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Senior Credit Officer Opinion Survey on Dealer Financing Terms
December 2014

Summary

In this Section:

The December 2014 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 set of questions, this survey included two sets of special questions that focused on events surrounding the movements in the market for U.S. Treasury securities on October 15. The first set asked about the change in net positioning in U.S. interest rates both throughout the first two weeks of October and on the morning of October 15. The second set asked the dealers whether they adjusted margin requirements applicable to interest rate derivatives during or after that day. The 22 institutions participating in the survey account for almost all dealer financing of dollar-denominated securities provided to nondealers and are the most active intermediaries in OTC derivatives markets. The survey was conducted during the period between November 18, 2014, and December 1, 2014. The core questions asked about changes between September 2014 and November 2014.1

Responses to the core questions in the December survey pointed to little change over the past three months in the credit terms applicable to most classes of counterparties covered by the survey. The responses, however, offered a few insights regarding recent developments and current areas of focus in dealer-intermediated markets:

  • One-third of the respondents noted that changes in the practices of central counterparties, including changes in margin requirements and haircuts, had influenced the credit terms applied to clients on bilateral transactions that are not cleared.
  • The use of financial leverage by the counterparties covered in the survey was generally reported to be unchanged over the past three months.
  • With regard to securities financing, a net fraction of one-third of dealers reported an increase in demand for funding of non-agency residential mortgage-backed securities (RMBS), and almost one-half of all respondents noted increased demand for term funding against such collateral. Almost one-fourth of the dealers indicated an increase in demand for funding of high-yield bonds.
  • In response to the special questions focused on positioning with respect to U.S. Treasury securities and related derivatives during the period from the beginning of the month through October 15, between one-fifth and two-fifths of dealers indicated that the net positioning in U.S. interest rates for mutual funds and separately managed accounts established with investment advisers got shorter. Respondents, on net, reported little change for other client types during this period. For the morning of October 15, about two-thirds of respondents noted that the net positioning of both macro-oriented and other hedge funds in tenors of five years or less became longer, and more than two-fifths of all respondents indicated that the same was true for tenors of more than five years. For most other client types, dealers indicated that there was little or no change on the morning of October 15.
  • In response to the special questions on changes in margin requirements on October 15 or during the days following, nearly one-fifth of the dealers reported that they increased margin requirements applicable to positions in listed contracts referencing short-term U.S. interest rates for mutual funds, pension plans and endowments, and separately managed accounts established with investment advisers. Respondents indicated that the margin requirements applicable to OTC derivatives contracts referencing short- and medium-term U.S. interest rates have generally remained unchanged.

Counterparty Types

(Questions 1-40)

Dealers and Other Financial Intermediaries. In the December survey, nearly all respondents indicated that the amount of resources and attention devoted to the management of concentrated credit exposure to dealers and other financial intermediaries remained basically unchanged over the past three months. (See the exhibit "Management of Concentrated Credit Exposures and Indicators of Supply of Credit.")

Central Counterparties and Other Financial Utilities. More than four-fifths of respondents reported that the amount of resources and attention devoted to management of concentrated credit exposures to central counterparties and other financial utilities remained unchanged over the past three months.

One-third of respondents reported that changes in the practices of central counterparties, including changes in margin requirements and haircuts, had influenced, to some extent, the credit terms applied to clients on bilateral transactions that are not cleared, a modest increase relative to the previous survey.

Hedge Funds. About one-fifth of the respondents to the December survey indicated that the price terms (such as financing rates) offered to hedge funds for securities financing and OTC derivatives transactions tightened somewhat in the past three months. The most cited reason was the diminished availability of balance sheet or capital. By contrast, dealers indicated that nonprice terms (including haircuts, maximum maturity, covenants, cure periods, cross-default provisions, or other documentation features) were basically unchanged over the past three months. Dealers also reported that the use of financial leverage by hedge funds and the availability of additional (and currently not utilized) financial leverage under agreements currently in place with hedge funds over the past three months changed little. (See the exhibit "Use of Financial Leverage.") Most dealers indicated that the provision of differential terms to most-favored clients and the intensity of efforts to negotiate more-favorable price and nonprice terms had remained basically unchanged over the past three months.

Trading Real Estate Investment Trusts. As in the past few surveys, respondents to the December survey indicated that both price and nonprice terms offered to trading real estate investment trusts had remained basically unchanged, as had their use of financial leverage. Provision of differential terms to most-favored clients and the intensity of efforts by clients to negotiate more-favorable terms were also reported to be generally little changed.

