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pdfSenior Credit Officer Opinion Survey on Dealer Financing Terms
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Release Date: June 27, 2019
Summary
The June 2019 Senior Credit Officer Opinion Survey on Dealer Financing Terms (SCOOS) collected qualitative information on changes over the previous
three months in credit terms and conditions in securities financing and over-the-counter (OTC) derivatives markets. In addition to the core questions, the
survey included a set of special questions seeking a longer-term perspective on the current use of financial leverage by hedge funds. The 23 institutions
participating in the survey account for almost all dealer financing of dollar-denominated securities to nondealers and are the most active intermediaries in
OTC derivatives markets. The survey was conducted during the period between May 14, 2019, and May 31, 2019. The core questions asked about
changes between March 2019 and May 2019.
Core Questions
(Questions 1-79)1
Responses to the core questions indicated a few changes over the past three months in the terms under which dealers facilitate their clients' securities and
derivatives transactions. With regard to the credit terms applicable to, and mark and collateral disputes with, different counterparty types across
the entire range of securities financing and OTC derivatives transactions, responses to the core questions showed the following:
• One-fifth of dealers, on net, reported an easing in price terms to their trading real estate investment trust (REIT) clients. Price and nonprice terms
were reportedly unchanged for other counterparty types (see the exhibit Management of Concentrated Credit Exposures and Indicators of Supply
of Credit).
• Similar to the previous quarter, one-fifth of respondents indicated that nonfinancial corporations have increased their efforts to negotiate more
favorable price and nonprice terms over the past three months.
• The volume and duration of mark and collateral disputes remained unchanged over the past three months for most counterparty types. One-fifth of
respondents indicated a decrease in the duration of such disputes with mutual funds, exchange-traded funds, pension plans, and endowments.
With respect to clients' use of financial leverage, on net, dealers indicated little change over the past three months (see the exhibit Use of Financial
Leverage) for all classes of counterparties.
With respect to securities financing transactions, respondents indicated the following:
• In contrast to the trend over the previous four quarters, one-fifth of dealers, on net, indicated an increase in funding demand for equities (see the
exhibit Measures of Demand for Funding and Market Functioning). Demand for funding remained largely unchanged across all other asset classes.
• One-third of dealers, on net, reported a decrease in effective financing rates for equity collateral for their average clients over the past three
months, while one-fourth of dealers reported the same for their preferred clients.
• Net fractions of one-fifth to one-fourth of dealers reported a decrease in effective financing rates for non-agency residential mortgage-backed
securities, commercial mortgage-backed securities, and consumer asset-backed securities. Funding terms were little changed across other asset
classes queried in the survey.
• Dealers, on net, reported no material change in the liquidity and functioning of the market across collateral classes in the past three months.2
With regard to OTC derivatives markets, responses showed the following:
• Initial margin requirements were basically unchanged, on net, for most types of OTC derivatives transactions. A small net fraction of dealers
reported a decrease in initial margin requirements with respect to OTC equity derivatives for most-favored clients.
• Most dealers reported that the volume and duration of mark and collateral disputes have not changed across most OTC derivatives, although a
small net fraction of dealers reported a decrease in dispute durations for OTC interest rate derivatives.
Special Questions
(Questions 81-85)
Available indicators of the use of leverage by hedge funds have generally shown an upward trend in recent years but do not cover earlier periods. In the
June 2019 SCOOS, dealers were asked to provide a longer-term perspective on the use of financial leverage by hedge funds, comparing current levels of
hedge fund leverage to the pre-crisis peak around June 2007 and the post-crisis trough around March 2009 on a seven-point scale.
Dealers were also asked about the changes since June 2007 in the terms under which they fund different types of hedge fund positions and changes in the
initial margin requirements applicable to different types of OTC derivatives contracts with hedge fund clients.
With respect to the current levels of gross leverage employed by different types of hedge fund clients, respondents reported the following:
• Across the majority of hedge fund strategies, respondents most frequently reported that hedge fund leverage was roughly in the middle between
the pre-crisis peak around June 2007 and the post-crisis trough around March 2009. However, there was variation across hedge fund strategies in
the distributions of responses around the midpoints.
With respect to the terms associated with the funding of different types of hedge fund positons, respondents indicated the following:
• Between one-fourth and one-third of respondents, on net, reported that spreads over relevant benchmarks for funding long–short equity portfolios
and high-yield corporate bonds are above June 2007 levels. One-fourth of dealers, on net, also reported increased haircuts for high-yield corporate
bond collateral.
• Funding terms for investment-grade corporate bonds, including the maximum amount of funding, maximum maturities, haircuts, and spreads over
relevant benchmarks, were reported to be about unchanged, on net, since June 2007.
With respect to the initial margin requirements for OTC derivatives transactions with hedge fund clients, respondents showed the following:
• Dealers reported, on net, no notable changes since June 2007 in initial margin requirements on OTC equity, interest rate, or credit derivatives
transactions with their hedge fund clients.
This document was prepared by Lubomir Petrasek, 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 Capital Markets Function, the Statistics Function, and the Markets Group at
the Federal Reserve Bank of New York.
1. Question 80, not discussed here, was optional and allowed respondents to provide additional comments. Return to text
2. Note that survey respondents were instructed to report changes in liquidity and functioning in the market for the underlying collateral to be funded through repurchase agreements and similar
secured financing transactions, not changes in the funding markets themselves. This question was not asked with respect to equity markets in the core questions. Return to text
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 for Funding and Market Functioning
Accessible version
Results of the June 2019 Senior Credit Officer Opinion Survey on Dealer Financing Terms
The following results include the original instructions provided to the survey respondents. Please note that percentages are based on the number of
financial institutions that gave responses other than "Not applicable." Components may not add to totals due to rounding.
