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Senior Credit Officer Opinion Survey on Dealer Financing Terms
March 2015

Summary

In this Section:

The March 2015 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, the survey included a set of special questions about the financing of commercial mortgage-backed securities (CMBS). The 21 institutions participating in the survey account for almost all dealer financing of dollar-denominated securities to nondealers and are the most active intermediaries in OTC derivatives markets. The survey was conducted during the period between February 17, 2015, and March 2, 2015. The core questions asked about changes between December 2014 and February 2015.1

Responses to the core questions in the March survey generally suggested 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 in dealer-intermediated markets:

  • Notable fractions of respondents to the March survey reported an increase in the amount of resources and attention devoted to the management of concentrated exposures to dealers and other financial intermediaries as well as central counterparties and other financial utilities.
  • Dealers indicated that the use of financial leverage by most classes of counterparties had remained basically unchanged over the past three months.
  • Almost one-third of dealers reported increases in initial margins for OTC foreign exchange derivatives, and about one-fifth of respondents noted an uptick in the volume of mark and collateral disputes for such derivative contracts.
  • Continuing the trend seen in recent surveys, one-fourth of the dealers reported an increase in demand for funding of high-yield corporate bonds over the past three months.
  • In response to a set of special questions focused on changes in the financing of CMBS since the beginning of 2014, two-fifths of respondents noted an increase in demand for funding of CMBS from credit hedge funds and real estate investment trusts (REITs).2 Roughly three-fifths of dealers indicated that the securities being funded included either mostly triple-A-rated tranches (with some mezzanine or with some mezzanine and equity tranches) or a mix of triple-A-rated and mezzanine tranches. In addition, about one-fifth of dealers reported an increase in their willingness to fund commercial real estate (CRE) loans on an interim basis through warehouse financing and similar secured facilities for the purposes of securitization.

Counterparty Types

(Questions 1-40)

Dealers and Other Financial Intermediaries. In the March survey, about four-fifths of 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, while the remainder pointed to an increase. (See the exhibit "Management of Concentrated Credit Exposures and Indicators of Supply of Credit.") The share of dealers reporting an increase has remained well below the 90 percent peak reached in the December 2011 survey when concerns about the condition of European financial institutions were particularly acute.

Central Counterparties and Other Financial Utilities. One-third of respondents indicated that they had increased the amount of resources and attention devoted to the management of concentrated credit exposures to central counterparties and other financial utilities over the past three months, the highest fraction since the December 2013 survey.

Roughly two-fifths of dealers noted 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.

Hedge Funds. Respondents to the March survey generally indicated that both price terms (such as financing rates) and nonprice terms (including haircuts, maximum maturity, covenants, cure periods, cross-default provisions, or other documentation features) offered to hedge funds for securities financing and OTC derivatives transactions were little changed over the past three months. A net fraction of about one-seventh of respondents to the March survey indicated that the use of financial leverage by hedge funds increased somewhat (see the exhibit "Use of Financial Leverage") and about the same net fraction of dealers indicated that the provision of differential terms to the most-favored hedge funds had increased somewhat since the December survey. A smaller fraction of dealers noted that the availability of additional (and not utilized) financial leverage under agreements currently in place with hedge funds similarly increased somewhat over the past three months.

Trading Real Estate Investment Trusts. As in the past few surveys, respondents to the March survey indicated that both price and nonprice terms offered to trading REITs 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 December survey, respondents to the March 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. As in the previous survey, respondents to the March survey indicated that both 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. Nearly all of the dealers indicated in the March 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 recent surveys, respondents indicated that both price and nonprice terms offered to nonfinancial corporations had remained basically unchanged over the past three months. As in the December 2014 survey, a couple of dealers reported an increase in the intensity of efforts by nonfinancial corporations to negotiate more-favorable price and nonprice terms.

Mark and Collateral Disputes. The vast majority of respondents in March indicated that the volume, persistence, and duration of mark and collateral disputes with most counterparty types included in the survey were little changed over the past three months. A net fraction of about one-seventh of respondents, however, reported an increase in the volume of mark and collateral disputes with dealers and other financial intermediaries.

