that they had eased a couple of terms (maximum maturity and haircuts) for both average and most-favored clients. Small net fractions of dealers active in other ABS reported a reduction in haircuts applicable to both average and most-favored clients.

Questions about liquidity and market functioning for various types of collateral funded through repurchase agreements and similar secured financing transactions, which are included in this section of the survey, generally suggested no major change in the views of senior credit officers. About one-fourth of respondents, however, indicated that liquidity and functioning in the market for other ABS had deteriorated over the past three months. There was no indication of an increase in collateral and mark disputes with clients for funding of any collateral, including other ABS.

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Special Questions on the Stringency of Credit Terms Relative to the End of 2006

(Questions 48-50)6

Responses to these special questions pointed to significantly tighter credit terms across counterparty and transaction types relative to the end of 2006.7 All respondents but one characterized credit terms applicable to hedge fund counterparties as currently tighter than in the reference period. A significant majority of respondents provided an analogous characterization of the current stringency of credit terms applicable to insurance companies, pension funds, and other institutional investors. By contrast, almost one-third of dealers noted that the current stringency of credit terms applicable to nonfinancial corporations was basically unchanged relative to the end of 2006. In general, the vast majority of dealers reported tighter credit terms relative to the end of 2006 with regard to both OTC derivatives and securities financing transactions.

This document was prepared by Matthew Eichner, Division of Research and Statistics, and Fabio Natalucci, 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.

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Results of the June 2010 Survey

In this Section:

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 17 ask about credit terms applicable to different counterparty types across the entire range of securities financing and over-the-counter derivatives transactions, why these may have changed, and expectations for the future. 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). Questions 1 and 2 focus on dealers and other financial intermediaries as counterparties; questions 3 through 7 on hedge funds, private equity firms, and other similar private pools of capital; questions 8 through 12 on insurance companies, pension funds, and other institutional investors; and questions 13 through 17 on transactions involving nonfinancial corporations. 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. Also, please report changes in enforcement of existing policies regarding terms as changes in policies. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other currencies, please explain in your response to Question 47. Where material differences exist across different business areas, for example, between traditional prime brokerage and over-the-counter derivatives, please answer with regard to the business area generating the most exposure and explain in your response to Question 47.

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 other dealers and other financial intermediaries changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 11 55.0
    Remained basically unchanged 9 45.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

  2. Over the past three months, how has the volume of mark and collateral disputes with dealers and other financial intermediaries changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 3 15.0
    Remained basically unchanged 16 80.0
    Decreased somewhat 1 5.0
    Decreased considerably 0 0.0
    Total 20 100.0

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Hedge Funds, Private Equity Firms, and Other Similar Private Pools of Capital

  1. Over the past three months, how have the price terms (for example, financing rates) offered to hedge funds, private equity firms, and other similar private pools of capital as reflected across the entire spectrum of securities financing and overthe-counter derivatives transaction types changed, regardless of nonprice terms?
      Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 10.0
    Remained basically unchanged 13 65.0
    Loosened somewhat 5 25.0
    Loosened considerably 0 0.0
    Total 20 100.0

  2. 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, private equity firms, and other similar private pools of capital across the entire spectrum of securities financing and over-the-counter derivatives transaction types changed, regardless of price terms?

      Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 10.0
    Remained basically unchanged 11 55.0
    Loosened somewhat 7 35.0
    Loosened considerably 0 0.0
    Total 20 100.0

  3. To the extent that the price or nonprice terms applied to hedge funds, private equity firms, and other similar private pools of capital have tightened or eased over the past three months (as reflected in your responses to questions 3 and 4), how important have been each of the following possible reasons for the change?
    1. Possible reasons for tightening:
      1. Deterioration in current or expected financial strength of counterparties
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 3 100.0
        Not important 0 0.0
        Total 3 100.0

      2. Reduced willingness of your institution to take on risk
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 3 100.0
        Not important 0 0.0
        Total 3 100.0

      3. Adoption of more stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 3 100.0
        Not important 0 0.0
        Total 3 100.0

      4. Higher internal treasury charges for funding
          Number of Respondents Percent
        Very important 1 33.3
        Somewhat important 1 33.3
        Not important 1 33.3
        Total 3 100.0

      5. Diminished availability of balance sheet or capital at your institution
          Number of Respondents Percent
        Very important 1 33.3
        Somewhat important 2 66.7
        Not important 0 0.0
        Total 3 100.0

      6. Worsening in general market liquidity and functioning
          Number of Respondents Percent
        Very important 1 33.3
        Somewhat important 2 66.7
        Not important 0 0.0
        Total 3 100.0

      7. Less-aggressive competition from other institutions
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 3 100.0
        Not important 0 0.0
        Total 3 100.0

    2. Possible reasons for easing:
      1. Improvement in current or expected financial strength of counterparties
          Number of Respondents Percent
        Very important 4 57.1
        Somewhat important 2 28.6
        Not important 1 14.3
        Total 7 100.0

      2. Increased willingness of your institution to take on risk
          Number of Respondents Percent
        Very important 100.0 14.3
        Somewhat important 2 28.6
        Not important 4 57.1
        Total 7 100.0

      3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 1 14.3
        Not important 6 85.7
        Total 7 100.0

      4. Lower internal treasury charges for funding
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 1 14.3
        Not important 6 85.7
        Total 7 100.0

      5. Increased availability of balance sheet or capital at your institution
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 2 28.6
        Not important 5 71.4
        Total 7 100.0

      6. Improvement in general market liquidity and functioning
          Number of Respondents Percent
        Very important 2 28.6
        Somewhat important 3 42.9
        Not important 2 28.6
        Total 7 100.0

      7. More-aggressive competition from other institutions
          Number of Respondents Percent
        Very important 6 85.7
        Somewhat important 1 14.3
        Not important 0 0.0
        Total 7 100.0

  4. How has the intensity of efforts by hedge funds, private equity firms, and other similar private pools of capital to negotiate more-favorable price and nonprice terms changed over the past three months?
      Number of Respondents Percent
    Increased considerably 5 25.0
    Increased somewhat 8 40.0
    Remained basically unchanged 7 35.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