Counterparty Types
Questions 1 through 40 ask about credit terms applicable to, and mark and collateral disputes with, different counterparty types, considering the entire
range of securities financing and over-the-counter (OTC) derivatives transactions. Question 1 focuses on dealers and other financial intermediaries as
counterparties; questions 2 and 3 on central counterparties and other financial utilities; questions 4 through 10 focus on hedge funds; questions 11 through
16 on trading real estate investment trusts (REITs); questions 17 through 22 on mutual funds, exchange-traded funds (ETFs), pension plans, and
endowments; questions 23 through 28 on insurance companies; questions 29 through 34 on separately managed accounts established with investment
advisers; and questions 35 through 38 on nonfinancial corporations. Questions 39 and 40 ask about mark and collateral disputes for each of the
aforementioned counterparty types.
In some questions, the survey differentiates between the compensation demanded for bearing credit risk (price terms) and the contractual provisions used
to mitigate exposures (nonprice terms). If your institution's terms have tightened or eased over the past three months, please so report them regardless of
how they stand relative to longer-term norms. Please focus your response on dollar-denominated instruments; if material differences exist with respect to
instruments denominated in other currencies, please explain in the appropriate comment space. Where material differences exist across different business
areas--for example, between traditional prime brokerage and OTC derivatives--please answer with regard to the business area generating the most
exposure and explain in the appropriate comment space.
Dealers and Other Financial Intermediaries
1. Over the past three months, how has the amount of resources and attention your firm devotes to management of concentrated credit exposure to dealers
and other financial intermediaries (such as large banking institutions) changed?
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
4.3
22
95.7
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
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
4
17.4
Remained Basically Unchanged
19
82.6
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
23
100.0
Total
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
2
8.7
Number of Respondents
To A Minimal Extent
Percent
7
30.4
Not At All
14
60.9
Total
23
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 OTC derivatives transaction types changed, regardless of nonprice terms?
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
4.3
20
87.0
Eased Somewhat
2
8.7
Eased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
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?
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
4.3
19
82.6
Eased Somewhat
3
13.0
Eased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Reduced willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Higher internal treasury charges for funding
Number of Respondents
Percent
Most Important
1
100.0
2nd Most Important
0
0.0
3rd Most Important
0
0.0
Total
1
100.0
5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Worsening in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
7. Less-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
8. Other (please specify)
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
1
100.0
2nd Most Important
0
0.0
3rd Most Important
0
0.0
Total
1
100.0
2. Increased willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
2
100.0
2nd Most Important
0
0.0
3rd Most Important
0
0.0
Total
2
100.0
3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
0.0
2nd Most Important
1
100.0
3rd Most Important
0
0.0
Total
1
100.0
4. Lower internal treasury charges for funding
Number of Respondents
Percent
Most Important
0
2nd Most Important
0
0.0
0.0
3rd Most Important
1
100.0
Total
1
100.0
5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Improvement in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
0.0
2nd Most Important
2
66.7
3rd Most Important
1
33.3
Total
3
100.0
7. More-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
2
50.0
2nd Most Important
1
25.0
3rd Most Important
1
25.0
Total
4
100.0
8. Other (please specify)
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
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
5
21.7
Remained Basically Unchanged
17
73.9
Decreased Somewhat
1
4.3
Decreased Considerably
0
0.0
23
100.0
Total
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
Increased Somewhat
1
4.3
22
95.7
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
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
Increased Somewhat
2
8.7
21
91.3
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
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
Increased Somewhat
2
9.1
20
90.9
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
22
100.0
Remained Basically Unchanged
Total
0.0
Trading Real Estate Investment Trusts
11. Over the past three months, how have the price terms (for example, financing rates) offered to trading REITs as reflected across the entire spectrum of
securities financing and OTC derivatives transaction types changed, regardless of nonprice terms?
Number of Respondents
Percent
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
17
81.0
Eased Somewhat
4
19.0
Eased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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?
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
19
90.5
Eased Somewhat
2
9.5
Eased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Reduced willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Higher internal treasury charges for funding
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Worsening in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
7. Less-aggressive competition from other institutions
Number of Respondents
Most Important
Percent
0
Undefined
Number of Respondents
Percent
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
8. Other (please specify)
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Increased willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
1
100.0
2nd Most Important
0
0.0
3rd Most Important
0
0.0
Total
1
100.0
3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Lower internal treasury charges for funding
Number of Respondents
Percent
Most Important
0
2nd Most Important
0
0.0
0.0
3rd Most Important
1
100.0
Total
1
100.0
5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
0.0
2nd Most Important
1
100.0
3rd Most Important
0
0.0
Total
1
100.0
6. Improvement in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
0.0
2nd Most Important
1
100.0
3rd Most Important
0
0.0
Total
1
100.0
7. More-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
4
80.0
2nd Most Important
1
20.0
3rd Most Important
0
0.0
Total
5
100.0
8. Other
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
14. How has the intensity of efforts by trading REITs to negotiate more-favorable price and nonprice terms changed over the past three months?
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
2
9.5
19
90.5
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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
Increased Somewhat
2
9.5
19
90.5
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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
Increased Somewhat
0
0.0
20
95.2
Decreased Somewhat
1
4.8
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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, ETFs, pension plans, and endowments 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
Tightened Somewhat
0
0.0
22
95.7
Eased Somewhat
0
0.0
Eased Considerably
1
4.3
23
100.0
Remained Basically Unchanged
Total
0.0
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?
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
23
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Reduced willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Higher internal treasury charges for funding
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Worsening in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
7. Less-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
8. Other
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Increased willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Lower internal treasury charges for funding
Number of Respondents
Percent
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Improvement in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
7. More-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
1
100.0
2nd Most Important
0
0.0
3rd Most Important
0
0.0
Total
1
100.0
8. Other
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
20. How has the intensity of efforts by mutual funds, ETFs, pension plans, and endowments to negotiate more-favorable price and nonprice terms changed
over the past three months?
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
23
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Mutual funds
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
21
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
B. ETFs
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
21
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
C. Pension plans
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
21
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
Remained Basically Unchanged
0.0
Number of Respondents
Percent
Total
21
100.0
D. Endowments
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
21
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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
Increased Somewhat
0
0.0
21
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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?