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Over-the-Counter Derivatives

(Questions 41-51)

As in previous surveys, the nonprice terms (such as acceptable collateral, covenants, and the recognition of portfolio or diversification benefits) incorporated in new or renegotiated OTC derivatives master agreements were reported to be basically unchanged, on net, over the past three months.3 Almost one-third of dealers in the March survey noted an increase in initial margin requirements applicable to OTC foreign exchange derivatives for both average and most-favored clients. For all other contract types, such as interest rate derivatives or equity derivatives, nearly all of the respondents indicated that initial margins had remained basically unchanged over the past three months for both average and most-favored clients.

Nearly one-fifth of dealers noted that the volume of mark and collateral disputes had increased somewhat for equities and foreign exchange contracts. The volume of disputes for all other contract types was reported to be basically unchanged by most respondents, as was the frequency with which nonstandard collateral--that is, collateral other than cash and U.S. Treasury securities--was posted to fulfill margin requirements.

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Securities Financing

(Questions 52-79)4

As in previous surveys, dealers reported that the credit terms under which all types of securities included in the survey are financed were little changed, on balance, over the past three months.

Continuing a trend that began in the March 2014 survey, significant net fractions of dealers reported in the March 2015 survey an increase in demand for funding of high-yield corporate bonds and CMBS over the past three months: One-fourth of respondents reported an increase in the demand for funding of high-yield bonds over the past three months, while one-sixth of dealers reported a rise with respect to CMBS. In addition, one-third of dealers reported an increase in demand for funding of non-agency residential mortgage-backed securities (RMBS) over the same period. For most other collateral types covered in the survey, the vast majority of respondents indicated that the demand for funding has remained basically unchanged. (See the exhibit "Measures of Demand for Funding and Market Functioning.")

These increases in demand seemed focused on term funding--that is, funding with a maturity greater than 30 days. About one-seventh, one-sixth, and one-fifth of respondents indicated that the demand for term funding has increased for high-yield bonds, CMBS, and non-agency RMBS, respectively.

For most collateral types, respondents indicated that the liquidity and functioning of the underlying markets remained basically unchanged over the past three months.5 Finally, as in previous surveys, nearly all of the respondents indicated 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 Financing of Commercial Mortgage-Backed Securities

(Questions 81-83)

Throughout 2014, market commentaries suggested that demand for funding of CMBS increased as investors sought to boost effective returns on such assets through greater use of financial leverage. A set of special questions in the March survey asked in more detail about changes in demand for funding of CMBS.

In response to a question about changes in demand for funding of CMBS by various types of institutions since the beginning of 2014, about two-fifths of respondents reported an increase on the part of credit-oriented hedge funds and REITs. One-fourth of dealers reported an increase in demand from other hedge funds. Demand for funding by other classes of institutional investors (such as private equity firms and insurance companies) was roughly unchanged.

Responses to a question about the types of CMBS that dealers currently provide funding for suggest that financing is generally available across the CMBS capital structure. In particular, about three-fifths of respondents indicated that the securities being funded included either mostly triple-A-rated tranches (with some mezzanine or with some mezzanine and equity tranches) or a mix of triple-A-rated and mezzanine tranches. One-fourth of dealers noted that essentially only mezzanine tranches were being financed.

Finally, in response to a question about changes since the beginning of 2014 in dealers' willingness to fund CRE loans on an interim basis through warehouse financing and similar secured facilities intended to allow for the accumulation of assets for eventual securitization, one-fifth of dealers reported an increase.

