Form FR 2034 FR 2034 Senior Credit Officer Opinion Survey

DRAFT March 11, 2010

FR 2034
OMB Number: 7100-0NEW
Expires March 31, 2013

SENIOR CREDIT OFFICER OPINION SURVEY
On Market Practices Relating to
Securities Financing Transactions and Over-the-Counter Derivative Contracts

Counterparty Types
Questions 1 through 17 ask about credit terms applicable to different counterparty types across
the entire range of securities financing and over-the-counter derivatives transactions, why these
may have changed, and expectations for the future. In some questions, the survey differentiates
between the compensation demanded for bearing credit risk (“price terms”) and the contractual
provisions used to mitigate exposures (“non-price terms”). Questions 1 and 2 focus on dealers
and other financial intermediaries as counterparties; questions 3 through 7 on hedge funds,
private equity firms, and other similar private pools of capital; questions 8 through 12 on
insurance companies, pension funds, and other institutional investors; and questions 13 through
17 on transactions involving non-financial corporations. If your institution’s terms have
tightened or eased over the past three months, please so report them regardless of how they stand
relative to longer-term norms. Also, please report changes in enforcement of existing policies
regarding terms as changes in policies. Please focus your response on dollar-denominated
instruments; if material differences exist with respect to instruments denominated in other
currencies, please explain in your response to Question 47. Where material differences exist
across different business areas, for example between traditional prime brokerage and over-thecounter derivatives, please answer with regard to the business area generating the most exposure
and explain in your response to Question 47.
Dealers and Other Financial Intermediaries
1. Over the past three months, how has the amount of resources and attention your firm
devotes to management of concentrated credit exposure to other dealers and other
financial intermediaries changed?
1)
2)
3)
4)
5)

Increased considerably
Increased somewhat
Remained basically unchanged
Decreased somewhat
Decreased considerably

2. Over the past three months, how has the volume of mark and collateral disputes with
dealers and other financial intermediaries changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable
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DRAFT March 11, 2011
Hedge Funds, Private Equity Firms and Other Similar Private Pools of Capital
3. Over the past three months, how have the price terms (for example, financing rates)
offered to hedge funds, private equity firms, and other similar private pools of capital as
reflected across the entire spectrum of securities financing and over-the-counter
derivatives transaction types changed, regardless of non-price terms?
1)
2)
3)
4)
5)

Tightened considerably
Tightened somewhat
Remained basically unchanged
Loosened somewhat
Loosened considerably

4. Over the past three months, how has your use of non-price terms (for example, haircuts,
maximum maturity, covenants, cure periods, cross-default provisions or other
documentation features) with respect to hedge funds, private equity firms, and other
similar private pools of capital across the entire spectrum of securities financing and
over-the-counter derivatives transaction types changed, regardless of price terms?
1)
2)
3)
4)
5)

Tightened considerably
Tightened somewhat
Remained basically unchanged
Loosened somewhat
Loosened considerably

5. To the extent that the price or non-price terms applied to hedge funds, private equity
firms, and other similar private pools of capital have tightened or eased over the past
three months (as reflected in your responses to questions 3 and 4), how important have
been each of the following possible reasons for the change? (Please respond to either A,
B, or both as appropriate and rate each possible reason using the following scale: 1 =
very important, 2 = somewhat important, 3 = not important.)
A. Possible reasons for tightening:
1) Deterioration in current or expected financial strength of counterparties
2) Reduced willingness of your institution to take on risk
3) Adoption of more stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
4) Higher internal treasury charges for funding
5) Diminished availability of balance sheet or capital at your institution
6) Worsening in general market liquidity and functioning
7) Less aggressive competition from other institutions
8) Other (please specify)

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DRAFT March 11, 2011
B. Possible reasons for easing:
1) Improvement in current or expected financial strength of counterparties
2) Increased willingness of your institution to take on risk
3) Adoption of less stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
4) Lower internal treasury charges for funding
5) Increased availability of balance sheet or capital at your institution
6) Improvement in general market liquidity and functioning
7) More aggressive competition from other institutions
8) Other (please specify)
6. How has the intensity of efforts by hedge funds, private equity firms, and other similar
private pools of capital to negotiate more favorable price and non-price terms changed
over the past three months?
1)
2)
3)
4)
5)

