Senior Credit Officer Opinion Survey on Dealer Financing Terms

Senior Credit Officer Opinion Survey on Dealer
Financing Terms
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Senior Credit Officer Opinion Survey, June 2022
Current Release

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DDP

Summary
The June 2022 Senior Credit Officer Opinion Survey on Dealer Financing Terms (SCOOS)
collected qualitative information on changes 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 about dealers’ assessments of changes in
liquidity conditions in the U.S. Treasury and agency residential mortgage-backed security
(RMBS) markets since the beginning of January 2022. The 23 institutions participating in the
survey account for almost all dealer financing of dollar-denominated securities to non-dealers
and are the most active intermediaries in OTC derivatives markets. The survey was
conducted between May 10, 2022, and May 23, 2022. The core questions asked about
changes between mid-February 2022 and mid-May 2022.1
Core Questions
(Questions 1-79)2
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 revealed the following:
On net, one-fifth of dealers reported that price terms on securities financing
transactions and OTC derivatives offered to hedge funds tightened somewhat, while
small net fractions of respondents pointed to somewhat tighter terms offered to
nonfinancial corporations, trading real estate investment trusts, and separately
managed accounts (see the exhibit "Management of Concentrated Credit Exposures
and Indicators of Supply of Credit").
For hedge funds and nonfinancial corporations, small net fractions of dealers reported
that nonprice terms on securities financing transactions and OTC derivatives, such as
haircuts, maximum maturity, or covenants, tightened somewhat since the previous
survey.
A small fraction of respondents indicated that resources and attention devoted to
managing concentrated credit exposure to central counterparties increased somewhat.

However, most respondents indicated that changes in central counterparty practices
have not affected, or have minimally affected, the credit terms they offer to clients on
bilateral transactions that are not cleared.
Approximately one-fifth of dealers, on net, reported that the volume of mark and
collateral disputes increased for separately managed accounts, while small net
fractions of respondents noted an increase for most other counterparty types. In
addition, a small net fraction of dealers reported an increase in the duration and
persistence of mark and collateral disputes for dealers and hedge funds.
With respect to clients' use of financial leverage, respondents indicated the following:
Approximately one-fourth of dealers indicated a decrease in the use of leverage by
hedge funds, while all respondents noted that the use of leverage by other client types
was basically unchanged (see the exhibit "Use of Financial Leverage").
With regard to OTC derivatives markets, responses to the core questions revealed the
following:
Initial margin requirements were largely unchanged for most types of OTC derivatives,
although with respect to interest rate derivatives, one-fifth of dealers reported that initial
margin requirements increased somewhat for both average and most-favored clients.
Approximately one-fourth of dealers, on net, reported an increase in the volume of
mark and collateral disputes over the past three months for commodity derivatives,
while one-fifth of respondents reported an increase for foreign exchange derivatives
and credit derivatives referencing corporates. Meanwhile, the duration and persistence
of mark and collateral disputes remained largely unchanged for all types of contracts.
With respect to securities financing transactions, respondents indicated the following:
For high-grade corporate bonds, small net fractions of dealers reported tightening of
funding terms with respect to the maximum amount of funding, haircuts, and collateral
spreads for average clients, and tightening of terms with respect to collateral spreads
for most-favored clients. For high-yield corporate bonds, over one-fifth of respondents,
on net, indicated tightening of funding terms with respect to collateral spreads for
average and most-favored clients, and a small net fraction of dealers reported tighter
terms with respect to haircuts for average clients. For all other asset classes, terms
under which various types of securities are funded remained largely unchanged.
On net, one-fourth of dealers reported decreased demand for funding equities. Demand
for funding of other asset classes was largely unchanged (see the exhibit "Measures of
Demand for Funding and Market Functioning").
Small net fractions of dealers indicated that liquidity and market functioning for highgrade corporate bond, agency RMBS, and commercial mortgage-backed securities
markets deteriorated over the past three months.
The volume and duration of mark and collateral disputes remained largely unchanged
across collateral types. A small net fraction of dealers reported that the volume of mark