Mutual Funds, Exchange-Traded Funds, Pension Plans, and Endowments. As in the September survey, respondents to the December survey indicated that both price and nonprice terms offered to mutual funds, exchange-traded funds, pension plans, and endowments had remained basically unchanged over the past three months. Provision of differential terms to most-favored clients and the intensity of efforts by clients to negotiate more-favorable terms also were reported to be little changed, as was the use of financial leverage.

Insurance Companies. Respondents noted that price and nonprice terms offered to insurance companies had changed little over the past three months, as had the use of financial leverage. Provision of differential terms to most-favored clients and the intensity of efforts by clients to negotiate more-favorable terms also were reported to be little changed.

Separately Managed Accounts Established with Investment Advisers. As in recent surveys, nearly all of the dealers indicated in the December survey that price and nonprice terms negotiated by investment advisers on behalf of separately managed accounts were basically unchanged over the past three months. Provision of differential terms to most-favored clients and the use of financial leverage by investment advisers were also reported to be basically unchanged, as was the intensity of efforts by investment advisers to negotiate more-favorable terms.

Nonfinancial Corporations. As in the September survey, respondents indicated that price and nonprice terms offered to nonfinancial corporations had remained basically unchanged over the past three months. A few dealers reported an increase in the intensity of efforts by nonfinancial corporations to negotiate more-favorable terms.

Mark and Collateral Disputes. Slightly less than one-fifth of all respondents, on net, indicated that the volume of mark and collateral disputes with dealers and other financial intermediaries have increased somewhat. For all other counterparty types, the vast majority of respondents indicated that the volume of mark and collateral disputes were little changed over the past three months, as in the recent surveys. Most dealers responded that the duration and persistence of mark and collateral disputes with all client types included in the survey have remained basically unchanged over the past three months.

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Over-the-Counter Derivatives

(Questions 41-51)

The nonprice terms incorporated in new or renegotiated OTC derivatives master agreements were reported to be basically unchanged, on net, over the past three months.2 As in recent surveys, nearly all of the respondents in December indicated that initial margins (which fall outside the scope of master agreements) had changed little over the past three months for both average and most-favored clients and for all contract types included in the survey. Posting of nonstandard collateral--that is, collateral other than cash and U.S. Treasury securities--also remained basically unchanged. For all contract types, the volume, duration, and persistence of mark and collateral disputes were reported to be little changed over the past three months.

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Securities Financing

(Questions 52-79)3

As in previous surveys, dealers reported that the credit terms under which most types of securities included in the survey are financed were little changed, on balance, over the past three months. One-fifth of the respondents, on net, reported an easing of haircuts and maximum maturity of non-agency RMBS funding for most-favored clients.

One-fourth of the dealers reported an increase in demand for funding of high-yield corporate bonds over the past three months. As in the September survey, a net fraction of one-third of the dealers reported an increase in demand for funding of non-agency RMBS over the same period. Almost one-half of respondents also noted increased demand for term funding--that is, funding with a maturity greater than 30 days--against such collateral, and one-fifth indicated an increased demand for term funding against agency RMBS. For most other collateral types covered in the survey, small net fractions of dealers indicated increased demand for term funding. (See the exhibit "Measures of Demand for Funding and Market Functioning.")

For all collateral types, respondents indicated that the liquidity and functioning of the underlying markets remained basically unchanged over the past three months.4 Finally, all of the respondents reported that the volume, duration, and persistence of mark and collateral disputes were basically unchanged for all of the collateral types.

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Special Questions on Positioning in Treasury Securities and Related Markets

(Questions 81-84)

In this set of special questions, dealers were queried about changes in the net positioning in U.S. interest rates for different client types during the period from the beginning of October through October 14 and during the period from 8:30 a.m. to 10:00 a.m. on October 15. Survey respondents were asked to consider cash market positions as well as both listed and OTC derivatives when providing an answer.5

The First Two Weeks of October

On net, respondents indicated that macro-oriented hedge funds and other hedge funds had little or no change in their net positioning in U.S. interest rates for both long and short tenors from the beginning of the month through October 14. On net, one-fifth and two-fifths of all respondents noted that mutual funds’ net positioning in U.S. interest rates during the first two weeks of October became shorter for tenors of five years or less and for tenors of more than five years, respectively. One-fourth of the respondents indicated that net positioning had also become shorter for separately managed accounts established with investment advisers for tenors of five years or less, and two-fifths noted such a change for tenors of more than five years. Respondents, on net, indicated little or no change for pension plans and endowments and for insurance companies with respect to positioning in U.S. interest rates.