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

 

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

Accessible version

 

Exhibit 2: Use of Financial Leverage

Accessible version

 

Exhibit 3: Measures of Demand of Funding and Market Functioning

Accessible version

 

Results of the March 2015 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 4 19.0
Remained basically unchanged 17 81.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0


Central Counterparties and Other Financial Utilities

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 7 33.3
Remained basically unchanged 14 66.7
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0

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 8 38.1
To a minimal extent 9 42.9
Not at all 4 19.0
Total 21 100.0


Hedge Funds

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 3 14.3
Remained basically unchanged 16 76.2
Eased somewhat 2 9.5
Eased considerably 0 0.0
Total 21 100.0

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 1 4.8
Remained basically unchanged 19 90.5
Eased somewhat 1 4.8
Eased considerably 0 0.0
Total 21 100.0

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)
      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 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 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

    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 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

  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 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 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 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 4 19.0
Remained basically unchanged 15 71.4
Decreased somewhat 2 9.5
Decreased considerably 0 0.0
Total 21 100.0

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 4 19.0
Remained basically unchanged 16 76.2
Decreased somewhat 1 4.8
Decreased considerably 0 0.0
Total 21 100.0

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 2 9.5
Remained basically unchanged 19 90.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0

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 3 14.3
Remained basically unchanged 18 85.7
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0


Trading Real Estate Investment Trusts

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 16 100.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 16 100.0

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

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 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

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 17 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 17 100.0

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 0 0.0
Remained basically unchanged 16 94.1
Decreased somewhat 1 5.9
Decreased considerably 0 0.0
Total 17 100.0

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 17 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 17 100.0


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

17. Over the past three months, how have the price terms (for example, financing rates) offered to mutual funds, exchange-traded 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 1 4.8
Remained basically unchanged 19 90.5
Eased somewhat 1 4.8
Eased considerably 0 0.0
Total 21 100.0

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

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 1 100.0
      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 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 1 100.0
      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 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 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 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 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 1 4.8
Increased somewhat 1 4.8
Remained basically unchanged 19 90.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0

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 2 10.0
    Remained basically unchanged 18 90.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

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

  3. Pension plans
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 20 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

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

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

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


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 2 10.0
Remained basically unchanged 18 90.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 20 100.0

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 4.8
Remained basically unchanged 19 90.5
Eased somewhat 1 4.8
Eased considerably 0 0.0
Total 21 100.0

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 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 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

  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 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 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

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

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

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

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 21 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0

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


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 19 95.0
Eased somewhat 1 5.0
Eased considerably 0 0.0
Total 20 100.0

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 1 5.0
Remained basically unchanged 19 95.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 20 100.0

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

  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 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 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 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 1 5.0
Remained basically unchanged 19 95.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 20 100.0

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 20 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 20 100.0

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 20 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 20 100.0


Nonfinancial Corporations

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

Number of Respondents 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

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 2 9.5
Remained basically unchanged 19 90.5
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 21 100.0

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 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

    2. Reduced willingness of your institution to take on risk
      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

    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 1 100.0
      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 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

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 0 0.0
Increased somewhat 2 9.5
Remained basically unchanged 19 90.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0


Mark and Collateral Disputes

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

  1. Dealers and other financial intermediaries
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 3 14.3
    Remained basically unchanged 18 85.7
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

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

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

  4. Mutual funds, ETFs, pension plans, and endowments
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 5.3
    Remained basically unchanged 17 89.5
    Decreased somewhat 1 5.3
    Decreased considerably 0 0.0
    Total 19 100.0

  5. Insurance companies
    Number of Respondents Percent
    Increased considerably 1 4.8
    Increased somewhat 2 9.5
    Remained basically unchanged 18 85.7
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

  6. Separately managed accounts established with investment advisers
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 5.3
    Remained basically unchanged 18 94.7
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 19 100.0

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

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 9.5
    Remained basically unchanged 19 90.5
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

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

  3. Trading REITs
    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. Mutual funds, ETFs, pension plans, and endowments
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 19 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 19 100.0

  5. Insurance companies
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 4.8
    Remained basically unchanged 19 90.5
    Decreased somewhat 0 0.0
    Decreased considerably 1 4.8
    Total 21 100.0

  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 18 94.7
    Decreased somewhat 0 0.0
    Decreased considerably 1 5.3
    Total 19 100.0

  7. Nonfinancial corporations
    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

Back to section top


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 clients changed?