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
22
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
22
100.0
Remained Basically Unchanged
Total
0.0
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?
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
22
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
22
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Reduced willingness of your institution to take on risk
Number of Respondents
Percent
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Higher internal treasury charges for funding
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Worsening in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
7. Less-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
8. Other
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Increased willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Lower internal treasury charges for funding
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Percent
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Improvement in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
7. More-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
8. Other
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
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
Increased Somewhat
2
9.1
20
90.9
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
22
100.0
Remained Basically Unchanged
Total
0.0
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
Increased Somewhat
1
4.5
21
95.5
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
22
100.0
Remained Basically Unchanged
Total
0.0
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
Increased Somewhat
0
0.0
21
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
Separately Managed Accounts Established with Investment Advisers
0.0
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?
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
20
95.2
Eased Somewhat
1
4.8
Eased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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?
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
21
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Reduced willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Higher internal treasury charges for funding
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Worsening in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Number of Respondents
Total
Percent
0
Undefined
7. Less-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
8. Other
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Increased willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Lower internal treasury charges for funding
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Improvement in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
7. More-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
1
100.0
2nd Most Important
0
0.0
3rd Most Important
0
0.0
Total
1
100.0
8. Other
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
32. How has the intensity of efforts by investment advisers to negotiate more-favorable price and nonprice terms on behalf of separately managed accounts
changed over the past three months?
Number of Respondents
Increased Considerably
Percent
0
0.0
Number of Respondents
Increased Somewhat
Percent
1
4.8
20
95.2
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
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
Increased Somewhat
1
4.8
20
95.2
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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
Increased Somewhat
0
0.0
21
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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?
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
21
91.3
Eased Somewhat
2
8.7
Eased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
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?
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
23
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Reduced willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Higher internal treasury charges for funding
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Worsening in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
7. Less-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
8. Other
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
2. Increased willingness of your institution to take on risk
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
Number of Respondents
Percent
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
4. Lower internal treasury charges for funding
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
6. Improvement in general market liquidity and functioning
Number of Respondents
Percent
Most Important
0
Undefined
2nd Most Important
0
Undefined
3rd Most Important
0
Undefined
Total
0
Undefined
7. More-aggressive competition from other institutions
Number of Respondents
Percent
Most Important
2
100.0
2nd Most Important
0
0.0
3rd Most Important
0
0.0
Total
2
100.0
8. Other
Number of Respondents
Percent
Very Important
0
Undefined
Somewhat Important
0
Undefined
Not Important
0
Undefined
Total
0
Undefined
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
5
21.7
Remained Basically Unchanged
18
78.3
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
23
100.0
Total
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?
A. Dealers and other financial intermediaries
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
2
8.7
19
82.6
Decreased Somewhat
2
8.7
Decreased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
B. Hedge funds
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
4.3
22
95.7
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
Remained Basically Unchanged
0.0
Number of Respondents
Total
Percent
23
100.0
C. Trading REITs
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.3
18
94.7
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
D. Mutual funds, ETFs, pension plans, and endowments
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
4.8
18
85.7
Decreased Somewhat
2
9.5
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
E. Insurance companies
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
2
9.1
20
90.9
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
22
100.0
Remained Basically Unchanged
Total
0.0
F. Separately managed accounts established with investment advisers
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.0
19
95.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
G. Nonfinancial corporations
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
4.5
21
95.5
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
22
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Dealers and other financial intermediaries
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
2
8.7
18
78.3
Decreased Somewhat
3
13.0
Decreased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
B. Hedge funds
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
4.3
21
91.3
Decreased Somewhat
1
4.3
Decreased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
C. Trading REITs
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
18
94.7
Decreased Somewhat
1
5.3
Decreased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
D. Mutual funds, ETFs, pension plans, and endowments
0.0
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
17
81.0
Decreased Somewhat
4
19.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
E. Insurance companies
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
4.5
19
86.4
Decreased Somewhat
2
9.1
Decreased Considerably
0
0.0
22
100.0
Remained Basically Unchanged
Total
0.0
F. Separately managed accounts established with investment advisers
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.0
18
90.0
Decreased Somewhat
1
5.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
G. Nonfinancial corporations
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
21
95.5
Decreased Somewhat
1
4.5
Decreased Considerably
0
0.0
22
100.0
Remained Basically Unchanged
Total
0.0
Over-the-Counter Derivatives
Questions 41 through 51 ask about OTC derivatives trades. Question 41 focuses on nonprice terms applicable to new and renegotiated master
agreements. Questions 42 through 48 ask about the initial margin requirements for most-favored and average clients applicable to different types of
contracts: Question 42 focuses on foreign exchange (FX); question 43 on interest rates; question 44 on equity; question 45 on contracts referencing
corporate credits (single-name and indexes); question 46 on credit derivatives referencing structured products such as mortgage-backed securities (MBS)
and asset-backed securities (ABS) (specific tranches and indexes); question 47 on commodities; and question 48 on total return swaps (TRS) referencing
nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans). Question 49 asks about posting of
nonstandard collateral pursuant to OTC derivatives contracts. Questions 50 and 51 focus on mark and collateral disputes involving contracts of each of the
aforementioned types.
If your institution’s terms have tightened or eased over the past three months, please so report them regardless of how they stand relative to longer-term
norms. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other
currencies, please explain in the appropriate comment space.
New and Renegotiated Master Agreements
41. Over the past three months, how have nonprice terms incorporated in new or renegotiated OTC derivatives master agreements put in place with your
institution's client changed?