October 15

Respondents indicated that macro-oriented hedge funds and other hedge funds made the largest adjustments in their net positioning in U.S. interest rates between 8:30 a.m. and 10:00 a.m. on October 15. About two-thirds of all respondents noted that the net positioning of macro-oriented hedge funds had become longer in tenors of five years or less during that period, and three-fifths of all respondents noted such a change in net positioning for other hedge funds. A net fraction of one-half of all respondents indicated that the net positioning in U.S. interest rates for tenors of more than five years for macro-oriented hedge funds had become longer on the morning of October 15, and two-fifths, on net, indicated such a change for other hedge funds.

For most other client types, dealers indicated that there was little or no change. A few dealers, however, indicated that the net positioning for tenors of five years or less became shorter for separately managed accounts established with investment advisers.

Special Questions on Margining of Interest Rate Derivatives

(Question 85-86)

In a second set of special questions, dealers were asked whether their firm adjusted margin requirements applicable to interest rate derivatives during October 15 or in the days following. Slightly less than one-fifth of the respondents indicated that they had increased the margin requirements applicable to positions in listed contracts referencing short-term U.S. interest rates, such as Treasury and Eurodollar futures, on October 15 or in the days following for several broad classes of counterparties, including mutual funds, pension plans and endowments, and separately managed accounts established with investment advisers. By contrast, most dealers noted that the margin requirements for listed contracts were generally unchanged for macro-oriented hedge funds, other hedge funds, and insurance companies.

Respondents indicated that the margin requirements applicable to OTC derivatives contracts referencing short- and medium-term U.S. interest rates generally remained unchanged on October 15 as well as over subsequent days.

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

 

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 December 2014 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

In this Section:

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

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

Dealers and Other Financial Intermediaries

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 1 4.5
Remained basically unchanged 21 95.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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Central Counterparties and Other Financial Utilities

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 4 18.2
Remained basically unchanged 18 81.8
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
To a considerable extent 0 0.0
To some extent 7 31.8
To a minimal extent 8 36.4
Not at all 7 31.8
Total 22 100.0

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Hedge Funds

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 4 18.2
Remained basically unchanged 18 81.8
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 21 95.5
Eased somewhat 1 4.5
Eased considerably 0 0.0
Total 22 100.0

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

  1. Possible reasons for tightening
    1. Deterioration in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      4. Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Diminished availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 2 50.0
      Second in importance 2 50.0
      Third in importance 0 0.0
      Total 4 100.0

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 1 100.0
      Third in importance 0 0.0
      Total 1 100.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 1 33.3
      Second in importance 0 0.0
      Third in importance 2 66.7
      Total 3 100.0
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 1 100.0
      Third in importance 0 0.0
      Total 1 100.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Increased availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 1 100.0
      Total 1 100.0

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 100.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 1 4.5
Remained basically unchanged 19 86.4
Decreased somewhat 2 9.1
Decreased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 9.1
Remained basically unchanged 18 81.8
Decreased somewhat 2 9.1
Decreased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 21 95.5
Decreased somewhat 1 4.5
Decreased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 9.1
Remained basically unchanged 18 81.8
Decreased somewhat 2 9.1
Decreased considerably 0 0.0
Total 22 100.0

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Trading Real Estate Investment Trusts

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 2 11.8
Remained basically unchanged 15 88.2
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 17 100.0

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

Number of Respondents 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

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
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Diminished availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 1 50.0
      Second in importance 1 50.0
      Third in importance 0 0.0
      Total 2 100.0

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 1 100.0
      Third in importance 0 0.0
      Total 1 100.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 1 50.0
      Second in importance 0 0.0
      Third in importance 1 50.0
      Total 2 100.0

  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 1 100.0
      Third in importance 0 0.0
      Total 1 100.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Increased availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 1 100.0
      Total 1 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 17 94.4
Decreased somewhat 1 5.6
Decreased considerably 0 0.0
Total 18 100.0

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

Number of Respondents 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

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

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

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

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 22 100.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 22 100.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 22 100.0

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
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Diminished availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Increased availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 22 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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 4.8
    Remained basically unchanged 20 95.2
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

  2. ETFs
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 21 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

  3. Pension plans
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 21 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

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

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 22 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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Insurance Companies

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 1 4.8
Remained basically unchanged 20 95.2
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 21 100.0

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 1 4.5
Remained basically unchanged 21 95.5
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 22 100.0

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

  1. Possible reasons for tightening
    1. Deterioration in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

    5. Diminished availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Increased availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 1 4.5
Remained basically unchanged 21 95.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 22 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 1 4.5
Remained basically unchanged 21 95.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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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? (Please indicate tightening if terms have become more stringent--for example, if financing rates have risen.)