  5. Looking forward over the next three months, and assuming that economic activity progresses in line with consensus forecasts, how do you expect the price and nonprice terms under which you transact with hedge funds, private equity firms, and other similar private pools of capital across the entire spectrum of securities financing and over-the-counter derivatives transactions to change?
      Number of Respondents Percent
    Price and nonprice terms are likely to tighten considerably 0 0.0
    Price and nonprice terms are likely to tighten somewhat 5 25.0
    Price and nonprice terms are likely to remain basically unchanged 12 60.0
    Price and nonprice terms are likely to loosen somewhat 3 15.0
    Price and nonprice terms are likely to loosen considerably 0 0.0
    Total 20 100.0

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Insurance Companies, Pension Funds, and Other Institutional Investors

  1. Over the past three months, how have the price terms (for example, financing rates) offered to insurance companies, pension funds, and other institutional investors as reflected across the entire spectrum of securities financing and overthe-counter derivatives transaction types changed, regardless of nonprice terms?
      Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 3 15.0
    Remained basically unchanged 12 60.0
    Loosened somewhat 5 25.0
    Loosened considerably 0 0.0
    Total 20 100.0

  2. 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, pension funds, and other institutional investors across the entire spectrum of securities financing and over-the-counter derivatives transaction types changed, regardless of price terms?
      Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 10.0
    Remained basically unchanged 14 70.0
    Loosened somewhat 4 20.0
    Loosened considerably 0 0.0
    Total 20 100.0

  3. To the extent that the price or nonprice terms applied to insurance companies, pension funds, and other institutional investors have tightened or eased over the past three months (as reflected in your responses to questions 8 and 9), how important have been each of the following possible reasons for the change?
    1. Possible reasons for tightening:
      1. Deterioration in current or expected financial strength of counterparties
          Number of Respondents Percent
        Very important 1 33.3
        Somewhat important 1 33.3
        Not important 1 33.3
        Total 3 100.0

      2. Reduced willingness of your institution to take on risk
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 2 66.7
        Not important 1 33.3
        Total 3 100.0

      3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 2 66.7
        Not important 1 33.3
        Total 3 100.0

      4. Higher internal treasury charges for funding
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 3 100.0
        Not important 0 0.0
        Total 3 100.0

      5. Diminished availability of balance sheet or capital at your institution
          Number of Respondents Percent
        Very important 1 33.3
        Somewhat important 1 33.3
        Not important 1 33.3
        Total 3 100.0

      6. Worsening in general market liquidity and functioning
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 3 100.0
        Not important 0 0.0
        Total 3 100.0

      7. Less-aggressive competition from other institutions
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 2 66.7
        Not important 1 33.3
        Total 3 100.0

    2. Possible reasons for easing:
      1. Improvement in current or expected financial strength of counterparties
          Number of Respondents Percent
        Very important 2 33.3
        Somewhat important 2 33.3
        Not important 2 33.3
        Total 6 100.0

      2. Increased willingness of your institution to take on risk
          Number of Respondents Percent
        Very important 1 16.7
        Somewhat important 1 16.7
        Not important 4 66.7
        Total 6 100.0

      3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
          Number of Respondents Percent
        Very important 1 16.7
        Somewhat important 2 33.3
        Not important 3 50.0
        Total 6 100.0

      4. Lower internal treasury charges for funding
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 1 16.7
        Not important 5 83.3
        Total 6 100.0

      5. Increased availability of balance sheet or capital at your institution
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 1 16.7
        Not important 5 83.3
        Total 6 100.0

      6. Improvement in general market liquidity and functioning
          Number of Respondents Percent
        Very important 1 16.7
        Somewhat important 3 50.0
        Not important 2 33.3
        Total 6 100.0

      7. More-aggressive competition from other institutions
          Number of Respondents Percent
        Very important 1 16.7
        Somewhat important 3 50.0
        Not important 2 33.3
        Total 6 100.0

  4. How has the intensity of efforts by insurance companies, pension funds, and other institutional investors to negotiate more-favorable price and nonprice terms changed over the past three months?
      Number of Respondents Percent
    Increased considerably 1 5.0
    Increased somewhat 7 35.0
    Remained basically unchanged 12 60.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

  5. Looking forward over the next three months, and assuming that economic activity progresses in line with consensus forecasts, how do you expect the price and nonprice terms under which you transact with insurance companies, pension funds, and other institutional investors across the entire spectrum of securities financing and over-the-counter derivatives transactions to change?
      Number of Respondents Percent
    Price and nonprice terms are likely to tighten considerably 1 5.0
    Price and nonprice terms are likely to tighten somewhat 3 15.0
    Price and nonprice terms are likely to remain basically unchanged 11 55.0
    Price and nonprice terms are likely to loosen somewhat 5 25.0
    Price and nonprice terms are likely to loosen considerably 0 0.0
    Total 20 100.0

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Nonfinancial Corporations

  1. 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 over-the-counter derivatives transaction types changed, regardless of nonprice terms?
      Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 10.0
    Remained basically unchanged 11 55.0
    Loosened somewhat 7 35.0
    Loosened considerably 0 0.0
    Total 20 100.0

  2. 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 over-the-counter derivatives transaction types changed, regardless of price terms?
      Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 10.0
    Remained basically unchanged 13 65.0
    Loosened somewhat 4 20.0
    Loosened considerably 1 5.0
    Total 20 100.0

  3. 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 13 and 14), how important have been each of the following possible reasons for the change?
    1. Possible reasons for tightening:
      1. Deterioration in current or expected financial strength of counterparties
          Number of Respondents Percent
        Very important 1 33.3
        Somewhat important 0 0.0
        Not important 2 66.7
        Total 3 100.0

      2. Reduced willingness of your institution to take on risk
          Number of Respondents Percent
        Very important 2 66.7
        Somewhat important 1 33.3
        Not important 0 0.0
        Total 3 100.0

      3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
          Number of Respondents Percent
        Very important 2 66.7
        Somewhat important 1 33.3
        Not important 0 0.0
        Total 3 100.0

      4. Higher internal treasury charges for funding
          Number of Respondents Percent
        Very important 2 66.7
        Somewhat important 0 0.0
        Not important 1 33.3
        Total 3 100.0

      5. Diminished availability of balance sheet or capital at your institution
          Number of Respondents Percent
        Very important 2 66.7
        Somewhat important 0 0.0
        Not important 1 33.3
        Total 3 100.0

      6. Worsening in general market liquidity and functioning
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 1 33.3
        Not important 2 66.7
        Total 3 100.0