Increased considerably
Increased somewhat
Remained basically unchanged
Decreased somewhat
Decreased considerably

7. Looking forward over the next three months, and assuming that economic activity
progresses in line with consensus forecasts, how do you expect the price and non-price
terms under which you transact with hedge funds, private equity firms, and other similar
private pools of capital across the entire spectrum of securities financing and over-thecounter derivatives transactions to change?
1)
2)
3)
4)
5)

Price and non-price terms are likely to tighten considerably
Price and non-price terms are likely to tighten somewhat
Price and non-price terms are likely to remain basically unchanged
Price and non-price terms are likely to loosen somewhat
Price and non-price terms are likely to loosen considerably

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DRAFT March 11, 2011
Insurance Companies, Pension Funds, and Other Institutional Investors
8. Over the past three months, how have the price terms (for example, financing rates)
offered to insurance companies, pension funds, and other institutional investors as
reflected across the entire spectrum of securities financing and over-the-counter
derivatives transaction types changed, regardless of non-price terms?
1)
2)
3)
4)
5)

Tightened considerably
Tightened somewhat
Remained basically unchanged
Loosened somewhat
Loosened considerably

9. Over the past three months, how has your use of non-price terms (for example, haircuts,
maximum maturity, covenants, cure periods, cross-default provisions or other
documentation features) with respect to insurance companies, pension funds, and other
institutional investors across the entire spectrum of securities financing and over-thecounter derivatives transaction types changed, regardless of price terms?
1)
2)
3)
4)
5)

Tightened considerably
Tightened somewhat
Remained basically unchanged
Loosened somewhat
Loosened considerably

10. To the extent that the price or non-price terms applied to insurance companies, pension
funds, and other institutional investors have tightened or eased over the past three months
(as reflected in your responses to questions 8 and 9), how important have been each of
the following possible reasons for the change? (Please respond to either A, B, or both as
appropriate and rate each possible reason using the following scale: 1 = very important, 2
= somewhat important, 3 = not important.)
A. Possible reasons for tightening:
1) Deterioration in current or expected financial strength of counterparties
2) Reduced willingness of your institution to take on risk
3) Adoption of more stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
4) Higher internal treasury charges for funding
5) Diminished availability of balance sheet or capital at your institution
6) Worsening in general market liquidity and functioning
7) Less aggressive competition from other institutions
8) Other (please specify)

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DRAFT March 11, 2011
B. Possible reasons for easing:
1) Improvement in current or expected financial strength of counterparties
2) Increased willingness of your institution to take on risk
3) Adoption of less stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
4) Lower internal treasury charges for funding
5) Increased availability of balance sheet or capital at your institution
6) Improvement in general market liquidity and functioning
7) More aggressive competition from other institutions
8) Other (please specify)
11. How has the intensity of efforts by insurance companies, pension funds, and other
institutional investors to negotiate more favorable price and non-price terms changed
over the past three months?
1)
2)
3)
4)
5)

Increased considerably
Increased somewhat
Remained basically unchanged
Decreased somewhat
Decreased considerably

12. Looking forward over the next three months, and assuming that economic activity
progresses in line with consensus forecasts, how do you expect the price and non-price
terms under which you transact with insurance companies, pension funds, and other
institutional investors across the entire spectrum of securities financing and over-thecounter derivatives transactions to change?
1)
2)
3)
4)
5)

Price and non-price terms are likely to tighten considerably
Price and non-price terms are likely to tighten somewhat
Price and non-price terms are likely to remain basically unchanged
Price and non-price terms are likely to loosen somewhat
Price and non-price terms are likely to loosen considerably

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DRAFT March 11, 2011
Non-financial Corporations
13. Over the past three months, how have the price terms (for example, financing rates)
offered to non-financial corporations as reflected across the entire spectrum of over-thecounter derivatives transaction types changed, regardless of non-price terms?
1)
2)
3)
4)
5)