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 21 100.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 21 100.0

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 21 100.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 21 100.0

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 28 and 29), 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
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Diminished availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Increased availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 21 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 21 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 21 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0

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Nonfinancial Corporations

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 22 100.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 1 4.5
Remained basically unchanged 20 90.9
Eased somewhat 1 4.5
Eased considerably 0 0.0
Total 22 100.0

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
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 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
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Diminished availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Increased availability of balance sheet or capital at your institution
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 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?

Number of Respondents Percent
Increased considerably 1 4.5
Increased somewhat 2 9.1
Remained basically unchanged 19 86.4
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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Mark and Collateral Disputes

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

  1. Dealers and other financial intermediaries
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 5 22.7
    Remained basically unchanged 16 72.7
    Decreased somewhat 1 4.5
    Decreased considerably 0 0.0
    Total 22 100.0

  2. Hedge funds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 9.1
    Remained basically unchanged 19 86.4
    Decreased somewhat 1 4.5
    Decreased considerably 0 0.0
    Total 22 100.0

  3. Trading REITs
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

  4. Mutual funds, ETFs, pension plans, and endowments
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 10.0
    Remained basically unchanged 18 90.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

  5. Insurance companies
    Number of Respondents Percent
    Increased considerably 1 4.5
    Increased somewhat 1 4.5
    Remained basically unchanged 20 90.9
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 22 100.0

  6. Separately managed accounts established with investment advisers
    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

  7. Nonfinancial corporations
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 5.0
    Remained basically unchanged 18 90.0
    Decreased somewhat 1 5.0
    Decreased considerably 0 0.0
    Total 20 100.0

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 2 9.1
    Remained basically unchanged 19 86.4
    Decreased somewhat 1 4.5
    Decreased considerably 0 0.0
    Total 22 100.0

  2. Hedge funds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 21 95.5
    Decreased somewhat 1 4.5
    Decreased considerably 0 0.0
    Total 22 100.0

  3. Trading REITs
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

  4. Mutual funds, ETFs, pension plans, and endowments
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 5.0
    Remained basically unchanged 19 95.5
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

  5. Insurance companies
    Number of Respondents Percent
    Increased considerably 1 4.5
    Increased somewhat 0 0.0
    Remained basically unchanged 20 90.9
    Decreased somewhat 0 0.0
    Decreased considerably 1 4.5
    Total 22 100.0

  6. Separately managed accounts established with investment advisers
    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

  7. Nonfinancial corporations
    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

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Over-the-Counter Derivatives

In this Section:

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 0 0.0
    Remained basically unchanged 21 100.0
    Eased somewhat 0 0.0
    Eased considerably 0 0.0
    Total 21 100.0

  2. Acceptable collateral
    Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 9.5
    Remained basically unchanged 17 81.0
    Eased somewhat 2 9.5
    Eased considerably 0 0.0
    Total 21 100.0

  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 20 100.0
    Eased somewhat 0 0.0
    Eased considerably 0 0.0
    Total 20 100.0

  4. Triggers and covenants
    Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 9.5
    Remained basically unchanged 18 85.7
    Eased somewhat 1 4.8
    Eased considerably 0 0.0
    Total 21 100.0

  5. Other documentation features (including cure periods and cross-default provisions)
    Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 9.5
    Remained basically unchanged 19 90.5
    Eased somewhat 0 0.0
    Eased considerably 0 0.0
    Total 21 100.0

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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 19 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 19 100.0

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 19 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 19 100.0

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

  1. Initial margin requirements for average clients
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 20 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 20 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

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

  1. Initial margin requirements for average clients
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

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 0 0.0
    Remained basically unchanged 18 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 18 100.0

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

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 1 9.1
    Remained basically unchanged 10 90.9
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 11 100.0

  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 12 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 12 100.0

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

  1. Initial margin requirements for average clients
    Number of Respondents 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 0 0.0
    Remained basically unchanged 12 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 12 100.0

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 11 91.7
    Decreased somewhat 1 8.3
    Decreased considerably 0 0.0
    Total 12 100.0

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Nonstandard Collateral

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 1 4.5
Remained basically unchanged 21 95.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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Mark and Collateral Disputes

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

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

  2. Interest rate
    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

  3. Equity
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 15 88.2
    Decreased somewhat 2 11.8
    Decreased considerably 0 0.0
    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 15 88.2
    Decreased somewhat 2 11.8
    Decreased considerably 0 0.0
    Total 17 100.0

  5. Credit referencing securitized products including MBS and ABS
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 13 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 13 100.0