  1. Requirements, timelines, and thresholds for posting additional margin
    Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 1 5.3
    Remained basically unchanged 18 94.7
    Eased somewhat 0 0.0
    Eased considerably 0 0.0
    Total 19 100.0

  2. Acceptable collateral
    Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 1 5.3
    Remained basically unchanged 16 84.2
    Eased somewhat 2 10.5
    Eased considerably 0 0.0
    Total 19 100.0

  3. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate agreements are in place)
    Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 0 0.0
    Remained basically unchanged 18 100.0
    Eased somewhat 0 0.0
    Eased considerably 0 0.0
    Total 18 100.0

  4. Triggers and covenants
    Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 10.5
    Remained basically unchanged 17 89.5
    Eased somewhat 0 0.0
    Eased considerably 0 0.0
    Total 19 100.0

  5. Other documentation features (including cure periods and cross-default provisions)
    Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 0 0.0
    Remained basically unchanged 18 94.7
    Eased somewhat 1 5.3
    Eased considerably 0 0.0
    Total 19 100.0


Initial Margin

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

  1. Initial margin requirements for average clients
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 5 27.8
    Remained basically unchanged 13 72.2
    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 5 27.8
    Remained basically unchanged 13 72.2
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 18 100.0

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 1 5.3
    Remained basically unchanged 18 94.7
    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 18 94.7
    Decreased somewhat 1 5.3
    Decreased considerably 0 0.0
    Total 19 100.0

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 16 94.1
    Decreased somewhat 1 5.9
    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 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

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 asset-backed securities (ABS) or mortgage-backed securities (MBS) tranches and associated indexes) changed?

  1. Initial margin requirements for average clients
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 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 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 1 6.3
    Remained basically unchanged 14 87.5
    Decreased somewhat 0 0.0
    Decreased considerably 1 6.3
    Total 16 100.0

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 6.3
    Remained basically unchanged 15 93.8
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 16 100.0

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 11 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 11 100.0


Nonstandard Collateral

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

Number of Respondents 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


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 3 17.6
    Remained basically unchanged 14 82.4
    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 2 10.5
    Remained basically unchanged 16 84.2
    Decreased somewhat 1 5.3
    Decreased considerably 0 0.0
    Total 19 100.0

  3. Equity
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 3 17.6
    Remained basically unchanged 14 82.4
    Decreased somewhat 0 0.0
    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 17 100.0
    Decreased somewhat 0 0.0
    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 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 1 6.3
    Remained basically unchanged 14 87.5
    Decreased somewhat 1 6.3
    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 10 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 10 100.0

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 1 5.9
    Remained basically unchanged 16 94.1
    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 2 11.1
    Remained basically unchanged 16 88.9
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 18 100.0

  3. Equity
    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

  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 11 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 11 100.0

  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 9 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 9 100.0

Back to section top


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

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

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

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 3 18.8
      Remained basically unchanged 11 68.8
      Eased somewhat 2 12.5
      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 1 5.9
      Remained basically unchanged 15 88.2
      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 1 5.9
      Remained basically unchanged 16 94.1
      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 1 5.9
      Remained basically unchanged 16 94.1
      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 2 12.5
      Remained basically unchanged 12 75.0
      Eased somewhat 2 12.5
      Eased considerably 0 0.0
      Total 16 100.0

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 5.9
Remained basically unchanged 14 82.4
Decreased somewhat 1 5.9
Decreased considerably 1 5.9
Total 17 100.0

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

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 16 94.1
Deteriorated somewhat 1 5.9
Deteriorated considerably 0 0.0
Total 17 100.0


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 12.5
      Remained basically unchanged 14 87.5
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 16 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 6.3
      Remained basically unchanged 15 93.8
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 16 100.0

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 2 12.5
      Remained basically unchanged 14 87.5
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 16 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 3 20.0
      Remained basically unchanged 11 73.3
      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 0 0.0
      Tightened somewhat 1 6.3
      Remained basically unchanged 14 87.5
      Eased somewhat 1 6.3
      Eased considerably 0 0.0
      Total 16 100.0

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

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 2 12.5
      Remained basically unchanged 14 87.5
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 16 100.0

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

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 0 0.0
Increased somewhat 4 25.0
Remained basically unchanged 12 75.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 16 100.0

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 12.5
Remained basically unchanged 14 87.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 16 100.0