A. Requirements, timelines, and thresholds for posting additional margin
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
5.0
18
90.0
Eased Somewhat
1
5.0
Eased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
B. Acceptable collateral
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
1
5.3
Number of Respondents
Remained Basically Unchanged
Percent
18
94.7
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
19
100.0
Total
C. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate agreements are in place)
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
18
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
18
100.0
Remained Basically Unchanged
Total
0.0
D. Triggers and covenants
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
19
95.0
Eased Somewhat
1
5.0
Eased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
E. Other documentation features (including cure periods and cross-default provisions)
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
19
95.0
Eased Somewhat
1
5.0
Eased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
F. Other
Number of Respondents
Percent
Tightened Considerably
0
Undefined
Tightened Somewhat
0
Undefined
Remained Basically Unchanged
0
Undefined
Eased Somewhat
0
Undefined
Eased Considerably
0
Undefined
Total
0
Undefined
Initial Margin
42. Over the past three months, how have initial margin requirements set by your institution with respect to OTC FX derivatives changed?
A. Initial margin requirements for average clients
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
21
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
B. 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
Increased Somewhat
0
0.0
21
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
43. Over the past three months, how have initial margin requirements set by your institution with respect to OTC interest rate derivatives changed?
A. Initial margin requirements for average clients
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.0
19
95.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
Remained Basically Unchanged
0.0
Number of Respondents
Total
Percent
20
100.0
B. 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
Increased Somewhat
1
5.0
19
95.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
44. Over the past three months, how have initial margin requirements set by your institution with respect to OTC equity derivatives changed?
A. Initial margin requirements for average clients
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
17
89.5
Decreased Somewhat
2
10.5
Decreased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
B. 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
Increased Somewhat
0
0.0
16
84.2
Decreased Somewhat
3
15.8
Decreased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Initial margin requirements for average clients
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
16
94.1
Decreased Somewhat
1
5.9
Decreased Considerably
0
0.0
17
100.0
Remained Basically Unchanged
Total
0.0
B. 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
Increased Somewhat
0
0.0
16
94.1
Decreased Somewhat
1
5.9
Decreased Considerably
0
0.0
17
100.0
Remained Basically Unchanged
Total
0.0
46. Over the past three months, how have initial margin requirements set by your institution with respect to OTC credit derivatives referencing securitized
products (such as specific ABS or MBS tranches and associated indexes) changed?
A. Initial margin requirements for average clients
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
13
92.9
Decreased Somewhat
1
7.1
Decreased Considerably
0
0.0
14
100.0
Remained Basically Unchanged
Total
0.0
B. 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
Increased Somewhat
0
0.0
12
85.7
Decreased Somewhat
2
14.3
Decreased Considerably
0
0.0
14
100.0
Remained Basically Unchanged
Total
47. Over the past three months, how have initial margin requirements set by your institution with respect to OTC commodity derivatives changed?
0.0
A. Initial margin requirements for average clients
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.9
14
82.4
Decreased Somewhat
1
5.9
Decreased Considerably
1
5.9
17
100.0
Remained Basically Unchanged
Total
0.0
B. 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
Increased Somewhat
1
5.9
13
76.5
Decreased Somewhat
2
11.8
Decreased Considerably
1
5.9
17
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Initial margin requirements for average clients
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
16
94.1
Decreased Somewhat
1
5.9
Decreased Considerably
0
0.0
17
100.0
Remained Basically Unchanged
Total
0.0
B. 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
Increased Somewhat
0
0.0
15
88.2
Decreased Somewhat
2
11.8
Decreased Considerably
0
0.0
17
100.0
Remained Basically Unchanged
Total
0.0
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
Increased Somewhat
0
0.0
23
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
23
100.0
Remained Basically Unchanged
Total
0.0
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?
A. FX
Number of Respondents
Percent
Increased Considerably
0
0.0
Increased Somewhat
3
15.0
Remained Basically Unchanged
16
80.0
Decreased Somewhat
1
5.0
Decreased Considerably
0
0.0
20
100.0
Total
B. Interest rate
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.0
17
85.0
Decreased Somewhat
2
10.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
C. Equity
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
18
100.0
Total
D. Credit referencing corporates
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.0
19
95.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
E. Credit referencing securitized products including MBS and ABS
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.3
18
94.7
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
F. Commodity
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
17
100.0
Total
G. 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
Increased Somewhat
1
5.9
15
88.2
Decreased Somewhat
1
5.9
Decreased Considerably
0
0.0
17
100.0
Remained Basically Unchanged
Total
0.0
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?
A. FX
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
18
90.0
Decreased Somewhat
2
10.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
B. Interest rate
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
17
85.0
Decreased Somewhat
3
15.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
C. Equity
Number of Respondents
Increased Considerably
Percent
0
0.0
Number of Respondents
Increased Somewhat
Percent
1
5.6
16
88.9
Decreased Somewhat
1
5.6
Decreased Considerably
0
0.0
18
100.0
Remained Basically Unchanged
Total
D. Credit referencing corporates
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
19
95.0
Decreased Somewhat
1