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

  7. TRS referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans)
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 8 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 8 100.0

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 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

  2. Interest rate
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 19 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 19 100.0

  3. Equity
    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

  4. Credit referencing corporates
    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. 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 12 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 12 100.0

  6. Commodity
    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

  7. TRS referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans)
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 7 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 7 100.0

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Securities Financing

In this Section:

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 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 1 5.6
      Remained basically unchanged 16 88.9
      Eased somewhat 1 5.6
      Eased considerably 0 0.0
      Total 18 100.0

    3. Haircuts
      Number of Respondents 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

    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 17 100.0
      Eased somewhat 0 0.0
      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 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 1 5.6
      Remained basically unchanged 16 88.9
      Eased somewhat 1 5.6
      Eased considerably 0 0.0
      Total 18 100.0

    3. Haircuts
      Number of Respondents 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

    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 17 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 17 100.0

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

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

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 11.1
Remained basically unchanged 15 83.3
Decreased somewhat 0 0.0
Decreased considerably 1 5.6
Total 18 100.0

55. 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 0 0.0
Remained basically unchanged 17 94.4
Deteriorated somewhat 1 5.6
Deteriorated considerably 0 0.0
Total 18 100.0

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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 2 11.8
      Remained basically unchanged 14 82.4
      Eased somewhat 1 5.9
      Eased considerably 0 0.0
      Total 17 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 2 11.8
      Remained basically unchanged 15 88.2
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 17 100.0

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 16 94.1
      Eased somewhat 1 5.9
      Eased considerably 0 0.0
      Total 17 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 6.3
      Remained basically unchanged 15 93.8
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 16 100.0

  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 2 11.8
      Remained basically unchanged 15 88.2
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 17 100.0

    2. Maximum maturity
      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. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 17 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 17 100.0

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

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

Number of Respondents Percent
Increased considerably 1 5.9
Increased somewhat 3 17.6
Remained basically unchanged 13 76.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 17 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 11.8
Remained basically unchanged 15 88.2
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 17 100.0

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 2 11.8
Remained basically unchanged 15 88.2
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 17 100.0

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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 20 95.2
      Eased somewhat 1 4.8
      Eased considerably 0 0.0
      Total 21 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 2 9.5
      Remained basically unchanged 19 90.5
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 21 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 5.0
      Remained basically unchanged 18 90.0
      Eased somewhat 1 5.0
      Eased considerably 0 0.0
      Total 20 100.0

  2. Terms for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 21 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 4.8
      Remained basically unchanged 20 95.2
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 21 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 19 95.0
      Eased somewhat 1 5.0
      Eased considerably 0 0.0
      Total 20 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 1 4.8
Remained basically unchanged 20 95.2
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0

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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 1 4.8
      Tightened somewhat 2 9.5
      Remained basically unchanged 18 85.7
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 1 4.8
      Tightened somewhat 2 9.5
      Remained basically unchanged 18 85.7
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 21 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 5.0
      Remained basically unchanged 18 90.0
      Eased somewhat 1 5.0
      Eased considerably 0 0.0
      Total 20 100.0

  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 4.8
      Tightened somewhat 2 9.5
      Remained basically unchanged 18 85.7
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 1 4.8
      Tightened somewhat 1 4.8
      Remained basically unchanged 18 85.7
      Eased somewhat 1 4.8
      Eased considerably 0 0.0
      Total 21 100.0

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 21 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 5.0
      Remained basically unchanged 18 90.0
      Eased somewhat 1 5.0
      Eased considerably 0 0.0
      Total 20 100.0

63. 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 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

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 4 20.0
Remained basically unchanged 16 80.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 20 100.0

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 0 0.0
Remained basically unchanged 17 85.0
Deteriorated somewhat 3 15.0
Deteriorated considerably 0 0.0
Total 20 100.0

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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 1 6.7
      Tightened somewhat 1 6.7
      Remained basically unchanged 11 73.3
      Eased somewhat 2 13.3
      Eased considerably 0 0.0
      Total 15 100.0

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

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 13 86.7
      Eased somewhat 2 13.3
      Eased considerably 0 0.0
      Total 15 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 13 92.9
      Eased somewhat 1 7.1
      Eased considerably 0 0.0
      Total 14 100.0

  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 6.7
      Tightened somewhat 1 6.7
      Remained basically unchanged 10 66.7
      Eased somewhat 3 20.0
      Eased considerably 0 0.0
      Total 15 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 1 6.7
      Tightened somewhat 0 0.0
      Remained basically unchanged 10 66.7
      Eased somewhat 4 26.7
      Eased considerably 0 0.0
      Total 15 100.0