      7. Less-aggressive competition from other institutions
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 0 0.0
        Not important 3 100.0
        Total 3 100.0

    2. Possible reasons for easing:
      1. Improvement in current or expected financial strength of counterparties
          Number of Respondents Percent
        Very important 2 25.0
        Somewhat important 4 50.0
        Not important 2 25.0
        Total 8 100.0

      2. Increased willingness of your institution to take on risk
          Number of Respondents Percent
        Very important 2 25.0
        Somewhat important 3 37.5
        Not important 3 37.5
        Total 8 100.0

      3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
          Number of Respondents Percent
        Very important 2 25.0
        Somewhat important 2 25.0
        Not important 4 50.0
        Total 8 100.0

      4. Lower internal treasury charges for funding
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 2 25.0
        Not important 6 75.0
        Total 8 100.0

      5. Increased availability of balance sheet or capital at your institution
          Number of Respondents Percent
        Very important 0 0.0
        Somewhat important 2 25.0
        Not important 6 75.0
        Total 8 100.0

      6. Improvement in general market liquidity and functioning
          Number of Respondents Percent
        Very important 5 62.5
        Somewhat important 3 37.5
        Not important 0 0.0
        Total 8 100.0

      7. More-aggressive competition from other institutions
          Number of Respondents Percent
        Very important 6 75.0
        Somewhat important 1 12.5
        Not important 1 12.5
        Total 8 100.0

  4. How has the intensity of efforts by nonfinancial corporations to negotiate more-favorable price and nonprice terms changed over the past three months?
      Number of Respondents Percent
    Increased considerably 3 15.0
    Increased somewhat 7 35.0
    Remained basically unchanged 10 50.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

  5. Looking forward over the next three months, and assuming that economic activity progresses in line with consensus forecasts, how do you expect the price and nonprice terms under which you transact with nonfinancial corporations across the entire spectrum of securities financing and over-the-counter derivatives transactions to change?
      Number of Respondents Percent
    Price and nonprice terms are likely to tighten considerably 0 0.0
    Price and nonprice terms are likely to tighten somewhat 3 15.0
    Price and nonprice terms are likely to remain basically unchanged 11 55.0
    Price and nonprice terms are likely to loosen somewhat 5 25.0
    Price and nonprice terms are likely to loosen considerably 1 5.0
    Total 20 100.0

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Over-the-Counter Derivatives

In this Section:

Questions 18 through 29 ask about over-the-counter derivatives trades. Questions 18 and 19 focus on trades with Foreign Exchange (FX) as the underlying; questions 20 and 21 on trades with interest rates (IR) as the underlying; questions 22 and 23 on trades with equities as the underlying; questions 24 and 25 on trades with debt securities as the underlying (including contracts referencing MBS and ABS); questions 26 and 27 on trades with commodities as the underlying; and questions 28 and 29 on total return swaps with nonsecurities such as bank debt and whole loans as the underlying. 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. Also, please report changes in enforcement of existing policies regarding terms as changes in terms. Please respond "Not applicable" to questions dealing with business areas in which you do not conduct material activities. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other currencies, please explain in your response to Question 47.

Foreign Exchange

  1. Over the past three months, how have nonprice terms associated with over-thecounter FX derivatives changed?
    1. For "vanilla" FX derivatives (that is, derivatives using ISDA short-form confirmations and definitions):
      1. Initial margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 12.5
        Remained basically unchanged 14 87.5
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 16 100.0

      2. Requirements, timelines, and thresholds for posting additional margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 3 17.6
        Remained basically unchanged 14 82.4
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 17 100.0

      3. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 1 5.9
        Tightened somewhat 2 11.8
        Remained basically unchanged 13 76.5
        Eased somewhat 1 5.9
        Eased considerably 0 0.0
        Total 17 100.0

      4. 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 1 5.6
        Remained basically unchanged 17 94.4
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 18 100.0

      5. Triggers and covenants
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 11.1
        Remained basically unchanged 15 83.3
        Eased somewhat 1 5.6
        Eased considerably 0 0.0
        Total 18 100.0

      6. Other documentation features (including cure periods and cross-default provisions)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 11.1
        Remained basically unchanged 14 77.8
        Eased somewhat 2 11.1
        Eased considerably 0 0.0
        Total 18 100.0

    2. For highly customized FX derivatives (that is, derivatives negotiated bilaterally and using long-form confirmations):
      1. Initial margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 3 20.0
        Remained basically unchanged 11 73.3
        Eased somewhat 1 6.7
        Eased considerably 0 0.0
        Total 15 100.0

      2. Requirements, timelines, and thresholds for posting additional margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 3 17.6
        Remained basically unchanged 13 76.5
        Eased somewhat 1 5.9
        Eased considerably 0 0.0
        Total 17 100.0

      3. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 1 6.3
        Tightened somewhat 0 0.0
        Remained basically unchanged 13 81.3
        Eased somewhat 2 12.5
        Eased considerably 0 0.0
        Total 16 100.0

      4. 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 1 5.9
        Remained basically unchanged 15 88.2
        Eased somewhat 1 5.9
        Eased considerably 0 0.0
        Total 17 100.0

      5. Triggers and covenants
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 11.8
        Remained basically unchanged 12 70.6
        Eased somewhat 3 17.6
        Eased considerably 0 0.0
        Total 17 100.0

      6. Other documentation features (including cure periods and cross-default provisions)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 13 76.5
        Eased somewhat 3 17.6
        Eased considerably 0 0.0
        Total 17 100.0

      3. Back to section top

  2. Over the past three months, how has the volume of mark and collateral disputes with clients related to FX derivatives changed?
      Number of Respondents Percent
    Increased considerably 1 6.3
    Increased somewhat 0 0.0
    Remained basically unchanged 13 81.3
    Decreased somewhat 1 6.3
    Decreased considerably 1 6.3
    Total 16 100.0

Interest Rates

  1. Over the past three months, how have nonprice terms associated with over-thecounter interest rate derivatives changed?
    1. For "vanilla" IR derivatives (that is, derivatives using ISDA short-form confirmations and definitions):
      1. Initial margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 15 88.2
        Eased somewhat 1 5.9
        Eased considerably 0 0.0
        Total 17 100.0