and collateral disputes related to lending against equities increased somewhat over the
past three months.
Special Questions on Liquidity Conditions in the U.S. Treasury and Agency
Residential Mortgage-Backed Securities Markets
(Questions 81-91)
In the special questions, dealers were asked about their assessment of changes in liquidity
conditions in the U.S. Treasury and agency RMBS markets since the beginning of January
2022. In these questions, market liquidity referred to the ease of buying and selling desired
quantities of an asset without significant costs or delays.
With respect to liquidity conditions in the market for on- and off-the-run U.S. Treasury
securities, dealers reported the following:
All dealers indicated that liquidity in the market for on-the-run U.S. Treasury
securities has deteriorated since last January, with over one-third of respondents
reporting a substantial deterioration in liquidity conditions.
In the on-the-run market, dealers most frequently cited a decrease in the depth of the
limit order book as the main indicator used in making their assessment. Price impact
was most often cited by dealers as the next most important indicator, followed by bidask spreads.
Over four-fifths of respondents pointed to increased interest rate volatility as a very
important reason for the deterioration of liquidity conditions. In addition, more than onehalf of dealers cited more unbalanced client order flows, diminished availability of
dealer balance sheets, reduced willingness of dealers to take risk in U.S. Treasury
markets, reduced willingness of PTFs to provide liquidity, and elevated Treasury
issuance net of System Open Market Account (SOMA) purchases as somewhat
important reasons supporting their liquidity assessments.
With respect to the market for off-the-run U.S. Treasury securities, over three-fourths
of dealers indicated that liquidity conditions have deteriorated since January 2022.
Approximately one-half of these respondents indicated that liquidity conditions
deteriorated substantially over the period.
In the off-the-run market, dealers indicated that price impact was the most important
indicator used in making their assessment of a deterioration in liquidity conditions,
closely followed by bid-ask spreads.
Roughly four-fifths of dealers noting a deterioration in off-the-run U.S. Treasury liquidity
cited increased interest rate volatility as a very important reason leading to the
deterioration, while approximately one-half of respondents also pointed to more
unbalanced client order flows as a very important contributing factor. In addition,
between roughly one-third and two-fifths of dealers cited diminished availability of
dealer balance sheets and reduced willingness of dealers to take risk in U.S. Treasury
markets as important reasons supporting their liquidity assessments.
Dealers were also asked about the main risks to Treasury market liquidity over the

remainder of 2022. Elevated interest rate volatility and the Federal Reserve’s balance
sheet reductions were most often cited as the main risks ahead, followed by reduced
willingness of dealers to intermediate the U.S. Treasury markets.
With respect to liquidity conditions in agency RMBS markets, dealers reported the
following:
Approximately three-fifths of dealers reported a deterioration in liquidity in the to-beannounced (TBA) market for agency RMBS since last January, while the remaining
fraction of respondents indicated that liquidity in this market remained basically
unchanged.
In the TBA agency RMBS market, roughly one-half of dealers noting a deterioration of
liquidity conditions reported that price impact was the most important indicator used in
making their assessment, while bid-ask spreads was cited as the next most important
indicator.
Nearly all respondents noting a deterioration in liquidity conditions cited increased
interest rate volatility as a very important reason leading to the deterioration, while
roughly two-fifths of those reporting a deterioration also pointed to more unbalanced
client order flows as a very important reason. Respondents also cited reduced
willingness of dealers to take risk in RMBS markets, elevated RMBS issuance net of
SOMA purchases, and diminished availability of dealer balance sheets as somewhat
important contributing factors.
Similar to Treasury markets, elevated interest rate volatility was most often cited as the
main risk to agency RMBS market liquidity over the remainder of 2022. The Federal
Reserve’s balance sheet reductions and deterioration in financing conditions were cited
as the next most important risks.
This document was prepared by Ayelén Banegas, 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. For questions that ask about credit terms, net percentages equal the percentage of institutions that reported
tightening terms ("tightened considerably" or "tightened somewhat") minus the percentage of institutions that
reported easing terms ("eased considerably" or "eased somewhat"). For questions that ask about demand, net
fractions equal the percentage of institutions that reported increased demand ("increased considerably" or
"increased somewhat") minus the percentage of institutions that reported decreased demand ("decreased
considerably" or "decreased somewhat"). Return to text
2. Question 80, not discussed here, was optional and allowed respondents to provide additional comments. 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 2022 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
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Central Counterparties and Other Financial Utilities

Percentage
0
2
21
0
0
23

0.0
8.7
91.3
0.0
0.0
100.0

p
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
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
3
20
0
0
23