Tightened considerably
Tightened somewhat
Remained basically unchanged
Loosened somewhat
Loosened considerably

14. Over the past three months, how has your use of non-price terms (for example, haircuts,
maximum maturity, covenants, cure periods, cross-default provisions or other
documentation features) with respect to non-financial corporations across the entire
spectrum of securities financing and over-the-counter derivatives transaction types
changed, regardless of price terms?
1)
2)
3)
4)
5)

Tightened considerably
Tightened somewhat
Remained basically unchanged
Loosened somewhat
Loosened considerably

15. To the extent that the price or non-price terms applied to non-financial corporations have
tightened or eased over the past three months (as reflected in your responses to questions
13 and 14), how important have been each of the following possible reasons in driving
the change? (Please respond to either A, B, or both as appropriate and rate each possible
reason using the following scale: 1 = very important, 2 = somewhat important, 3 = not
important.)
A. Possible reasons for tightening:
1) Deterioration in current or expected financial strength of counterparties
2) Reduced willingness of your institution to take on risk
3) Adoption of more stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
4) Higher internal treasury charges for funding
5) Diminished availability of balance sheet or capital at your institution
6) Worsening in general market liquidity and functioning
7) Less aggressive competition from other institutions
8) Other (please specify)

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DRAFT March 11, 2011
B. Possible reasons for easing:
1) Improvement in current or expected financial strength of counterparties
2) Increased willingness of your institution to take on risk
3) Adoption of less stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
4) Lower internal treasury charges for funding
5) Increased availability of balance sheet or capital at your institution
6) Improvement in general market liquidity and functioning
7) More aggressive competition from other institutions
8) Other (please specify)
16. How has the intensity of efforts by non-financial corporations to negotiate more favorable
price and non-price terms changed over the past three months?
1)
2)
3)
4)
5)

Increased considerably
Increased somewhat
Remained basically unchanged
Decreased somewhat
Decreased considerably

17. Looking forward over the next three months, and assuming that economic activity
progresses in line with consensus forecasts, how do you expect the price and non-price
terms under which you transact with non-financial corporations across the entire
spectrum of over-the-counter derivatives transactions to change?
1)
2)
3)
4)
5)

Price and non-price terms are likely to tighten considerably
Price and non-price terms are likely to tighten somewhat
Price and non-price terms are likely to remain basically unchanged
Price and non-price terms are likely to loosen somewhat
Price and non-price terms are likely to loosen considerably

7

DRAFT March 11, 2011
Over-the-Counter Derivatives
Questions 18 through 29 ask about over-the-counter derivatives trades. Questions 18 and 19
focus on trades with Foreign Exchange (“FX”) as the underlying; questions 20 and 21 on trades
with interest rates (“IR”) as the underlying; questions 22 and 23 on trades with equities as the
underlying; questions 24 and 25 on trades with debt securities as the underlying (including
contracts referencing MBS and ABS); questions 26 and 27 on trades with commodities as the
underlying; and questions 28 and 29 on total return swaps with non-securities such as bank debt
and whole loans as the underlying. If your institution’s terms have tightened or eased over the
past three months, please so report them regardless of how they stand relative to longer-term
norms. Also, please report changes in enforcement of existing policies regarding terms as
changes in terms. Please respond “not applicable” to questions dealing with business areas in
which you do not conduct material activities. Please focus your response on dollar-denominated
instruments; if material differences exist with respect to instruments denominated in other
currencies, please explain in your response to Question 47.