      2. Requirements, timelines, and thresholds for posting additional margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 11.8
        Remained basically unchanged 14 82.4
        Eased somewhat 1 5.9
        Eased considerably 0 0.0
        Total 17 100.0

      3. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 12.5
        Remained basically unchanged 13 81.3
        Eased somewhat 1 6.3
        Eased considerably 0 0.0
        Total 16 100.0

      4. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate documentation is in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 15 88.2
        Eased somewhat 1 5.9
        Eased considerably 0 0.0
        Total 17 100.0

      5. Triggers and covenants
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 11.8
        Remained basically unchanged 13 76.5
        Eased somewhat 2 11.8
        Eased considerably 0 0.0
        Total 17 100.0

      6. Other documentation features (including cure periods and cross-default provisions)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 14 82.4
        Eased somewhat 2 11.8
        Eased considerably 0 0.0
        Total 17 100.0

    2. For highly customized IR derivatives (that is, derivatives negotiated bilaterally and using long-form confirmations):
      1. Initial margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 6.3
        Remained basically unchanged 15 93.8
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 16 100.0

      2. Requirements, timelines, and thresholds for posting additional margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 6.3
        Remained basically unchanged 15 93.8
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 16 100.0

      3. 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

      4. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate documentation is in place)
          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

      5. Triggers and covenants
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 12.5
        Remained basically unchanged 12 75.0
        Eased somewhat 2 12.5
        Eased considerably 0 0.0
        Total 16 100.0

      6. Other documentation features (including cure periods and cross-default provisions)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 6.3
        Remained basically unchanged 13 81.3
        Eased somewhat 2 12.5
        Eased considerably 0 0.0
        Total 16 100.0

  2. Over the past three months, how has the volume of mark and collateral disputes with clients related to interest rate derivatives changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 12.5
    Remained basically unchanged 12 75.0
    Decreased somewhat 2 12.5
    Decreased considerably 0 0.0
    Total 16 100.0

    3. Back to section top

Equities

  1. Over the past three months, how have nonprice terms associated with over-thecounter equity derivatives changed?
    1. For "vanilla" equity derivatives (that is, derivatives using ISDA short-form confirmations and definitions):
      1. Initial margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 3 17.6
        Remained basically unchanged 12 70.6
        Eased somewhat 2 11.8
        Eased considerably 0 0.0
        Total 17 100.0

      2. Requirements, timelines, and thresholds for posting additional margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 11.8
        Remained basically unchanged 14 82.4
        Eased somewhat 1 5.9
        Eased considerably 0 0.0
        Total 17 100.0

      3. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 14 82.4
        Eased somewhat 2 11.8
        Eased considerably 0 0.0
        Total 17 100.0

      4. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate documentation is in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 16 94.1
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 17 100.0

      5. Triggers and covenants
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 14 82.4
        Eased somewhat 2 11.8
        Eased considerably 0 0.0
        Total 17 100.0

      6. Other documentation features (including cure periods and cross-default provisions)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 14 82.4
        Eased somewhat 2 11.8
        Eased considerably 0 0.0
        Total 17 100.0

    2. For highly customized equity derivatives (that is, derivatives negotiated bilaterally and using long-form confirmations):
      1. Initial margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 3 17.6
        Remained basically unchanged 11 64.7
        Eased somewhat 3 17.6
        Eased considerably 0 0.0
        Total 17 100.0

      2. Requirements, timelines, and thresholds for posting additional margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 15 88.2
        Eased somewhat 1 5.9
        Eased considerably 0 0.0
        Total 17 100.0

      3. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 14 82.4
        Eased somewhat 2 11.8
        Eased considerably 0 0.0
        Total 17 100.0

      4. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate documentation is in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 15 88.2
        Eased somewhat 2 11.8
        Eased considerably 0 0.0
        Total 17 100.0

      5. Triggers and covenants
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 3 17.6
        Remained basically unchanged 11 64.7
        Eased somewhat 3 17.6
        Eased considerably 0 0.0
        Total 17 100.0

      6. Other documentation features (including cure periods and cross-default provisions)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 11.8
        Remained basically unchanged 12 70.6
        Eased somewhat 3 17.6
        Eased considerably 0 0.0
        Total 17 100.0

  2. Over the past three months, how has the volume of mark and collateral disputes with clients related to equity derivatives changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 14 87.5
    Decreased somewhat 2 12.5
    Decreased considerably 0 0.0
    Total 16 100.0

    3. Back to section top

 

Credit

  1. Over the past three months, how have nonprice terms associated with over-thecounter credit derivatives referencing debt securities (including contracts referencing mortgage-backed securities (MBS) or asset-backed securities (ABS) changed?
    1. For "vanilla" credit derivatives (that is, derivatives using ISDA short-form confirmations and definitions):
      1. Initial margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 6.3
        Remained basically unchanged 12 75.0
        Eased somewhat 3 18.8
        Eased considerably 0 0.0
        Total 16 100.0

      2. Requirements, timelines, and thresholds for posting additional margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 12.5
        Remained basically unchanged 13 81.3
        Eased somewhat 1 6.3
        Eased considerably 0 0.0
        Total 16 100.0

      3. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 6.3
        Remained basically unchanged 14 87.5
        Eased somewhat 1 6.3
        Eased considerably 0 0.0
        Total 16 100.0

      4. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate documentation is in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 14 87.5
        Eased somewhat 2 12.5
        Eased considerably 0 0.0
        Total 16 100.0

      5. Triggers and covenants
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 6.3
        Remained basically unchanged 14 87.5
        Eased somewhat 1 6.3
        Eased considerably 0 0.0
        Total 16 100.0

      6. Other documentation features (including cure periods and cross-default provisions)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 6.3
        Remained basically unchanged 14 87.5
        Eased somewhat 1 6.3
        Eased considerably 0 0.0
        Total 16 100.0

    2. For highly customized credit derivatives (that is, derivatives negotiated bilaterally and using long-form confirmations):
      1. Initial margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 4 26.7
        Remained basically unchanged 7 46.7
        Eased somewhat 4 26.7
        Eased considerably 0 0.0
        Total 15 100.0

      2. Requirements, timelines, and thresholds for posting additional margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 3 20.0
        Remained basically unchanged 11 73.3
        Eased somewhat 1 6.7
        Eased considerably 0 0.0
        Total 15 100.0