0.0
13.0
87.0
0.0
0.0
100.0

3. To what extent have changes in the practices of central counterparties, including margin
requirements and haircuts, influenced the credit terms your institution applies to clients on
bilateral transactions which are not cleared?
Number of Respondents
To A Considerable Extent
To Some Extent
To A Minimal Extent
Not At All
Total

Percentage
0
4
12
7
23

0.0
17.4
52.2
30.4
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? (Please indicate
tightening if terms have become more stringent-for example, if financing rates have risen.)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
5
18
0
0
23

0.0
21.7
78.3
0.0
0.0
100.0

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

Percentage
0
4
19
0

0.0
17.4
82.6
0.0

Number of Respondents
Eased Considerably
Total

Percentage
0
23

0.0
100.0

6. To the extent that the price or nonprice terms applied to hedge funds have tightened or
eased over the past three months (as reflected in your responses to questions 4 and 5), what
are the most important reasons for the change?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
2
0
1
3

66.7
0.0
33.3
100.0

2. Reduced willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
2
2
0
4

50.0
50.0
0.0
100.0

3. Adoption of more-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
1
1
2

0.0
50.0
50.0
100.0

4. Higher internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Worsening in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. Less-aggressive competition from other institutions
Number of Respondents

Percentage

Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
1
1

0.0
0.0
100.0
100.0

2
0
0
2

Percentage
100.0
0.0
0.0
100.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Increased willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Adoption of less-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Lower internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Improvement in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. More-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. How has the intensity of efforts by hedge funds to negotiate more-favorable price and
nonprice terms changed over the past three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
23
0
0
23

0.0
0.0
100.0
0.0
0.0
100.0

8. Considering the entire range of transactions facilitated by your institution for such clients,
how has the use of financial leverage by hedge funds changed over the past three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
17
5
1
23

0.0
0.0
73.9
21.7
4.3
100.0

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

Percentage
0
0
20
2
1
23

10. How has the provision of differential terms by your institution to most-favored (as a

0.0
0.0
87.0
8.7
4.3
100.0

function of breadth, duration, and extent of relationship) hedge funds changed over the past
three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
20
1
0
22

0.0
4.5
90.9
4.5
0.0
100.0

Trading Real Estate Investment Trusts
11. Over the past three months, how have the price terms (for example, financing rates)
offered to trading REITs as reflected across the entire spectrum of securities financing and
OTC derivatives transaction types changed, regardless of nonprice terms? (Please indicate
tightening if terms have become more stringent-for example, if financing rates have risen.)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
3
16
0
0
19

0.0
15.8
84.2
0.0
0.0
100.0

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

Percentage
0
1
17
0
0
18

0.0
5.6
94.4
0.0
0.0
100.0

13. To the extent that the price or nonprice terms applied to trading REITs have tightened or
eased over the past three months (as reflected in your responses to questions 11 and 12),
what are the most important reasons for the change?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Most Important
2nd Most Important

1
0

Percentage
100.0
0.0

Number of Respondents
3rd Most Important
Total

Percentage
0
1

0.0
100.0

2. Reduced willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Adoption of more-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

1
0
0
1

Percentage
100.0
0.0
0.0
100.0

4. Higher internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Worsening in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
1
0
1

0.0
100.0
0.0
100.0

7. Less-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

1
0
0
1

Percentage
100.0
0.0
0.0
100.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties

Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Increased willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Adoption of less-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Lower internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Improvement in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. More-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

14. How has the intensity of efforts by trading REITs to negotiate more-favorable price and
nonprice terms changed over the past three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
17
0
0
19

0.0
10.5
89.5
0.0
0.0
100.0

15. Considering the entire range of transactions facilitated by your institution for such clients,
how has the use of financial leverage by trading REITs changed over the past three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
19
0
0
19

0.0
0.0
100.0
0.0
0.0
100.0

16. How has the provision of differential terms by your institution to most-favored (as a
function of breadth, duration, and extent of relationship) trading REITs changed over the past
three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
18
0
0
19

0.0
5.3
94.7
0.0
0.0
100.0

Mutual Funds, Exchange-Traded Funds, Pension Plans, and Endowments
17. Over the past three months, how have the price terms (for example, financing rates)
offered to mutual funds, ETFs, pension plans, and endowments as reflected across the entire
spectrum of securities financing and OTC derivatives transaction types changed, regardless
of nonprice terms? (Please indicate tightening if terms have become more stringent-for
example, if financing rates have risen.)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
3
19
1
0
23