Foreign Exchange
18. Over the past three months, how have non-price terms associated with over-the-counter
FX derivatives changed? (Please assign each term a number between 1 and 5 using the
following scale: 1 = tightened considerably, 2 = tightened somewhat, 3 = remained
basically unchanged, 4 = eased somewhat, 5 = eased considerably, n/a = not applicable.)
A. For “vanilla” FX derivatives (that is derivatives using ISDA short-form confirmations
and definitions):
a. Initial margin
b. Requirements, timelines, and thresholds for posting additional margin
c. Maximum maturity
d. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate agreements are in place)
e. Triggers and covenants
f. Other documentation features (including cure periods and cross-default
provisions)
g. Other (please specify)

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DRAFT March 11, 2011
B. For highly customized FX derivatives (that is derivatives negotiated bilaterally and
using long-form confirmations):
a. Initial margin
b. Requirements, timelines, and thresholds for posting additional margin
c. Maximum maturity
d. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate agreements are in place)
e. Triggers and covenants
f. Other documentation features (including cure periods and cross-default
provisions)
g. Other (please specify)
19. Over the past three months, how has the volume of mark and collateral disputes with
clients related to FX derivatives changed?
7) Increased considerably
8) Increased somewhat
9) Remained basically unchanged
10) Decreased somewhat
11) Decreased considerably
12) Not applicable

Interest Rates
20. Over the past three months, how have non-price terms associated with over-the-counter
interest rate derivatives changed? (Please assign each term a number between 1 and 5
using the following scale: 1 = tightened considerably, 2 = tightened somewhat, 3 =
remained basically unchanged, 4 = eased somewhat, 5 = eased considerably, n/a = not
applicable.)
A. For “vanilla” IR derivatives (that is derivatives using ISDA short-form confirmations
and definitions):
a. Initial margin
b. Requirements, timelines, and thresholds for posting additional margin
c. Maximum maturity
d. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate documentation is in place)
e. Triggers and covenants
f. Other documentation features (including cure periods and cross-default
provisions)
g. Other (please specify)

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DRAFT March 11, 2011
B. For highly customized IR derivatives (that is derivatives negotiated bilaterally and
using long-form confirmations):
a. Initial margin
b. Requirements, timelines, and thresholds for posting additional margin
c. Maximum maturity
d. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate documentation is in place)
e. Triggers and covenants
f. Other documentation features (including cure periods and cross-default
provisions)
g. Other (please specify)
21. Over the past three months, how has the volume of mark and collateral disputes with
clients related to interest rate derivatives changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable

Equities
22. Over the past three months, how have non-price terms associated with over-the-counter
equity derivatives changed? (Please assign each term a number between 1 and 5 using
the following scale: 1 = tightened considerably, 2 = tightened somewhat, 3 = remained
basically unchanged, 4 = eased somewhat, 5 = eased considerably, n/a = not applicable.)
A. For “vanilla” equity derivatives (that is derivatives using ISDA short-form
confirmations and definitions):
a. Initial margin
b. Requirements, timelines, and thresholds for posting additional margin
c. Maximum maturity
d. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate documentation is in place)
e. Triggers and covenants
f. Other documentation features (including cure periods and cross-default
provisions)
g. Other (please specify)

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DRAFT March 11, 2011
B. For highly customized equity derivatives (that is derivatives negotiated bilaterally and
using long-form confirmations):
a. Initial margin
b. Requirements, timelines, and thresholds for posting additional margin
c. Maximum maturity
d. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate documentation is in place)
e. Triggers and covenants
f. Other documentation features (including cure periods and cross-default
provisions)
g. Other (please specify)
23. Over the past three months, how has the volume of mark and collateral disputes with
clients related to equity derivatives changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable

Credit
24. Over the past three months, how have non-price terms associated with over-the-counter
credit derivatives referencing debt securities (including contracts referencing MBS or
ABS) changed? (Please assign each term a number between 1 and 5 using the following
scale: 1 = tightened considerably, 2 = tightened somewhat, 3 = remained basically
unchanged, 4 = eased somewhat, 5 = eased considerably, n/a = not applicable.)
A. For “vanilla” credit derivatives (that is derivatives using ISDA short-form
confirmations and definitions):
a. Initial margin
b. Requirements, timelines, and thresholds for posting additional margin
c. Maximum maturity
d. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate documentation is in place)
e. Triggers and covenants
f. Other documentation features (including cure periods and cross-default
provisions)
g. Other (please specify)