5.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
E. Credit referencing securitized products including MBS and ABS
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
18
94.7
Decreased Somewhat
1
5.3
Decreased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
F. Commodity
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.9
14
82.4
Decreased Somewhat
2
11.8
Decreased Considerably
0
0.0
17
100.0
Remained Basically Unchanged
Total
0.0
G. 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
Increased Somewhat
0
0.0
16
94.1
Decreased Somewhat
1
5.9
Decreased Considerably
0
0.0
17
100.0
Remained Basically Unchanged
Total
0.0
Securities Financing
Questions 52 through 79 ask about securities funding at your institution--that is, lending to clients collateralized by securities. Such activities may be
conducted on a "repo" desk, on a trading desk engaged in facilitation for institutional clients and/or proprietary transactions, on a funding desk, or on a
prime brokerage platform. Questions 52 through 55 focus on lending against high-grade corporate bonds; questions 56 through 59 on lending against highyield 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?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
21
100.0
Remained Basically Unchanged
0.0
Number of Respondents
Percent
Eased Somewhat
0
Eased Considerably
0
0.0
21
100.0
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
20
95.2
Eased Somewhat
1
4.8
Eased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
5.0
19
95.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
2
9.5
16
76.2
Eased Somewhat
3
14.3
Eased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
Undefined
Tightened Somewhat
0
Undefined
Remained Basically Unchanged
0
Undefined
Eased Somewhat
0
Undefined
Eased Considerably
0
Undefined
Total
0
Undefined
B. 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
Tightened Somewhat
0
0.0
20
95.2
Eased Somewhat
1
4.8
Eased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
21
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
20
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
2
9.5
16
76.2
Eased Somewhat
3
14.3
Eased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
Undefined
Tightened Somewhat
0
Undefined
Remained Basically Unchanged
0
Undefined
Eased Somewhat
0
Undefined
Eased Considerably
0
Undefined
Total
0
Undefined
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
Increased Somewhat
2
9.5
19
90.5
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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
Increased Somewhat
1
4.8
19
90.5
Decreased Somewhat
1
4.8
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
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
1
Improved Somewhat
0
0.0
18
85.7
Deteriorated Somewhat
2
9.5
Deteriorated Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
4.8
High-Yield Corporate Bonds
56. Over the past three months, how have the terms under which high-yield corporate bonds are funded changed?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
18
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
18
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
16
88.9
2
11.1
Remained Basically Unchanged
Eased Somewhat
0.0
Number of Respondents
Eased Considerably
Total
Percent
0
0.0
18
100.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
5.6
16
88.9
Eased Somewhat
1
5.6
Eased Considerably
0
0.0
18
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
2
11.1
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
14
77.8
2
11.1
0
0.0
18
100.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
Undefined
Tightened Somewhat
0
Undefined
Remained Basically Unchanged
0
Undefined
Eased Somewhat
0
Undefined
Eased Considerably
0
Undefined
Total
0
Undefined
B. 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
Tightened Somewhat
0
0.0
17
94.4
Eased Somewhat
1
5.6
Eased Considerably
0
0.0
18
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
17
94.4
Eased Somewhat
1
5.6
Eased Considerably
0
0.0
18
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
17
94.4
Eased Somewhat
1
5.6
Eased Considerably
0
0.0
18
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
2
11.1
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
14
77.8
2
11.1
0
0.0
18
100.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
Undefined
Tightened Somewhat
0
Undefined
Remained Basically Unchanged
0
Undefined
Eased Somewhat
0
Undefined
Eased Considerably
0
Undefined
Total
0
Undefined
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
2
10.5
Remained Basically Unchanged
17
89.5
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
19
100.0
Total
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
10.5
Remained Basically Unchanged
17
89.5
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
19
100.0
Total
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
Improved Somewhat
0
0.0
17
89.5
Deteriorated Somewhat
2
10.5
Deteriorated Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
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?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
17
89.5
Eased Somewhat
2
10.5
Eased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
18
94.7
Eased Somewhat
1
5.3
Eased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
18
94.7
Eased Somewhat
1
5.3
Eased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
4. Collateral spreads over relevant benchmark (effective financing rates)
0.0
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
13
68.4
Eased Somewhat
6
31.6
Eased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
Undefined
Tightened Somewhat
0
Undefined
Remained Basically Unchanged
0
Undefined
Eased Somewhat
0
Undefined
Eased Considerably
0
Undefined
Total
0
Undefined
B. 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
Tightened Somewhat
0
0.0
16
84.2
Eased Somewhat
3
15.8
Eased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
19
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
18
94.7
Eased Somewhat
1
5.3
Eased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
5.3
12
63.2
Eased Somewhat
6
31.6
Eased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
Undefined
Tightened Somewhat
0
Undefined
Remained Basically Unchanged
0
Undefined
Eased Somewhat
0
Undefined
Eased Considerably
0
Undefined
Total
0
Undefined
61. Over the past three months, how has demand for funding of equities (including through stock loan) by your institution's clients changed?
Number of Respondents
Percent
Increased Considerably
0
0.0
Increased Somewhat
5
25.0
Remained Basically Unchanged
14
70.0
Decreased Somewhat
1
5.0
Decreased Considerably
0
0.0
20
100.0
Total
Agency Residential Mortgage-Backed Securities
62. Over the past three months, how have the terms under which agency RMBS are funded changed?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