0.0
13.0
82.6
4.3
0.0
100.0

18. Over the past three months, how has your use of nonprice terms (for example, haircuts,

maximum maturity, covenants, cure periods, cross-default provisions or other documentation
features) with respect to mutual funds, ETFs, pension plans, and endowments across the
entire spectrum of securities financing and OTC derivatives transaction types changed,
regardless of price terms? (Please indicate tightening if terms have become more stringentfor example, if haircuts have been increased.)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
1
22
0
0
23

0.0
4.3
95.7
0.0
0.0
100.0

19. To the extent that the price or nonprice terms applied to mutual funds, ETFs, pension
plans, and endowments have tightened or eased over the past three months (as reflected in
your responses to questions 17 and 18), what are the most important reasons for the
change?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Reduced willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Adoption of more-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

1
0
0
1

Percentage
100.0
0.0
0.0
100.0

4. Higher internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Most Important

Percentage
0

0.0

Number of Respondents
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0

0.0
0.0
0.0

6. Worsening in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
1
0
1

0.0
100.0
0.0
100.0

7. Less-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3
0
0
3

Percentage
100.0
0.0
0.0
100.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Increased willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Adoption of less-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Lower internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
1
1

0.0
0.0
100.0
100.0

1
0
0
1

Percentage
100.0
0.0
0.0
100.0

6. Improvement in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

7. More-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
1
0
1

0.0
100.0
0.0
100.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

20. How has the intensity of efforts by mutual funds, ETFs, pension plans, and endowments
to negotiate more-favorable price and nonprice terms changed over the past three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
23
0
0
23

0.0
0.0
100.0
0.0
0.0
100.0

21. Considering the entire range of transactions facilitated by your institution, how has the
use of financial leverage by each of the following types of clients changed over the past three
months?
A. Mutual funds
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
20
0
0
20

0.0
0.0
100.0
0.0
0.0
100.0

B. ETFs
Number of Respondents

Percentage

Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
20
0
0
20

0.0
0.0
100.0
0.0
0.0
100.0

C. Pension plans
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
21
0
0
21

0.0
0.0
100.0
0.0
0.0
100.0

D. Endowments
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
20
0
0
20

0.0
0.0
100.0
0.0
0.0
100.0

22. How has the provision of differential terms by your institution to most-favored (as a
function of breadth, duration, and extent of relationship) mutual funds, ETFs, pension plans,
and endowments changed over the past three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
19
0
0
21

0.0
9.5
90.5
0.0
0.0
100.0

Insurance Companies
23. Over the past three months, how have the price terms (for example, financing rates)
offered to insurance companies as reflected across the entire spectrum of securities
financing and OTC derivatives transaction types changed, regardless of nonprice terms?
(Please indicate tightening if terms have become more stringent-for example, if financing
rates have risen.)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
22
0
0
22

0.0
0.0
100.0
0.0
0.0
100.0

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

Percentage
0
1
21
0
0
22

0.0
4.5
95.5
0.0
0.0
100.0

25. To the extent that the price or nonprice terms applied to insurance companies have
tightened or eased over the past three months (as reflected in your responses to questions
23 and 24), what are the most important reasons for the change?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Reduced willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Adoption of more-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Higher internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Most Important

Percentage
0

0.0

Number of Respondents
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0

0.0
0.0
0.0

6. Worsening in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. Less-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

1
0
0
1

Percentage
100.0
0.0
0.0
100.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Increased willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Adoption of less-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Lower internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Improvement in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. More-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

26. How has the intensity of efforts by insurance companies to negotiate more favorable
price and nonprice terms changed over the past three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
22
0
0
22

0.0
0.0
100.0
0.0
0.0
100.0

27. Considering the entire range of transactions facilitated by your institution for such clients,
how has the use of financial leverage by insurance companies changed over the past three
months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
22
0
0
22

0.0
0.0
100.0
0.0
0.0
100.0

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

the past three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
21
0
0
21

0.0
0.0
100.0
0.0
0.0
100.0

Investment Advisers to Separately Managed Accounts
29. Over the past three months, how have the price terms (for example, financing rates)
offered to separately managed accounts established with investment advisers as reflected
across the entire spectrum of securities financing and OTC derivatives transaction types
changed, regardless of nonprice terms? (Please indicate tightening if terms have become
more stringent-for example, if financing rates have risen.)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
3
18
0
0
21