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DRAFT March 11, 2011
B. For highly customized credit derivatives (that is derivatives negotiated bilaterally and
using long-form confirmations):
a. Initial margin
b. Requirements, timelines, and thresholds for posting additional margin
c. Maximum maturity
d. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate documentation is in place)
e. Triggers and covenants
f. Other documentation features (including cure periods and cross-default
provisions)
g. Other (please specify)
25. Over the past three months, how has the volume of mark and collateral disputes with
clients related to credit derivatives changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable

Commodities
26. Over the past three months, how have non-price terms associated with over-the-counter
commodity derivatives changed? (Please assign each term a number between 1 and 5
using the following scale: 1 = tightened considerably, 2 = tightened somewhat, 3 =
remained basically unchanged, 4 = eased somewhat, 5 = eased considerably, n/a = not
applicable.)
A. For “vanilla” commodity derivatives (that is derivatives using ISDA short-form
confirmations and definitions):
a. Initial margin
b. Requirements, timelines, and thresholds for posting additional margin
c. Maximum maturity
d. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate documentation is in place)
e. Triggers and covenants
f. Other documentation features (including cure periods and cross-default
provisions)
g. Other (please specify)

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DRAFT March 11, 2011
B. For highly customized commodity derivatives (that is derivatives negotiated
bilaterally and using long-form confirmations):
a. Initial margin
b. Requirements, timelines, and thresholds for posting additional margin
c. Maximum maturity
d. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate documentation is in place)
e. Triggers and covenants
f. Other documentation features (including cure periods and cross-default
provisions)
g. Other (please specify)
27. Over the past three months, how has the volume of mark and collateral disputes with
clients related to commodity derivatives changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable

Total Return Swaps Referencing Non-Securities (such as Bank Debt and Whole Loans)
28. Over the past three months, how have non-price terms associated with total return swaps
referencing non-securities (such as bank debt and whole loans) changed? (Please assign
each term a number between 1 and 5 using the following scale: 1 = tightened
considerably, 2 = tightened somewhat, 3 = remained basically unchanged, 4 = eased
somewhat, 5 = eased considerably, n/a = not applicable.)
a. Range of acceptable reference assets (for example requirements with regard to
credit quality and liquidity)
b. Initial margin
c. Requirements, timelines, and thresholds for posting additional margin
d. Maximum maturity/tenor
e. Recognition of portfolio or diversification benefits (including from securities
financing trades where appropriate documentation is in place)
f. Triggers and covenants
g. Other documentation features (including cure periods and cross-default
provisions)
h. Other (please specify)

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DRAFT March 11, 2011
29. Over the past three months, how has the volume of mark and collateral disputes with
clients related to total return swaps referencing non-securities changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable

Securities Financing
Questions 30 through 46 ask about securities funding at your institution – that is, lending to
clients collateralized by securities. Such activities may be conducted on a “repo” desk, on a
trading desk engaged in facilitation for institutional clients and/or proprietary transactions, on a
funding desk, or on a prime brokerage platform. Questions 30 through 34 focus on lending
against high-grade corporate bonds; questions 35 and 36 on lending against equities (including
stock loan); questions 37 through 41 on lending against agency mortgage-backed Securities
(“agency MBS”); and questions 42 through 46 on lending against other asset-backed securities
(“ABS”). If your institution’s terms have tightened or eased over the past three months, please
so report them regardless of how they stand relative to longer-term norms. Also, please report
changes in enforcement of existing policies regarding terms as changes in terms. Please respond
“n/a” to questions dealing with business areas in which you do not conduct material activities.
Please focus your response on dollar-denominated instruments; if material differences exist with
respect to instruments denominated in other currencies, please explain in your response to
Question 47.
High-Grade Corporate Bonds
30. Over the past three months, how have the terms under which high-grade corporate bonds
are funded changed? (Please assign each term a number between 1 and 5 using the
following scale: 1 = tightened considerably, 2 = tightened somewhat, 3 = remained
basically unchanged, 4 = eased somewhat, 5 = eased considerably, n/a = not applicable.)
A. Terms for average clients:
a. Maximum amount of funding
b. Maximum maturity
c. Haircuts
d. Financing rate
e. Requirements, timelines, and thresholds for posting additional collateral or
margin
f. Recognition of portfolio or diversification benefits (including with OTC
derivatives where appropriate agreements are in place)
g. Covenants and triggers
h. Other (please specify)