20
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
19
95.0
Eased Somewhat
1
5.0
Eased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
5.0
19
95.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
3
15.0
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
15
75.0
2
10.0
0
0.0
20
100.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
Undefined
Tightened Somewhat
0
Undefined
Remained Basically Unchanged
0
Undefined
Eased Somewhat
0
Undefined
Eased Considerably
0
Undefined
Total
0
Undefined
B. 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
Tightened Somewhat
0
0.0
20
100.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
19
95.0
Eased Somewhat
1
5.0
Eased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
5.0
19
95.0
Eased Somewhat
0
0.0
Eased Considerably
0
0.0
Remained Basically Unchanged
0.0
Number of Respondents
Percent
Total
20
100.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
3
15.0
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
15
75.0
2
10.0
0
0.0
20
100.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
Undefined
Tightened Somewhat
0
Undefined
Remained Basically Unchanged
0
Undefined
Eased Somewhat
0
Undefined
Eased Considerably
0
Undefined
Total
0
Undefined
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
3
14.3
Remained Basically Unchanged
18
85.7
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Total
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
Increased Somewhat
1
4.8
20
95.2
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
65. Over the past three months, how have liquidity and functioning in the agency RMBS market changed?
Number of Respondents
Percent
Improved Considerably
0
Improved Somewhat
2
9.5
19
90.5
Deteriorated Somewhat
0
0.0
Deteriorated Considerably
0
0.0
21
100.0
Remained Basically Unchanged
Total
0.0
Non-Agency Residential Mortgage-Backed Securities
66. Over the past three months, how have the terms under which non-agency RMBS are funded changed?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
0
0.0
Number of Respondents
Remained Basically Unchanged
Percent
15
93.8
Eased Somewhat
1
6.3
Eased Considerably
0
0.0
16
100.0
Total
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
14
87.5
Eased Somewhat
2
12.5
Eased Considerably
0
0.0
16
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.3
13
81.3
Eased Somewhat
2
12.5
Eased Considerably
0
0.0
16
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.3
10
62.5
Eased Somewhat
5
31.3
Eased Considerably
0
0.0
16
100.0
Remained Basically Unchanged
Total
0.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
0
0.0
Remained Basically Unchanged
0
0.0
Eased Somewhat
1
100.0
Eased Considerably
0
0.0
Total
1
100.0
B. 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
Tightened Somewhat
0
0.0
15
93.8
Eased Somewhat
1
6.3
Eased Considerably
0
0.0
16
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
14
87.5
Eased Somewhat
2
12.5
Eased Considerably
0
0.0
16
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.3
13
81.3
Eased Somewhat
1
6.3
Eased Considerably
1
6.3
16
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.3
10
62.5
Eased Somewhat
4
25.0
Eased Considerably
1
6.3
16
100.0
Remained Basically Unchanged
Total
0.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
0
0.0
Remained Basically Unchanged
0
0.0
Eased Somewhat
1
100.0
Eased Considerably
0
0.0
Total
1
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
Increased Somewhat
1
5.9
16
94.1
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
17
100.0
Remained Basically Unchanged
Total
0.0
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
2
11.8
Remained Basically Unchanged
14
82.4
Decreased Somewhat
1
5.9
Decreased Considerably
0
0.0
17
100.0
Total
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
11.8
Remained Basically Unchanged
15
88.2
Deteriorated Somewhat
0
0.0
Deteriorated Considerably
0
0.0
17
100.0
Total
Commercial Mortgage-Backed Securities
70. Over the past three months, how have the terms under which CMBS are funded changed?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
14
93.3
Eased Somewhat
1
6.7
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
14
93.3
1
6.7
Remained Basically Unchanged
Eased Somewhat
0.0
Number of Respondents
Eased Considerably
Total
Percent
0
0.0
15
100.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.7
12
80.0
Eased Somewhat
2
13.3
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.7
10
66.7
Eased Somewhat
4
26.7
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
0
0.0
Remained Basically Unchanged
0
0.0
Eased Somewhat
1
100.0
Eased Considerably
0
0.0
Total
1
100.0
B. 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
Tightened Somewhat
0
0.0
13
86.7
Eased Somewhat
2
13.3
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
14
93.3
Eased Somewhat
1
6.7
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.7
12
80.0
Eased Somewhat
2
13.3
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.7
10
66.7
Eased Somewhat
4
26.7
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
0
0.0
Remained Basically Unchanged
0
0.0
Eased Somewhat
1
100.0
Eased Considerably
0
0.0
Total
1
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
Increased Somewhat
0
0.0
16
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
16
100.0
Remained Basically Unchanged
Total
0.0
72. Over the past three months, how has demand for term funding with a maturity greater than 30 days of CMBS by your institution's clients changed?
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
16
100.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
16
100.0
Remained Basically Unchanged
Total
0.0
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
2
12.5
Remained Basically Unchanged
14
87.5
Deteriorated Somewhat
0
0.0
Deteriorated Considerably
0
0.0
16
100.0
Total
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?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
14
93.3
Eased Somewhat
1
6.7
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
13
86.7
Eased Somewhat
2
13.3
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.7
12
80.0
Eased Somewhat
2
13.3
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
4. Collateral spreads over relevant benchmark (effective financing rates)
0.0
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.7
10
66.7
Eased Somewhat
4
26.7
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
0
0.0
Remained Basically Unchanged
0
0.0
Eased Somewhat
1
100.0
Eased Considerably
0
0.0
Total
1
100.0
B. 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
Tightened Somewhat
0
0.0
14
93.3
Eased Somewhat
1
6.7
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
0
0.0
13
86.7
Eased Somewhat
2
13.3
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.7
12
80.0
Eased Somewhat
2
13.3
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
Tightened Somewhat
1
6.7
10
66.7
Eased Somewhat
4
26.7
Eased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
5. Other
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
0
0.0
Remained Basically Unchanged
0
0.0
Eased Somewhat
1
100.0
Eased Considerably
0
0.0
Total
1
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
2
12.5
Remained Basically Unchanged
14
87.5
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
16
100.0
Total
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
Increased Somewhat
1
6.3
14
87.5
Decreased Somewhat
1
6.3
Decreased Considerably
0
0.0
16
100.0
Remained Basically Unchanged
Total
0.0
77. Over the past three months, how have liquidity and functioning in the consumer ABS market changed?
Number of Respondents
Percent
Improved Considerably
0
Improved Somewhat
1
5.9
16
94.1
Deteriorated Somewhat
0
0.0
Deteriorated Considerably
0
0.0
17
100.0
Remained Basically Unchanged
Total
0.0
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?
A. High-grade corporate bonds
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.0
19
95.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
B. High-yield corporate bonds
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.3
18
94.7
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
C. Equities
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.3
18
94.7
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
D. Agency RMBS
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
5.0
19
95.0
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
E. Non-agency RMBS
Number of Respondents
Percent
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
6.7
14
93.3
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
F. CMBS
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
6.7
14
93.3
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
G. Consumer ABS
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
1
6.7
14
93.3
Decreased Somewhat
0
0.0
Decreased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
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?
A. High-grade corporate bonds
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
19
95.0
Decreased Somewhat
1
5.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
B. High-yield corporate bonds
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
18
94.7
Decreased Somewhat
1
5.3
Decreased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
C. Equities
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
18
94.7
Decreased Somewhat
1
5.3
Decreased Considerably
0
0.0
19
100.0
Remained Basically Unchanged
Total
0.0
D. Agency RMBS
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
19
95.0
Decreased Somewhat
1
5.0
Decreased Considerably
0
0.0
20
100.0
Remained Basically Unchanged
Total
0.0
E. Non-agency RMBS
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
14
93.3
Decreased Somewhat
1
6.7
Decreased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
F. CMBS
Number of Respondents
Increased Considerably
Percent
0
0.0
Number of Respondents
Increased Somewhat
Percent
0
0.0
14
93.3
Decreased Somewhat
1
6.7
Decreased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
G. Consumer ABS
Number of Respondents
Percent
Increased Considerably
0
Increased Somewhat
0
0.0
14
93.3
Decreased Somewhat
1
6.7
Decreased Considerably
0
0.0
15
100.0
Remained Basically Unchanged
Total
0.0
Optional Question
Question 80 requests feedback on any other issues you judge to be important relating to credit terms applicable to securities financing transactions and
OTC derivatives contracts.