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 1 6.3
Remained basically unchanged 13 81.3
Deteriorated somewhat 2 12.5
Deteriorated considerably 0 0.0
Total 16 100.0


Equities (Including through Stock Loan)

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

  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 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 0 0.0
      Remained basically unchanged 21 100.0
      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 20 100.0
      Eased somewhat 0 0.0
      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 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 0 0.0
      Remained basically unchanged 21 100.0
      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 20 100.0
      Eased somewhat 0 0.0
      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 1 4.8
Increased somewhat 1 4.8
Remained basically unchanged 19 90.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0


Agency Residential Mortgage-Backed Securities

62. Over the past three months, how have the terms under which agency residential mortgage-backed securities (RMBS) are funded changed?

  1. Terms for average clients
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 5.6
      Remained basically unchanged 16 88.9
      Eased somewhat 1 5.6
      Eased considerably 0 0.0
      Total 18 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 17 94.4
      Eased somewhat 1 5.6
      Eased considerably 0 0.0
      Total 18 100.0

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 18 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 18 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 5.9
      Remained basically unchanged 15 88.2
      Eased somewhat 1 5.9
      Eased considerably 0 0.0
      Total 17 100.0

  2. Terms for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 17 94.4
      Eased somewhat 1 5.6
      Eased considerably 0 0.0
      Total 18 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 17 94.4
      Eased somewhat 1 5.6
      Eased considerably 0 0.0
      Total 18 100.0

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 18 100.0
      Eased somewhat 0 0.0
      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 16 94.1
      Eased somewhat 1 5.9
      Eased considerably 0 0.0
      Total 17 100.0

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 1 5.6
Remained basically unchanged 17 94.4
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 18 100.0

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 2 11.1
Remained basically unchanged 16 88.9
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 18 100.0

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 18 100.0
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 18 100.0


Non-agency Residential Mortgage-Backed Securities

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

  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 13 92.9
      Eased somewhat 1 7.1
      Eased considerably 0 0.0
      Total 14 100.0

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

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 7.1
      Remained basically unchanged 13 92.9
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 14 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 2 15.4
      Remained basically unchanged 11 84.6
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 13 100.0

  2. Terms for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 13 92.9
      Eased somewhat 1 7.1
      Eased considerably 0 0.0
      Total 14 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 13 92.9
      Eased somewhat 1 7.1
      Eased considerably 0 0.0
      Total 14 100.0

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

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 7.7
      Remained basically unchanged 12 92.3
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 13 100.0

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 0 0.0
Increased somewhat 4 28.6
Remained basically unchanged 10 71.4
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 14 100.0

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 3 21.4
Remained basically unchanged 11 78.6
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 14 100.0

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 2 14.3
Remained basically unchanged 12 85.7
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 14 100.0


Commercial Mortgage-Backed Securities

70. Over the past three months, how have the terms under which commercial mortgage-backed securities (CMBS) are funded changed?

  1. Terms for average clients
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 11 91.7
      Eased somewhat 1 8.3
      Eased considerably 0 0.0
      Total 12 100.0

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

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 8.3
      Remained basically unchanged 11 91.7
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 12 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 8.3
      Remained basically unchanged 11 91.7
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 12 100.0

  2. Terms for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 11 91.7
      Eased somewhat 1 8.3
      Eased considerably 0 0.0
      Total 12 100.0

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

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 8.3
      Remained basically unchanged 11 91.7
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 12 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 8.3
      Remained basically unchanged 11 91.7
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 12 100.0

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 16.7
Remained basically unchanged 10 83.3
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 12 100.0

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 1 8.3
Increased somewhat 1 8.3
Remained basically unchanged 10 83.3
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 12 100.0

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 8.3
Remained basically unchanged 10 83.3
Deteriorated somewhat 1 8.3
Deteriorated considerably 0 0.0
Total 12 100.0


Consumer Asset-Backed Securities

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

  1. Terms for average clients
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 12 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 12 100.0

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

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

    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 12 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 12 100.0

  2. Terms for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 12 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 12 100.0

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

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

    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 12 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 12 100.0

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 8.3
Remained basically unchanged 11 91.7
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 12 100.0

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 0 0.0
Remained basically unchanged 12 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 12 100.0

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 12 100.0
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 12 100.0


Mark and Collateral Disputes

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

  1. High-grade 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

  2. High-yield corporate bonds
    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

  3. Equities
    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. Agency RMBS
    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

  5. Non-agency RMBS
    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. CMBS
    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

  7. Consumer 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

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 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

  2. High-yield corporate bonds
    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

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

  5. Non-agency RMBS
    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

  6. CMBS
    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

  7. Consumer 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

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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.