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DRAFT March 11, 2011
B. Terms for most favored clients, as a consequence of breadth, duration and/or extent of
relationship:
a. Maximum amount of funding
b. Maximum maturity
c. Haircuts
d. Financing rate
e. Requirements, timelines, and thresholds for posting additional collateral or
margin
f. Recognition of portfolio or diversification benefits (including with OTC
derivatives where appropriate agreements are in place)
g. Covenants and triggers
h. Other (please specify)
31. In some cases, an institution provides financing on more favorable terms when it has
played a role in bringing the issue being financed to market, for example as an
underwriter. Over the past three months, how has the amount of such “vendor financing”
provided for high-grade corporate bonds by your institution changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable
32. Over the past three months, how has demand for funding of high-grade corporate bonds
by your institution’s clients changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable
33. Over the past three months, how has the volume of mark and collateral disputes with
clients related to the funding of high-grade corporate bonds changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable

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DRAFT March 11, 2011
34. Over the past three months, how have liquidity and functioning in the high-grade
corporate bond market changed? 1
1) Improved considerably
2) Improved somewhat
3) Remained basically unchanged
4) Deteriorated somewhat
5) Deteriorated considerably
6) Not applicable
Equities (including Stock Loan)
35. Over the past three months, how have the terms under which equities are funded
(including through stock loan) changed? (Please assign each term a number between 1
and 5 using the following scale: 1 = tightened considerably, 2 = tightened somewhat, 3 =
remained basically unchanged, 4 = eased somewhat, 5 = eased considerably, n/a = not
applicable.)
A. Terms for average clients:
a. Maximum amount of funding
b. Maximum maturity
c. Haircuts
d. Financing rate
e. Requirements, timelines, and thresholds for posting additional collateral or
margin
f. Recognition of portfolio or diversification benefits (including with OTC
derivatives where appropriate agreements are in place)
g. Covenants and triggers
h. Other (please specify)
B. Terms for most favored clients, as a consequence of breadth, duration and/or extent of
relationship:
a. Maximum amount of funding
b. Maximum maturity
c. Haircuts
d. Financing rate
e. Requirements, timelines, and thresholds for posting additional collateral or
margin
f. Recognition of portfolio or diversification benefits (including with OTC
derivatives where appropriate agreements are in place)
g. Covenants and triggers
h. Other (please specify)
36. Over the past three months, how has demand for funding of equities (including through
stock loan) by your institution’s clients changed?
1

Please report changes in liquidity and functioning in the market for underlying collateral, not in the funding
market.

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DRAFT March 11, 2011
1)
2)
3)
4)
5)
6)

Increased considerably
Increased somewhat
Remained basically unchanged
Decreased somewhat
Decreased considerably
Not applicable

Agency Residential Mortgage-backed Securities
37. Over the past three months, how have the terms under which agency RMBS are funded
changed? (Please assign each term a number between 1 and 5 using the following scale:
1 = tightened considerably, 2 = tightened somewhat, 3 = remained basically unchanged, 4
= eased somewhat, 5 = eased considerably, n/a = not applicable.)
A. Terms for average clients:
a. Maximum amount of funding
b. Maximum maturity
c. Haircuts
d. Financing rate
e. Requirements, timelines, and thresholds for posting additional collateral or
margin
f. Recognition of portfolio or diversification benefits (including with OTC
derivatives where appropriate agreements are in place)
g. Covenants and triggers
h. Other (please specify)
B. Terms for most favored clients, as a consequence of breadth, duration and/or extent of
relationship:
a. Maximum amount of funding
b. Maximum maturity
c. Haircuts
d. Financing rate
e. Requirements, timelines, and thresholds for posting additional collateral or
margin
f. Recognition of portfolio or diversification benefits (including with OTC
derivatives where appropriate agreements are in place)
g. Covenants and triggers
h. Other (please specify)
38. In some cases, an institution provides financing on more favorable terms when it has
played a role in bringing the issue being financed to market, for example as an
underwriter. Over the past three months, how has the amount of such “vendor financing”
provided by your institution for agency RMBS changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged