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 12 80.0
      Eased somewhat 3 20.0
      Eased considerably 0 0.0
      Total 15 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 13 92.9
      Eased somewhat 1 7.1
      Eased considerably 0 0.0
      Total 14 100.0

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

Number of Respondents Percent
Increased considerably 1 6.7
Increased somewhat 5 33.3
Remained basically unchanged 8 53.3
Decreased somewhat 1 6.7
Decreased considerably 0 0.0
Total 15 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 7 46.7
Remained basically unchanged 8 53.3
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 15 100.0

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 1 6.7
Remained basically unchanged 14 93.3
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 15 100.0

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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 1 6.7
      Tightened somewhat 0 0.0
      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 1 6.7
      Tightened somewhat 0 0.0
      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 0 0.0
      Remained basically unchanged 14 93.3
      Eased somewhat 1 6.7
      Eased considerably 0 0.0
      Total 15 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 14 93.3
      Eased somewhat 1 6.7
      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 1 6.7
      Tightened somewhat 0 0.0
      Remained basically unchanged 12 80.0
      Eased somewhat 2 13.3
      Eased considerably 0 0.0
      Total 15 100.0

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

    3. Haircuts
      4. Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 13 86.7
      Eased somewhat 2 13.3
      Eased considerably 0 0.0
      Total 15 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 13 86.7
      Eased somewhat 2 13.3
      Eased considerably 0 0.0
      Total 15 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 12.5
Remained basically unchanged 14 87.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 16 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 12.5
Remained basically unchanged 14 87.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 16 100.0

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 1 6.3
Remained basically unchanged 14 87.5
Deteriorated somewhat 1
Deteriorated considerably 0 0.0
Total 16 100.0

Back to section top



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 14 93.3
      Eased somewhat 1 6.7
      Eased considerably 0 0.0
      Total 15 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 15 100.00
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 15 100.0

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

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 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 0 0.0
      Remained basically unchanged 14 93.3
      Eased somewhat 1 6.7
      Eased considerably 0 0.0
      Total 15 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 6.7
      Remained basically unchanged 14 93.3
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 15 100.0

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

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 15 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 15 100.0

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

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 13.3
Remained basically unchanged 13 86.7
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 15 100.0

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 0 0.0
Remained basically unchanged 15 100.0
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 15 100.0

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Mark and Collateral Disputes

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

  1. High-grade corporate bonds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 18 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 18 100.0

  2. High-yield corporate bonds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

  3. Equities
    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. Agency RMBS
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 21 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

  5. Non-agency RMBS
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 15 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 15 100.0

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

  7. Consumer ABS
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 15 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 15 100.0

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 18 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 18 100.0

  2. High-yield corporate bonds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

  3. Equities
    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. Agency RMBS
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 21 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

  5. Non-agency RMBS
    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

  6. CMBS
    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

  7. Consumer ABS
    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

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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.6

Special Questions

In this Section:

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.

Positioning in Treasury Securities and Related Markets

Reports suggested that investors significantly adjusted their positioning in U.S. interest rate markets during the first half of October. Some analyses indicated that the adjustment was effected over the first two weeks of the month. Other reports focused on a much shorter interval during the morning of October 15, which was characterized by outsized market movements in U.S. Treasury markets, as being the period of the most significant repositioning. Questions 81 through 84 seek information on changes to the net positioning of clients in U.S. interest rates during October. Questions 81 and 82 focus on changes in exposure during the month of October through October 14, asking about exposure to shorter-term and longer-term rates, respectively. Questions 83 and 84 deal with changes in positioning during the period from 8:30 a.m. to 10:00 a.m. on October 15, considering exposure to shorter-term and longer-term rates, respectively.

81. How did your firm’s institutional clients of the following types adjust their net positioning in U.S. interest rates (tenor of five years or less) from the beginning of the month through October 14? Please consider cash market positions as well as both listed and OTC derivatives. (Please follow the convention that a long position is one that produces gains should interest rates decline.)