      3. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 6.7
        Remained basically unchanged 12 80.0
        Eased somewhat 2 13.3
        Eased considerably 0 0.0
        Total 15 100.0

      4. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate documentation is in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 13.3
        Remained basically unchanged 11 73.3
        Eased somewhat 2 13.3
        Eased considerably 0 0.0
        Total 15 100.0

      5. Triggers and covenants
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 13.3
        Remained basically unchanged 11 73.3
        Eased somewhat 2 13.3
        Eased considerably 0 0.0
        Total 15 100.0

      6. Other documentation features (including cure periods and cross-default provisions)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 13.3
        Remained basically unchanged 11 73.3
        Eased somewhat 2 13.3
        Eased considerably 0 0.0
        Total 15 100.0

  2. Over the past three months, how has the volume of mark and collateral disputes with clients related to credit derivatives changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 13.3
    Remained basically unchanged 10 66.7
    Decreased somewhat 2 13.3
    Decreased considerably 1 6.7
    Total 15 100.0

    3. Back to section top

Commodities

  1. Over the past three months, how have nonprice terms associated with over-thecounter commodity derivatives changed?
    1. For "vanilla" commodity derivatives (that is, derivatives using ISDA short-form confirmations and definitions):
      1. Initial margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 8.3
        Remained basically unchanged 11 91.7
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 12 100.0

      2. Requirements, timelines, and thresholds for posting additional margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.7
        Remained basically unchanged 12 92.3
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 13 100.0

      3. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 14.3
        Remained basically unchanged 12 85.7
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 14 100.0

      4. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate documentation is in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 13 100.0
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 13 100.0

      5. Triggers and covenants
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.7
        Remained basically unchanged 10 76.9
        Eased somewhat 2 15.4
        Eased considerably 0 0.0
        Total 13 100.0

      6. Other documentation features (including cure periods and cross-default provisions)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.7
        Remained basically unchanged 11 84.6
        Eased somewhat 1 7.7
        Eased considerably 0 0.0
        Total 13 100.0

    2. For highly customized commodity derivatives (that is, derivatives negotiated bilaterally and using long-form confirmations):
      1. Initial margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 8.3
        Remained basically unchanged 10 83.3
        Eased somewhat 1 8.3
        Eased considerably 0 0.0
        Total 12 100.0

      2. Requirements, timelines, and thresholds for posting additional margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.7
        Remained basically unchanged 11 84.6
        Eased somewhat 1 7.7
        Eased considerably 0 0.0
        Total 13 100.0

      3. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.1
        Remained basically unchanged 12 85.7
        Eased somewhat 1 7.1
        Eased considerably 0 0.0
        Total 14 100.0

      4. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate documentation is in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 12 92.3
        Eased somewhat 1 7.7
        Eased considerably 0 0.0
        Total 13 100.0

      5. Triggers and covenants
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.7
        Remained basically unchanged 10 76.9
        Eased somewhat 2 15.4
        Eased considerably 0 0.0
        Total 13 100.0

      6. Other documentation features (including cure periods and cross-default provisions)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.7
        Remained basically unchanged 10 76.9
        Eased somewhat 2 15.4
        Eased considerably 0 0.0
        Total 13 100.0

  2. Over the past three months, how has the volume of mark and collateral disputes with clients related to commodity derivatives changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 16.7
    Remained basically unchanged 9 75.0
    Decreased somewhat 1 8.3
    Decreased considerably 0 0.0
    Total 12 100.0

    3. Back to section top

Total Return Swaps Referencing Nonsecurities (Such as Bank Debt and Whole Loans)

  1. Over the past three months, how have nonprice terms associated with total return swaps referencing nonsecurities (such as bank debt and whole loans) changed?
    1. Range of acceptable reference assets (for example, requirements with regard to credit quality and liquidity)
        Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 2 18.2
      Remained basically unchanged 8 72.7
      Eased somewhat 1 9.1
      Eased considerably 0 0.0
      Total 11 100.0

    2. Initial margin
        Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 9.1
      Remained basically unchanged 8 72.7
      Eased somewhat 2 18.2
      Eased considerably 0 0.0
      Total 11 100.0

    3. Requirements, timelines, and thresholds for posting additional margin
        Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 9.1
      Remained basically unchanged 9 81.8
      Eased somewhat 1 9.1
      Eased considerably 0 0.0
      Total 11 100.0

    4. Maximum maturity
        Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 9.1
      Remained basically unchanged 9 81.8
      Eased somewhat 1 9.1
      Eased considerably 0 0.0
      Total 11 100.0

    5. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate documentation is in place)
        Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 10 90.9
      Eased somewhat 1 9.1
      Eased considerably 0 0.0
      Total 11 100.0

    6. Triggers and covenants
        Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 9.1
      Remained basically unchanged 9 81.8
      Eased somewhat 1 9.1
      Eased considerably 0 0.0
      Total 11 100.0

    7. Other documentation features (including cure periods and cross-default provisions)
        Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 9.1
      Remained basically unchanged 9 81.8
      Eased somewhat 1 9.1
      Eased considerably 0 0.0
      Total 11 100.0

  2. Over the past three months, how has the volume of mark and collateral disputes with clients related to total return swaps referencing nonsecurities changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 10.0
    Remained basically unchanged 9 90.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 10 100.0

Securities Financing

In this Section:

Questions 30 through 46 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 30 through 34 focus on lending against high-grade corporate bonds; questions 35 and 36 on lending against equities (including through stock loan); questions 37 through 41 on lending against agency MBS; and questions 42 through 46 on lending against other ABS. 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. Also, please report changes in enforcement of existing policies regarding terms as changes in terms. Please respond "Not applicable" to questions dealing with business areas in which you do not conduct material activities. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other currencies, please explain in your response to Question 47.