0.0
14.3
85.7
0.0
0.0
100.0

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

Percentage
0
2
19
0
0
21

0.0
9.5
90.5
0.0
0.0
100.0

31. To the extent that the price or nonprice terms applied to separately managed accounts
established with investment advisers have tightened or eased over the past three months (as
reflected in your responses to questions 29 and 30), what are the most important reasons for
the change?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Most Important

Percentage
0

0.0

Number of Respondents
2nd Most Important
3rd Most Important
Total

Percentage
0
1
1

0.0
100.0
100.0

2. Reduced willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
1
0
1

0.0
100.0
0.0
100.0

3. Adoption of more-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

1
0
0
1

Percentage
100.0
0.0
0.0
100.0

1
0
0
1

Percentage
100.0
0.0
0.0
100.0

4. Higher internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Worsening in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
1
0
1

0.0
100.0
0.0
100.0

7. Less-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3
0
0
3

Percentage
100.0
0.0
0.0
100.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

B. Possible reasons for easing

1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Increased willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Adoption of less-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Lower internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Improvement in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. More-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

32. How has the intensity of efforts by investment advisers to negotiate more-favorable price
and nonprice terms on behalf of separately managed accounts changed over the past three
months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
21
0
0
21

0.0
0.0
100.0
0.0
0.0
100.0

33. Considering the entire range of transactions facilitated by your institution for such clients,
how has the use of financial leverage by separately managed accounts established with
investment advisers changed over the past three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
20
0
1
21

0.0
0.0
95.2
0.0
4.8
100.0

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

Percentage
0
2
18
0
1
21

0.0
9.5
85.7
0.0
4.8
100.0

Nonfinancial Corporations
35. Over the past three months, how have the price terms (for example, financing rates)
offered to nonfinancial corporations as reflected across the entire spectrum of securities
financing and OTC derivatives transaction types changed, regardless of nonprice terms?
(Please indicate tightening if terms have become more stringent-for example, if financing
rates have risen.)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
4
19
0
0
23

0.0
17.4
82.6
0.0
0.0
100.0

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

Percentage
0
4
19
0
0
23

0.0
17.4
82.6
0.0
0.0
100.0

37. To the extent that the price or nonprice terms applied to nonfinancial corporations have
tightened or eased over the past three months (as reflected in your responses to questions
35 and 36), what are the most important reasons for the change?
A. Possible reasons for tightening
1. Deterioration in current or expected financial strength of counterparties
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
2
0
1
3

66.7
0.0
33.3
100.0

2. Reduced willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
1
1
2

0.0
50.0
50.0
100.0

3. Adoption of more-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

1
0
0
1

Percentage
100.0
0.0
0.0
100.0

4. Higher internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

5. Diminished availability of balance sheet or capital at your institution
Number of Respondents
Most Important

Percentage
0

0.0

Number of Respondents
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0

0.0
0.0
0.0

6. Worsening in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
1
2
0
3

33.3
66.7
0.0
100.0

7. Less-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
1
1

0.0
0.0
100.0
100.0

1
0
0
1

Percentage
100.0
0.0
0.0
100.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

B. Possible reasons for easing
1. Improvement in current or expected financial strength of counterparties
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Increased willingness of your institution to take on risk
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Adoption of less-stringent market conventions (that is, collateral terms and
agreements, ISDA protocols)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Lower internal treasury charges for funding
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Increased availability of balance sheet or capital at your institution
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Improvement in general market liquidity and functioning
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. More-aggressive competition from other institutions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

8. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

38. How has the intensity of efforts by nonfinancial corporations to negotiate more favorable
price and nonprice terms changed over the past three months?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
22
0
0
23

0.0
4.3
95.7
0.0
0.0
100.0

Mark and Collateral Disputes
39. Over the past three months, how has the volume of mark and collateral disputes with
clients of each of the following types changed?
A. Dealers and other financial intermediaries
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
4
17
0
1
23