Financing of Commercial Mortgage Backed Securities

Reports suggest that demand for funding of commercial mortgage-backed securities (CMBS) has increased throughout 2014 as investors have sought to increase effective returns on such assets through greater use of leverage. Question 81 asks about changes in demand for funding of CMBS by specific classes of institutional investors over that period. Question 82 solicits information on the seniority within the capital structure of CMBS tranches being funded. Question 83 seeks information on changes in your institution's willingness to provide warehouse financing or other similar facilities for commercial real estate (CRE) loans intended for eventual securitization as CMBS collateral.

81. How has demand for funding of CMBS by your institution's clients of each of the following types changed since the beginning of 2014?

  1. Credit-oriented hedge funds
    Number of Respondents Percent
    Increased significantly 0 0.0
    Increased somewhat 6 37.5
    Remained basically unchanged 10 62.5
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 16 100.0

  2. Other hedge funds
    Number of Respondents Percent
    Increased significantly 0 0.0
    Increased somewhat 4 25.0
    Remained basically unchanged 12 75.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 16 100.0

  3. Private equity funds
    Number of Respondents Percent
    Increased significantly 0 0.0
    Increased somewhat 1 8.3
    Remained basically unchanged 11 91.7
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 12 100.0

  4. Pension plans
    Number of Respondents Percent
    Increased significantly 0 0.0
    Increased somewhat 2 16.7
    Remained basically unchanged 8 66.7
    Decreased somewhat 0 0.0
    Decreased considerably 2 16.7
    Total 12 100.0

  5. Insurance companies
    Number of Respondents Percent
    Increased significantly 0 0.0
    Increased somewhat 1 7.7
    Remained basically unchanged 11 84.6
    Decreased somewhat 0 0.0
    Decreased considerably 1 7.7
    Total 13 100.0

  6. Real estate investment trusts
    Number of Respondents Percent
    Increased significantly 1 7.1
    Increased somewhat 5 35.7
    Remained basically unchanged 8 57.1
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 14 100.0

82. To the extent that your institution is currently providing funding for non-agency CMBS tranches, where do the securities being financed stand in the CMBS capital structure? (Note: “triple-A-rated tranches” refers to all triple-A-rated tranches, including super-triple-A, junior-triple-A, and other triple-A tranches; “equity tranches” refer to the most junior piece of a capital CMBS structure, also commonly known as the “B-piece.”)

Number of Respondents Percent
Essentially all triple-A-rated tranches 0 0.0
Mostly triple-A-rated tranches but with some mezzanine tranches 2 16.7
A mix of triple-A-rated and mezzanine tranches 3 25.0
Essentially all mezzanine tranches 3 25.0
Mostly triple-A-rated tranches but with some mezzanine and equity tranches 2 16.7
A range of tranches across the capital structure, all in meaningful proportions 2 16.7
Essentially all mezzanine and equity tranches 0 0.0
Essentially all equity tranches 0 0.0
Total 12 100.0

83. How has your institution's willingness to fund CRE loans on an interim basis at prevailing market rates and under prevailing market terms through warehouse financing and similar secured facilities intended to allow the accumulation of assets for eventual securitization changed since the beginning of 2014?

Number of Respondents Percent
Increased considerably 1 4.8
Increased somewhat 3 14.3
Remained basically unchanged 17 81.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 21 100.0


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. Trading REITs, including agency REITs, invest in assets backed by real estate rather than directly in real estate. Return to text

3. 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

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

5. 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

6. See Note 4 in the Summary. Return to text

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Last update: April 15, 2015