High-Grade Corporate Bonds

  1. 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 4 25.0
        Remained basically unchanged 9 56.3
        Eased somewhat 3 18.8
        Eased considerably 0 0.0
        Total 16 100.0

      2. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 5 31.3
        Remained basically unchanged 8 50.0
        Eased somewhat 2 12.5
        Eased considerably 1 6.3
        Total 16 100.0

      3. Haircuts
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 13.3
        Remained basically unchanged 12 80.0
        Eased somewhat 1 6.7
        Eased considerably 0 0.0
        Total 15 100.0

      4. Financing rate
          Number of Respondents Percent
        Tightened considerably 1 6.7
        Tightened somewhat 4 26.7
        Remained basically unchanged 8 53.3
        Eased somewhat 2 13.3
        Eased considerably 0 0.0
        Total 15 100.0

      5. Requirements, timelines, and thresholds for posting additional collateral or margin
          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

      6. Recognition of portfolio or diversification benefits (including with OTC derivatives where appropriate agreements are in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.1
        Remained basically unchanged 13 92.9
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 14 100.0

      7. Covenants and triggers
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 15.4
        Remained basically unchanged 11 84.6
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 13 100.0

    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 4 25.0
        Remained basically unchanged 8 50.0
        Eased somewhat 4 25.0
        Eased considerably 0 0.0
        Total 16 100.0

      2. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 1 6.3
        Tightened somewhat 3 18.8
        Remained basically unchanged 9 56.3
        Eased somewhat 2 12.5
        Eased considerably 1 6.3
        Total 16 100.0

      3. Haircuts
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 13.3
        Remained basically unchanged 11 73.3
        Eased somewhat 2 13.3
        Eased considerably 0 0.0
        Total 15 100.0

      4. Financing rate
          Number of Respondents Percent
        Tightened considerably 1 6.7
        Tightened somewhat 3 20.0
        Remained basically unchanged 9 60.0
        Eased somewhat 2 13.3
        Eased considerably 0 0.0
        Total 15 100.0

      5. Requirements, timelines, and thresholds for posting additional collateral or margin
          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

      6. Recognition of portfolio or diversification benefits (including with OTC derivatives where appropriate agreements are in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.7
        Remained basically unchanged 12 92.3
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 13 100.0

      7. Covenants and triggers
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.1
        Remained basically unchanged 12 85.7
        Eased somewhat 1 7.1
        Eased considerably 0 0.0
        Total 14 100.0

  2. In some cases, an institution provides financing on more-favorable terms when it has played a role in bringing the issue being financed to market, for example, as an underwriter. Over the past three months, how has the amount of such "vendor financing" provided for high-grade corporate bonds by your institution changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 15.4
    Remained basically unchanged 11 84.6
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 13 100.0

  3. Over the past three months, how has demand for funding of high-grade corporate bonds by your institution's clients changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 6 35.3
    Remained basically unchanged 9 52.9
    Decreased somewhat 2 11.8
    Decreased considerably 0 0.0
    Total 17 100.0

  4. Over the past three months, how has the volume of mark and collateral disputes with clients related to the funding of high-grade corporate bonds changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 6.7
    Remained basically unchanged 14 93.3
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 15 100.0

  5. Over the past three months, how have liquidity and functioning in the high-grade corporate bond market changed?
      Number of Respondents Percent
    Improved considerably 0 0.0
    Improved somewhat 3 17.6
    Remained basically unchanged 10 58.8
    Deteriorated somewhat 3 17.6
    Deteriorated considerably 1 5.9
    Total 17 100.0

    6. Back to section top

Equities (Including through Stock Loan)

  1. 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 3 15.8
        Remained basically unchanged 12 63.2
        Eased somewhat 3 15.8
        Eased considerably 1 5.3
        Total 19 100.0

      2. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 10.5
        Remained basically unchanged 13 68.4
        Eased somewhat 3 15.8
        Eased considerably 1 5.3
        Total 19 100.0

      3. Haircuts
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.3
        Remained basically unchanged 17 89.5
        Eased somewhat 0 0.0
        Eased considerably 1 5.3
        Total 19 100.0

      4. Financing rate
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 3 16.7
        Remained basically unchanged 11 61.1
        Eased somewhat 3 16.7
        Eased considerably 1 5.6
        Total 18 100.0

      5. Requirements, timelines, and thresholds for posting additional collateral or margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 17 89.5
        Eased somewhat 1 5.3
        Eased considerably 1 5.3
        Total 19 100.0

      6. Recognition of portfolio or diversification benefits (including with OTC derivatives where appropriate agreements are in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 16 94.1
        Eased somewhat 1 5.9
        Eased considerably 0 0.0
        Total 17 100.0

      7. Covenants and triggers
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.9
        Remained basically unchanged 15 88.2
        Eased somewhat 1 5.9
        Eased considerably 0 0.0
        Total 17 100.0

    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 3 15.0
        Remained basically unchanged 12 60.0
        Eased somewhat 4 20.0
        Eased considerably 1 5.0
        Total 20 100.0

      2. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 10.0
        Remained basically unchanged 13 65.0
        Eased somewhat 3 15.0
        Eased considerably 2 10.0
        Total 20 100.0

      3. Haircuts
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.0
        Remained basically unchanged 17 85.0
        Eased somewhat 1 5.0
        Eased considerably 1 5.0
        Total 20 100.0

      4. Financing rate
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 3 15.8
        Remained basically unchanged 12 63.2
        Eased somewhat 3 15.8
        Eased considerably 1 5.3
        Total 19 100.0

      5. Requirements, timelines, and thresholds for posting additional collateral or margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 19 95.0
        Eased somewhat 0 0.0
        Eased considerably 1 5.0
        Total 20 100.0

      6. Recognition of portfolio or diversification benefits (including with OTC derivatives where appropriate agreements are in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 17 94.4
        Eased somewhat 1 5.6
        Eased considerably 0 0.0
        Total 18 100.0

      7. Covenants and triggers
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.6
        Remained basically unchanged 15 83.3
        Eased somewhat 2 11.1
        Eased considerably 0 0.0
        Total 18 100.0

  2. Over the past three months, how has demand for funding of equities (including through stock loan) by your institution's clients changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 5 25.0
    Remained basically unchanged 15 75.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

    3. Back to section top

Agency Residential Mortgage-Backed Securities

  1. 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 1 5.6
        Tightened somewhat 3 16.7
        Remained basically unchanged 11 61.1
        Eased somewhat 3 16.7
        Eased considerably 0 0.0
        Total 18 100.0

      2. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.6
        Remained basically unchanged 13 72.2
        Eased somewhat 4 22.2
        Eased considerably 0 0.0
        Total 18 100.0

      3. Haircuts
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.6
        Remained basically unchanged 13 72.2
        Eased somewhat 4 22.2
        Eased considerably 0 0.0
        Total 18 100.0