  1. Macro-oriented hedge funds
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 4 23.5
    Little or no change 7 41.2
    Became somewhat shorter 5 29.4
    Became considerably shorter 1 5.9
    Total 17 100.0

  2. Other hedge funds
    Number of Respondents Percent
    Became considerably longer 1 5.9
    Became somewhat longer 4 23.5
    Little or no change 7 41.2
    Became somewhat shorter 4 23.5
    Became considerably shorter 1 5.9
    Total 17 100.0

  3. Mutual funds
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 2 12.5
    Little or no change 9 56.3
    Became somewhat shorter 3 18.8
    Became considerably shorter 2 12.5
    Total 16 100.0

  4. Pension plans and endowments
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 3 18.8
    Little or no change 11 68.8
    Became somewhat shorter 1 6.3
    Became considerably shorter 1 6.3
    Total 16 100.0

  5. Insurance companies
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 1 6.7
    Little or no change 11 73.3
    Became somewhat shorter 2 13.3
    Became considerably shorter 1 6.7
    Total 15 100.0

  6. Separately managed accounts established with investment advisors
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 0 0.0
    Little or no change 9 75.0
    Became somewhat shorter 2 16.7
    Became considerably shorter 1 8.3
    Total 12 100.0

82. How did your firm’s institutional clients of the following types adjust their net positioning in U.S. interest rates (tenor of more than five years) from the beginning of the month through October 14? Please consider cash market positions as well as both listed and OTC derivatives. (Please follow the convention that a long position is one that produces gains should interest rates decline.)

  1. Macro-oriented hedge funds
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 4 23.5
    Little or no change 8 47.1
    Became somewhat shorter 4 23.5
    Became considerably shorter 1 5.9
    Total 17 100.0

  2. Other hedge funds
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 4 23.5
    Little or no change 9 52.9
    Became somewhat shorter 3 17.6
    Became considerably shorter 1 5.9
    Total 17 100.0

  3. Mutual funds
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 2 12.5
    Little or no change 6 37.5
    Became somewhat shorter 7 43.8
    Became considerably shorter 1 6.3
    Total 16 100.0

  4. Pension plans and endowments
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 4 25.0
    Little or no change 9 56.3
    Became somewhat shorter 2 12.5
    Became considerably shorter 1 6.3
    Total 16 100.0

  5. Insurance companies
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 3 20.0
    Little or no change 8 53.3
    Became somewhat shorter 2 13.3
    Became considerably shorter 2 13.3
    Total 15 100.0

  6. Separately managed accounts established with investment advisors
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 0 0.0
    Little or no change 7 58.3
    Became somewhat shorter 4 33.3
    Became considerably shorter 1 8.3
    Total 12 100.0

83. How did your firm’s institutional clients of the following types adjust their net positioning in U.S. interest rates (tenor of five years or less) on Wednesday, October 15, between 8:30 a.m. and 10:00 a.m.? Please consider cash market positions as well as both listed and OTC derivatives. (Please follow the convention that a long position is one that produces gains should interest rates decline.)

  1. Macro-oriented hedge funds
    Number of Respondents Percent
    Became considerably longer 1 6.5
    Became somewhat longer 10 62.5
    Little or no change 5 31.3
    Became somewhat shorter 0 0.0
    Became considerably shorter 0 0.0
    Total 16 100.0

  2. Other hedge funds
    Number of Respondents Percent
    Became considerably longer 1 6.3
    Became somewhat longer 9 56.3
    Little or no change 6 37.5
    Became somewhat shorter 0 0.0
    Became considerably shorter 0 0.0
    Total 16 100.0

  3. Mutual funds
    Number of Respondents Percent
    Became considerably longer 2 13.3
    Became somewhat longer 1 6.7
    Little or no change 10 66.7
    Became somewhat shorter 1 6.7
    Became considerably shorter 1 6.7
    Total 15 100.0

  4. Pension plans and endowments
    Number of Respondents Percent
    Became considerably longer 1 6.7
    Became somewhat longer 1 6.7
    Little or no change 12 80.0
    Became somewhat shorter 0 0.0
    Became considerably shorter 1 6.7
    Total 15 100.0

  5. Insurance companies
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 0 0.0
    Little or no change 13 92.9
    Became somewhat shorter 0 0.0
    Became considerably shorter 1 7.1
    Total 14 100.0

  6. Separately managed accounts established with investment advisors
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 0 0.0
    Little or no change 9 81.8
    Became somewhat shorter 1 9.1
    Became considerably shorter 1 9.1
    Total 11 100.0

84. How did your firm’s institutional clients of the following types adjust their net positioning in U.S. interest rates (tenor of more than five years) on Wednesday, October 15, between 8:30 a.m. and 10:00 a.m.? Please consider cash market positions as well as both listed and OTC derivatives. (Please follow the convention that a long position is one that produces gains should interest rates decline.)