Special Questions on Use of Financial Leverage by Hedge Funds
Available indicators of the use of leverage by hedge funds have generally shown an upward trend in recent years but do not cover earlier periods. In these
special questions, we seek a longer-term perspective on the use of financial leverage by hedge funds. Question 81 asks about the current levels of gross
financial leverage employed by different types of hedge fund clients relative to the pre-crisis peak around June 2007 and the post-crisis trough around
March 2009. Questions 82–84 ask about the changes since June 2007 in the terms under which different types of hedge fund positions are funded by your
institution. Question 85 asks about the changes since June 2007 in initial margin requirements applicable to different types of OTC derivatives contracts
with hedge fund clients.
81. How would you characterize the current levels of gross leverage employed by different types of hedge fund clients relative to the pre-crisis peak around
June 2007 and the post-crisis trough around March 2009?
A. Most-favored hedge funds (as a consequence of breadth, duration, and/or extent of the relationship)
1. Equity-oriented funds
Number of Respondents
Percent
At Or Above June 2007
2
Near June 2007 Level
1
5.3
Moderately Below June 2007 Level
4
21.1
Roughly In The Middle Between June 2007 And March 2009 Level
5
26.3
Moderately Above March 2009 Level
7
36.8
Near The March 2009 Level
0
0.0
At Or Below March 2009 Level
0
0.0
19
100.0
Total
10.5
2. Macro-oriented funds
Number of Respondents
Percent
At Or Above June 2007
0
Near June 2007 Level
1
5.0
Moderately Below June 2007 Level
6
30.0
Roughly In The Middle Between June 2007 And March 2009 Level
7
35.0
Moderately Above March 2009 Level
5
25.0
Near The March 2009 Level
1
5.0
At Or Below March 2009 Level
0
0.0
20
100.0
Total
0.0
3. Credit-oriented funds
Number of Respondents
Percent
At Or Above June 2007
0
Near June 2007 Level
1
5.3
Moderately Below June 2007 Level
3
15.8
Roughly In The Middle Between June 2007 And March 2009 Level
8
42.1
Moderately Above March 2009 Level
4
21.1
Near The March 2009 Level
1
5.3
At Or Below March 2009 Level
2
10.5
19
100.0
Total
0.0
4. Convertible-bond arbitrage funds
Number of Respondents
At Or Above June 2007
Percent
1
5.9
Number of Respondents
Percent
Near June 2007 Level
2
Moderately Below June 2007 Level
1
5.9
Roughly In The Middle Between June 2007 And March 2009 Level
8
47.1
Moderately Above March 2009 Level
3
17.6
Near The March 2009 Level
2
11.8
At Or Below March 2009 Level
Total
11.8
0
0.0
17
100.0
5. Other fixed-income relative value funds
Number of Respondents
Percent
At Or Above June 2007
2
Near June 2007 Level
0
0.0
Moderately Below June 2007 Level
6
33.3
Roughly In The Middle Between June 2007 And March 2009 Level
7
38.9
Moderately Above March 2009 Level
3
16.7
Near The March 2009 Level
0
0.0
At Or Below March 2009 Level
0
0.0
18
100.0
Total
11.1
B. Other hedge funds
1. Equity-oriented funds
Number of Respondents
Percent
At Or Above June 2007
1
5.3
Near June 2007 Level
2
10.5
Moderately Below June 2007 Level
4
21.1
Roughly In The Middle Between June 2007 And March 2009 Level
5
26.3
Moderately Above March 2009 Level
7
36.8
Near The March 2009 Level
0
0.0
At Or Below March 2009 Level
0
0.0
19
100.0
Total
2. Macro-oriented funds
Number of Respondents
Percent
At Or Above June 2007
0
Near June 2007 Level
1
5.0
Moderately Below June 2007 Level
5
25.0
Roughly In The Middle Between June 2007 And March 2009 Level
8
40.0
Moderately Above March 2009 Level
5
25.0
Near The March 2009 Level
1
5.0
At Or Below March 2009 Level
0
0.0
20
100.0
Total
0.0
3. Credit-oriented funds
Number of Respondents
Percent
At Or Above June 2007
0
Near June 2007 Level
1
5.3
Moderately Below June 2007 Level
4
21.1
Roughly In The Middle Between June 2007 And March 2009 Level
8
42.1
Moderately Above March 2009 Level
4
21.1
Near The March 2009 Level
1
5.3
At Or Below March 2009 Level
1
5.3
19
100.0
Total
0.0
4. Convertible-bond arbitrage funds
Number of Respondents
Percent
At Or Above June 2007
1
5.9
Near June 2007 Level
2
11.8
Moderately Below June 2007 Level
1
5.9
Roughly In The Middle Between June 2007 And March 2009 Level
8
47.1
Moderately Above March 2009 Level
3
17.6
Near The March 2009 Level
2
11.8
At Or Below March 2009 Level
Total
0
0.0
17
100.0
5. Other fixed-income relative value funds
Number of Respondents
Percent
At Or Above June 2007
1
Near June 2007 Level
1
5.6
Moderately Below June 2007 Level
5
27.8
Roughly In The Middle Between June 2007 And March 2009 Level
7
38.9
Moderately Above March 2009 Level
4
22.2
Near The March 2009 Level
0
0.0
At Or Below March 2009 Level
0
0.0
18
100.0
Total
82. Since June 2007, how have the terms under which long–short equity portfolios are funded by your institution changed for hedge fund clients?