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DRAFT March 11, 2011
4) Decreased somewhat
5) Decreased considerably
6) Not applicable
39. Over the past three months, how has demand for funding of agency RMBS by your
institution’s clients changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable
40. Over the past three months, how has the volume of mark and collateral disputes with
clients related to the funding of agency RMBS changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable
41. Over the past three months, how have liquidity and functioning in the agency RMBS
market changed? 2
1) Improved considerably
2) Improved somewhat
3) Remained basically unchanged
4) Deteriorated somewhat
5) Deteriorated considerably
6) Not applicable

Other Asset-Backed Securities
42. Over the past three months, how have the terms under which non-agency ABS will be
funded changed? (Please assign each term a number between 1 and 5 using the following
scale: 1 = tightened considerably, 2 = tightened somewhat, 3 = remained basically
unchanged, 4 = eased somewhat, 5 = eased considerably, n/a = not applicable.) Where
material differences exist across different types of non-agency ABS, for example between
non-agency RMBS and consumer ABS, please answer with regard to the type of
instrument generating the most exposure and explain in your response to Question 47.

2

Please report changes in liquidity and functioning in the market for underlying collateral, not in the funding
market.

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DRAFT March 11, 2011
Terms for average clients:
a. Maximum amount of funding
b. Maximum maturity
c. Haircuts
d. Financing rate
e. Requirements, timelines, and thresholds for posting additional collateral or
margin
f. Recognition of portfolio or diversification benefits (including with OTC
derivatives where appropriate agreements are in place)
g. Covenants and triggers
h. Other (please specify)
A. Terms for most favored clients, as a consequence of breadth, duration and/or extent of
relationship:
a. Maximum amount of funding
b. Maximum maturity
c. Haircuts
d. Financing rate
e. Requirements, timelines, and thresholds for posting additional collateral or
margin
f. Recognition of portfolio or diversification benefits (including with OTC
derivatives where appropriate agreements are in place)
g. Covenants and triggers
h. Other (please specify)
43. In some cases, an institution provides financing on more favorable terms when it has
played a role in bringing the issue being financed to market, for example as an
underwriter. Over the past three months, how has the amount of such “vendor financing”
provided for non-agency ABS by your institution changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable
44. Over the past three months, how has demand for funding of non-agency ABS positions
by your institution’s clients changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable

19

DRAFT March 11, 2011
45. Over the past three months, how has the volume of mark and collateral disputes with
clients related to the funding of non-agency ABS changed?
1) Increased considerably
2) Increased somewhat
3) Remained basically unchanged
4) Decreased somewhat
5) Decreased considerably
6) Not applicable
46. Over the past three months, how have liquidity and functioning in the non-agency ABS
market changed? 3
1) Improved considerably
2) Improved somewhat
3) Remained basically unchanged
4) Deteriorated somewhat
5) Deteriorated considerably
6) Not applicable

Optional Question
Question 47 requests feedback on any other issues you judge to be important relating to credit
terms applicable to securities financing transactions and over-the-counter derivatives contracts,
and provides an opportunity for clarification of any earlier responses.
47. Are there any other recent developments involving conditions and practices in any of the
markets addressed in this survey or applicable to the counterparty types listed in this
survey that you regard as particularly significant and which were not fully addressed in
the prior questions? Your response will help us stay abreast of emerging issues and in
choosing questions for future surveys. There is no need to reply to this question if there
is nothing you wish to add.

3

Please report changes in liquidity and functioning in the market for underlying collateral, not in the funding
market.

20