      4. Financing rate
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 4 22.2
        Remained basically unchanged 11 61.1
        Eased somewhat 3 16.7
        Eased considerably 0 0.0
        Total 18 100.0

      5. Requirements, timelines, and thresholds for posting additional collateral or margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.6
        Remained basically unchanged 16 88.9
        Eased somewhat 1 5.6
        Eased considerably 0 0.0
        Total 18 100.0

      6. Recognition of portfolio or diversification benefits (including with OTC derivatives where appropriate agreements are in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 14 100.0
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 14 100.0

      7. Covenants and triggers
          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. 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 5.6
        Remained basically unchanged 13 72.2
        Eased somewhat 4 22.2
        Eased considerably 0 0.0
        Total 18 100.0

      2. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.6
        Remained basically unchanged 12 66.7
        Eased somewhat 5 27.8
        Eased considerably 0 0.0
        Total 18 100.0

      3. Haircuts
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 5.6
        Remained basically unchanged 13 72.2
        Eased somewhat 4 22.2
        Eased considerably 0 0.0
        Total 18 100.0

      4. Financing rate
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 11.1
        Remained basically unchanged 13 72.2
        Eased somewhat 3 16.7
        Eased considerably 0 0.0
        Total 18 100.0

      5. Requirements, timelines, and thresholds for posting additional collateral or margin
          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

      6. Recognition of portfolio or diversification benefits (including with OTC derivatives where appropriate agreements are in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 14 100.0
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 14 100.0

      7. Covenants and triggers
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 14 93.3
        Eased somewhat 1 6.7
        Eased considerably 0 0.0
        Total 15 100.0

  2. In some cases, an institution provides financing on more-favorable terms when it has played a role in bringing the issue being financed to market, for example, as an underwriter. Over the past three months, how has the amount of such "vendor financing" provided by your institution for agency RMBS changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 8.3
    Remained basically unchanged 11 91.7
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 12 100.0

  3. Over the past three months, how has demand for funding of agency RMBS by your institution's clients changed?
      Number of Respondents Percent
    Increased considerably 1 5.6
    Increased somewhat 6 33.3
    Remained basically unchanged 10 55.6
    Decreased somewhat 1 5.6
    Decreased considerably 0 0.0
    Total 18 100.0

  4. Over the past three months, how has the volume of mark and collateral disputes with clients related to the funding of agency RMBS changed?
      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

  5. Over the past three months, how have liquidity and functioning in the agency RMBS market changed?
      Number of Respondents Percent
    Improved considerably 0 0.0
    Improved somewhat 4 22.2
    Remained basically unchanged 11 61.1
    Deteriorated somewhat 3 16.7
    Deteriorated considerably 0 0.0
    Total 18 100.0

    6. Back to section top

Other Asset-Backed Securities

  1. Over the past three months, how have the terms under which non-agency ABS are funded changed? Where material differences exist across different types of non-agency ABS, for example, between non-agency RMBS and consumer ABS, please answer with regard to the type of instrument generating the most exposure and explain in your response to Question 47.
    1. Terms for average clients:
      1. Maximum amount of funding
          Number of Respondents Percent
        Tightened considerably 1 8.3
        Tightened somewhat 2 16.7
        Remained basically unchanged 8 66.7
        Eased somewhat 1 8.3
        Eased considerably 0 0.0
        Total 12 100.0

      2. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 3 25.0
        Remained basically unchanged 7 58.3
        Eased somewhat 2 16.7
        Eased considerably 0 0.0
        Total 12 100.0

      3. Haircuts
          Number of Respondents Percent
        Tightened considerably 1 8.3
        Tightened somewhat 0 0.0
        Remained basically unchanged 7 58.3
        Eased somewhat 4 33.3
        Eased considerably 0 0.0
        Total 12 100.0

      4. Financing rate
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 2 16.7
        Remained basically unchanged 7 58.3
        Eased somewhat 3 25.0
        Eased considerably 0 0.0
        Total 12 100.0

      5. Requirements, timelines, and thresholds for posting additional collateral or margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 12 100.0
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 12 100.0

      6. Recognition of portfolio or diversification benefits (including with OTC derivatives where appropriate agreements are in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 9.1
        Remained basically unchanged 10 90.9
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 11 100.0

      7. Covenants and triggers
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 8.3
        Remained basically unchanged 11 91.7
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 12 100.0

    2. 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 1 7.7
        Tightened somewhat 2 15.4
        Remained basically unchanged 7 53.8
        Eased somewhat 3 23.1
        Eased considerably 0 0.0
        Total 13 100.0

      2. Maximum maturity
          Number of Respondents Percent
        Tightened considerably 1 7.7
        Tightened somewhat 1 7.7
        Remained basically unchanged 8 61.5
        Eased somewhat 3 23.1
        Eased considerably 0 0.0
        Total 13 100.0

      3. Haircuts
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.7
        Remained basically unchanged 8 61.5
        Eased somewhat 4 30.8
        Eased considerably 0 0.0
        Total 13 100.0

      4. Financing rate
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 7.7
        Remained basically unchanged 9 69.2
        Eased somewhat 3 23.1
        Eased considerably 0 0.0
        Total 13 100.0

      5. Requirements, timelines, and thresholds for posting additional collateral or margin
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 0 0.0
        Remained basically unchanged 12 92.3
        Eased somewhat 1 7.7
        Eased considerably 0 0.0
        Total 13 100.0

      6. Recognition of portfolio or diversification benefits (including with OTC derivatives where appropriate agreements are in place)
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 9.1
        Remained basically unchanged 10 90.9
        Eased somewhat 0 0.0
        Eased considerably 0 0.0
        Total 11 100.0

      7. Covenants and triggers
          Number of Respondents Percent
        Tightened considerably 0 0.0
        Tightened somewhat 1 8.3
        Remained basically unchanged 10 83.3
        Eased somewhat 1 8.3
        Eased considerably 0 0.0
        Total 12 100.0

  2. In some cases, an institution provides financing on more-favorable terms when it has played a role in bringing the issue being financed to market, for example, as an underwriter. Over the past three months, how has the amount of such "vendor financing" provided for non-agency ABS by your institution changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 10.0
    Remained basically unchanged 9 90.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 10 100.0