  1. Macro-oriented hedge funds
    Number of Respondents Percent
    Became considerably longer 1 6.3
    Became somewhat longer 8 50.0
    Little or no change 6 37.5
    Became somewhat shorter 1 6.3
    Became considerably shorter 0 0.0
    Total 16 100.0

  2. Other hedge funds
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 8 50.0
    Little or no change 7 43.8
    Became somewhat shorter 1 6.3
    Became considerably shorter 0 0.0
    Total 16 100.0

  3. Mutual funds
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 3 20.0
    Little or no change 11 73.3
    Became somewhat shorter 0 0.0
    Became considerably shorter 1 6.7
    Total 15 100.0

  4. Pension plans and endowments
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 3 20.0
    Little or no change 11 73.3
    Became somewhat shorter 0 0.0
    Became considerably shorter 1 6.7
    Total 15 100.0

  5. Insurance companies
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 2 14.3
    Little or no change 11 78.6
    Became somewhat shorter 0 0.0
    Became considerably shorter 1 7.1
    Total 14 100.0

  6. Separately managed accounts established with investment advisors
    Number of Respondents Percent
    Became considerably longer 0 0.0
    Became somewhat longer 0 0.0
    Little or no change 10 90.9
    Became somewhat shorter 0 0.0
    Became considerably shorter 1 9.1
    Total 11 100.0

Margining of Interest Rate Derivatives

The market movements on October 15 were outsized relative to recent experience, including the time series of historical returns often used to calibrate margin requirements. Questions 85 and 86 ask about whether your firm adjusted margin requirements applicable to interest rate derivatives during or after that day. Question 85 asks about listed contracts while question 86 focuses on OTC derivatives.

85. Did your firm adjust client margin requirements applicable to positions in listed contracts referencing short-term U.S. interest rates--for example, Treasury and Eurodollar futures--on October 15 or in the days following?

  1. Macro-oriented hedge funds
    Number of Respondents Percent
    Increased considerably for most clients 1 6.3
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 1 6.3
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 14 87.5
    Total 16 100.0

  2. Other hedge funds
    Number of Respondents Percent
    Increased considerably for most clients 1 6.3
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 1 6.3
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 14 87.5
    Total 16 100.0

  3. Mutual funds
    Number of Respondents Percent
    Increased considerably for most clients 1 6.3
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 2 12.5
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 13 81.3
    Total 16 100.0

  4. Pension plans and endowments
    Number of Respondents Percent
    Increased considerably for most clients 1 5.9
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 2 11.8
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 14 82.4
    Total 17 100.0

  5. Insurance companies
    Number of Respondents Percent
    Increased considerably for most clients 0 0.0
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 2 12.5
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 14 87.5
    Total 16 100.0

  6. Separately managed accounts established with investment advisers
    Number of Respondents Percent
    Increased considerably for most clients 1 6.7
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 2 13.3
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 12 80.0
    Total 15 100.0

86. Did your firm adjust margin requirements applicable to OTC derivatives contracts referencing short- and medium-term U.S. interest rates on October 15 or in the days following?

  1. Macro-oriented hedge funds
    Number of Respondents Percent
    Increased considerably for most clients 0 0.0
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 1 5.9
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 16 94.1
    Total 17 100.0

  2. Other hedge funds
    Number of Respondents Percent
    Increased considerably for most clients 0 0.0
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 1 5.9
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 16 94.1
    Total 17 100.0

  3. Mutual funds
    Number of Respondents Percent
    Increased considerably for most clients 0 0.0
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 2 12.5
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 14 87.5
    Total 16 100.0

  4. Pension plans and endowments
    Number of Respondents Percent
    Increased considerably for most clients 0 0.0
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 2 11.8
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 15 88.2
    Total 17 100.0

  5. Insurance companies
    Number of Respondents Percent
    Increased considerably for most clients 0 0.0
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 2 12.5
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 14 87.5
    Total 16 100.0

  6. Separately managed accounts established with investment advisers
    Number of Respondents Percent
    Increased considerably for most clients 0 0.0
    Increased considerably for selected clients 0 0.0
    Increased somewhat for most clients 2 13.3
    Increased somewhat for selected clients 0 0.0
    Generally unchanged 13 86.7
    Total 15 100.0


Footnotes

1.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 easing terms ("eased considerably" or "eased 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

2. The survey asks specifically about requirements, timelines, and thresholds for posting additional margin; acceptable collateral; recognition of portfolio or diversification benefits; triggers and covenants; and other documentation features, including cure periods and cross-default provisions. Return to text

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

4. Note that survey respondents are 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 market itself. This question is not asked with respect to equity markets in the core questions. Return to text

5. Respondents were asked to provide responses in the context of the market convention, which is that a long position is one that produces gains in the event interest rates decline. Return to text

6. See note 3 in the Summary. Return to text

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Last update: January 15, 2015