5.6
A. Terms for most-favored hedge fund clients (as a consequence of breadth, duration, and/or extent of the relationship)
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
5
27.8
Remained Basically Unchanged
8
44.4
Eased Somewhat
5
27.8
Eased Considerably
0
0.0
18
100.0
Total
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
4
22.2
Remained Basically Unchanged
9
50.0
Eased Somewhat
5
27.8
Eased Considerably
0
0.0
18
100.0
Total
3. Margin requirements
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
3
16.7
Remained Basically Unchanged
14
77.8
Eased Somewhat
1
5.6
Eased Considerably
0
0.0
18
100.0
Total
4. Funding spreads over relevant benchmark (effective financing rates)
5. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
1
5.9
Tightened Somewhat
6
35.3
Remained Basically Unchanged
7
41.2
Eased Somewhat
2
11.8
Eased Considerably
1
5.9
17
100.0
Total
B. Terms for other hedge fund clients
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
5
26.3
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
10
52.6
4
21.1
0
0.0
19
100.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
5
26.3
Remained Basically Unchanged
9
47.4
Eased Somewhat
5
26.3
Eased Considerably
0
0.0
19
100.0
Total
3. Margin requirements
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
3
15.8
Remained Basically Unchanged
15
78.9
Eased Somewhat
1
5.3
Eased Considerably
0
0.0
19
100.0
Total
4. Funding spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
1
5.6
Tightened Somewhat
6
33.3
Remained Basically Unchanged
9
50.0
Eased Somewhat
2
11.1
Eased Considerably
0
0.0
18
100.0
Total
83. Since June 2007, how have the terms under which high-grade corporate bonds are funded by your institution changed for hedge fund clients?
A. Terms for most-favored hedge fund clients (as a consequence of breadth, duration, and/or extent of the relationship)
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
2
10.0
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
15
75.0
2
10.0
1
5.0
20
100.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
4
20.0
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
12
60.0
4
20.0
0
0.0
20
100.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
3
15.0
Remained Basically Unchanged
15
75.0
Eased Somewhat
1
5.0
Eased Considerably
1
5.0
20
100.0
Total
4. Funding spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
1
5.0
Tightened Somewhat
4
20.0
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
13
65.0
2
10.0
0
0.0
20
100.0
B. Terms for other hedge fund clients
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
3
15.0
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
14
70.0
3
15.0
0
0.0
20
100.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
4
20.0
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
12
60.0
4
20.0
0
0.0
20
100.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
3
15.0
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
15
75.0
2
10.0
0
0.0
20
100.0
4. Funding spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
1
5.0
Tightened Somewhat
4
20.0
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
13
65.0
2
10.0
0
0.0
20
100.0
84. Since June 2007, how have the terms under which high-yield corporate bonds are funded by your institution changed for hedge fund clients?
A. Terms for most-favored hedge fund clients (as a consequence of breadth, duration, and/or extent of the relationship)
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
2
11.8
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
13
76.5
2
11.8
0
0.0
17
100.0
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
4
23.5
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
10
58.8
3
17.6
0
0.0
17
100.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
5
29.4
Remained Basically Unchanged
11
64.7
Eased Somewhat
0
0.0
Eased Considerably
1
5.9
17
100.0
Total
4. Funding spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
6
35.3
Remained Basically Unchanged
10
58.8
Eased Somewhat
1
5.9
Eased Considerably
0
0.0
17
100.0
Total
B. Terms for other hedge fund clients
1. Maximum amount of funding
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
3
17.6
Remained Basically Unchanged
13
76.5
Eased Somewhat
1
5.9
Eased Considerably
0
0.0
17
100.0
Total
2. Maximum maturity
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
4
23.5
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total
11
64.7
2
11.8
0
0.0
17
100.0
3. Haircuts
Number of Respondents
Percent
Tightened Considerably
0
0.0
Tightened Somewhat
5
29.4
Remained Basically Unchanged
11
64.7
Eased Somewhat
1
5.9
Eased Considerably
0
0.0
17
100.0
Total
4. Funding spreads over relevant benchmark (effective financing rates)
Number of Respondents
Percent
Tightened Considerably
1
5.9
Tightened Somewhat
5
29.4
Remained Basically Unchanged
10
58.8
Eased Somewhat
1
5.9
Eased Considerably
0
0.0
17
100.0
Total
85. Since June 2007, how have initial margin requirements set by your institution with respect to OTC derivatives transactions changed for hedge fund
clients?
A. Initial margin requirements for most-favored hedge fund clients (as a consequence of breadth, duration, and/or extent of relationship)
1. OTC equity derivatives transactions
Number of Respondents
Percent
Increased Considerably
1
5.6
Increased Somewhat
2
11.1
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total
12
66.7
3
16.7
0
0.0
18
100.0
2. OTC interest rate derivatives transactions
Number of Respondents
Percent
Increased Considerably
1
Increased Somewhat
1
5.6
13
72.2
Decreased Somewhat
3
16.7
Decreased Considerably
0
0.0
18
100.0
Remained Basically Unchanged
Total
5.6
3. OTC credit derivatives transactions
Number of Respondents
Percent
Increased Considerably
1
Increased Somewhat
1
6.3
13
81.3
Decreased Somewhat
1
6.3
Decreased Considerably
0
0.0
16
100.0
Remained Basically Unchanged
Total
6.3
B. Initial margin requirements for other hedge fund clients
1. OTC equity derivatives transactions
Number of Respondents
Percent
Increased Considerably
1
5.6
Increased Somewhat
3
16.7
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total
12
66.7
2
11.1
0
0.0
18
100.0
2. OTC interest rate derivatives transactions
Number of Respondents
Percent
Increased Considerably
1
5.6
Increased Somewhat
2
11.1
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total
12
66.7
3
16.7
0
0.0
18
100.0
3. OTC credit derivatives transactions
Number of Respondents
Percent
Increased Considerably
1
6.3
Increased Somewhat
2
12.5
Remained Basically Unchanged
12
75.0
Decreased Somewhat
1
6.3
Decreased Considerably
0
0.0
16
100.0
Total
Last Update: June 27, 2019
| File Type | application/pdf |
| File Modified | 2019-07-26 |
| File Created | 2019-07-26 |