  3. Over the past three months, how has demand for funding of non-agency ABS positions by your institution's clients changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 7 58.3
    Remained basically unchanged 4 33.3
    Decreased somewhat 1 8.3
    Decreased considerably 0 0.0
    Total 12 100.0

  4. Over the past three months, how has the volume of mark and collateral disputes with clients related to the funding of non-agency ABS changed?
      Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 10 90.9
    Decreased somewhat 1 9.1
    Decreased considerably 0 0.0
    Total 11 100.0

  5. Over the past three months, how have liquidity and functioning in the non-agency ABS market changed?
      Number of Respondents Percent
    Improved considerably 0 0.0
    Improved somewhat 2 15.4
    Remained basically unchanged 6 46.2
    Deteriorated somewhat 5 38.5
    Deteriorated considerably 0 0.0
    Total 13 100.0

    6. Back to section top


Optional Question

Question 47 requests feedback on any other issues you judge to be important relating to credit terms applicable to securities financing transactions and over-the-counter derivatives contracts, and provides an opportunity for clarification of any earlier responses.8


Special Questions

The following special questions are intended to provide better context for interpreting the core set of questions appearing above, 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.

  1. Relative to the end of 2006, how do you characterize the current stringency of the credit terms applicable at your institution to counterparties of each of the following types, across the entire range of securities financing and over-thecounter derivatives transactions?
    1. Hedge funds, private equity firms, and other similar private pools of capital
        Number of Respondents Percent
      Sharply tighter 0 0.0
      Considerably tighter 6 30.0
      Somewhat tighter 13 65.0
      Basically unchanged 1 5.0
      Looser 0 0.0
      Total 20 100.0

    2. Insurance companies, pension funds, and other institutional investors
        Number of Respondents Percent
      Sharply tighter 1 5.0
      Considerably tighter 3 15.0
      Somewhat tighter 12 60.0
      Basically unchanged 4 20.0
      Looser 0 0.0
      Total 20 100.0

    3. Nonfinancial corporations
        Number of Respondents Percent
      Sharply tighter 0 0.0
      Considerably tighter 3 15.0
      Somewhat tighter 11 55.0
      Basically unchanged 6 30.0
      Looser 0 0.0
      Total 20 100.0

  2. Relative to the end of 2006, how do you characterize the current stringency of the credit terms applicable at your institution to secured funding of the instruments listed below on behalf of clients?
    1. High-grade corporate debt
        Number of Respondents Percent
      Sharply tighter 0 0.0
      Considerably tighter 1 6.3
      Somewhat tighter 14 87.5
      Basically unchanged 1 6.3
      Looser 0 0.0
      Total 16 100.0

    2. Equities (including through stock loan)
        Number of Respondents Percent
      Sharply tighter 1 5.3
      Considerably tighter 2 10.5
      Somewhat tighter 10 52.6
      Basically unchanged 6 31.6
      Looser 0 0.0
      Total 19 100.0

    3. Agency RMBS
        Number of Respondents Percent
      Sharply tighter 0 0.0
      Considerably tighter 3 18.8
      Somewhat tighter 11 68.8
      Basically unchanged 2 12.5
      Looser 0 0.0
      Total 16 100.0

    4. Other ABS
        Number of Respondents Percent
      Sharply tighter 3 23.1
      Considerably tighter 7 53.8
      Somewhat tighter 3 23.1
      Basically unchanged 0 0.0
      Looser 0 0.0
      Total 13 100.0

  3. Relative to the end of 2006, how do you characterize the current stringency of the nonprice credit terms applicable at your institution to over-the-counter derivatives counterparties for trades referencing each of categories listed below?
    1. Foreign exchange
        Number of Respondents Percent
      Sharply tighter 1 5.9
      Considerably tighter 2 11.8
      Somewhat tighter 10 58.8
      Basically unchanged 3 17.6
      Looser 1 5.9
      Total 17 100.0

    2. Interest rates
        Number of Respondents Percent
      Sharply tighter 2 11.8
      Considerably tighter 1 5.9
      Somewhat tighter 11 64.7
      Basically unchanged 3 17.6
      Looser 0 0.0
      Total 17 100.0

    3. Equities
        Number of Respondents Percent
      Sharply tighter 0 0.0
      Considerably tighter 4 25.0
      Somewhat tighter 9 56.3
      Basically unchanged 3 18.8
      Looser 0 0.0
      Total 16 100.0

    4. Debt securities (including contracts referencing MBS or ABS)
        Number of Respondents Percent
      Sharply tighter 0 0.0
      Considerably tighter 8 53.3
      Somewhat tighter 7 46.7
      Basically unchanged 0 0.0
      Looser 0 0.0
      Total 15 100.0

    5. Commodities
        Number of Respondents Percent
      Sharply tighter 0 0.0
      Considerably tighter 2 14.3
      Somewhat tighter 10 71.4
      Basically unchanged 2 14.3
      Looser 0 0.0
      Total 14 100.0

    6. Total return swaps referencing nonsecurities (such as bank debt and whole loans)
        Number of Respondents Percent
      Sharply tighter 1 8.3
      Considerably tighter 4 33.3
      Somewhat tighter 6 50.0
      Basically unchanged 1 8.3
      Looser 0 0.0
      Total 12 100.0

    4. Back to section top


Footnotes

1. More information about the new Federal Reserve survey on dealer financing terms can be found in Board of Governors of the Federal Reserve System (2010), "Federal Reserve Announces Release Date for Results of the Inaugural Senior Credit Officer Opinion Survey on Dealer Financing Terms (SCOOS)," press release, July 12, www.federalreserve.gov/newsevents/press/other/20100712a.htm. Return to text

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

3. Mark and collateral disputes refer to disputes between dealers and clients about the mark-to-market value of obligations and collateral.
Return to text

4. An ordinal ranking of reasons for loosening or tightening is produced by adding the number of respondents characterizing each reason as "very important" to the number characterizing the reason as "somewhat important" and then sorting the sums in descending order. Return to text

5. In this survey, securities financing includes lending to clients collateralized by high-grade corporate bonds, equities, agency RMBS, and other ABS. Return to text

6. Question 47, not discussed here, is optional and allows respondents to provide additional comments. Return to text

7. These questions were intended to provide a benchmark level for interpreting a survey that is focused on changes, yet was being administered for the first time. Return to text

8. See note 6 in the Summary. Return to text

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Last update: June 6, 2012