4.3
17.4
73.9
0.0
4.3
100.0

B. Hedge funds
Number of Respondents

Percentage

Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
4
16
1
1
23

4.3
17.4
69.6
4.3
4.3
100.0

C. Trading REITs
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
2
15
0
0
18

5.6
11.1
83.3
0.0
0.0
100.0

D. Mutual funds, ETFs, pension plans, and endowments
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
2
4
13
1
1
21

9.5
19.0
61.9
4.8
4.8
100.0

E. Insurance companies
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
4
15
1
1
22

4.5
18.2
68.2
4.5
4.5
100.0

F. Separately managed accounts established with investment advisers
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
3
15
0
0
19

5.3
15.8
78.9
0.0
0.0
100.0

G. Nonfinancial corporations
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
3
14
2
0
20

5.0
15.0
70.0
10.0
0.0
100.0

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

A. Dealers and other financial intermediaries
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
3
18
1
0
23

4.3
13.0
78.3
4.3
0.0
100.0

B. Hedge funds
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
4
17
1
0
23

4.3
17.4
73.9
4.3
0.0
100.0

C. Trading REITs
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
15
1
0
18

0.0
11.1
83.3
5.6
0.0
100.0

D. Mutual funds, ETFs, pension plans, and endowments
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
2
17
1
0
21

4.8
9.5
81.0
4.8
0.0
100.0

E. Insurance companies
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
2
18
1
0
22

4.5
9.1
81.8
4.5
0.0
100.0

F. Separately managed accounts established with investment advisers
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

G. Nonfinancial corporations

Percentage
0
2
16
1
0
19

0.0
10.5
84.2
5.3
0.0
100.0

Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
3
16
1
0
20

0.0
15.0
80.0
5.0
0.0
100.0

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 derivative 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
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
19
0
0
19

0.0
0.0
100.0
0.0
0.0
100.0

B. Acceptable collateral
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat

Percentage
0
0
19
0

0.0
0.0
100.0
0.0

Number of Respondents
Eased Considerably
Total

Percentage
0
19

0.0
100.0

C. Recognition of portfolio or diversification benefits (including from securities financing
trades where appropriate agreements are in place)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
19
0
0
19

0.0
0.0
100.0
0.0
0.0
100.0

D. Triggers and covenants
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
19
0
0
19

0.0
0.0
100.0
0.0
0.0
100.0

E. Other documentation features (including cure periods and cross-default provisions)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
19
0
0
19

0.0
0.0
100.0
0.0
0.0
100.0

F. Other (please specify)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

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
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
3
17
1
0
21

0.0
14.3
81.0
4.8
0.0
100.0

B. Initial margin requirements for most favored clients, as a consequence of breadth,
duration, and/or extent of relationship
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
18
1
0
21

0.0
9.5
85.7
4.8
0.0
100.0

43. Over the past three months, how have initial margin requirements set by your institution
with respect to OTC interest rate derivatives changed?
A. Initial margin requirements for average clients
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
4
16
0
0
20

0.0
20.0
80.0
0.0
0.0
100.0

B. Initial margin requirements for most favored clients, as a consequence of breadth,
duration, and/or extent of relationship
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
4
16
0
0
20

0.0
20.0
80.0
0.0
0.0
100.0

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
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
18
0
0
19

0.0
5.3
94.7
0.0
0.0
100.0

B. Initial margin requirements for most favored clients, as a consequence of breadth,
duration, and/or extent of relationship
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably

Percentage
0
1
18
1
0

0.0
5.0
90.0
5.0
0.0

Number of Respondents
Total

20

Percentage
100.0

45. Over the past three months, how have initial margin requirements set by your institution
with respect to OTC credit derivatives referencing corporates (single-name corporates or
corporate indexes) changed?
A. Initial margin requirements for average clients
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
13
0
0
15

0.0
13.3
86.7
0.0
0.0
100.0

B. Initial margin requirements for most favored clients, as a consequence of breadth,
duration, and/or extent of relationship
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
13
0
0
15

0.0
13.3
86.7
0.0
0.0
100.0

46. Over the past three months, how have initial margin requirements set by your institution
with respect to OTC credit derivatives referencing securitized products (such as specific ABS
or MBS tranches and associated indexes) changed?
A. Initial margin requirements for average clients
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
11
1
0
13

0.0
7.7
84.6
7.7
0.0
100.0

B. Initial margin requirements for most favored clients, as a consequence of breadth,
duration, and/or extent of relationship
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
11
1
0
13

0.0
7.7
84.6
7.7
0.0
100.0

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

A. Initial margin requirements for average clients
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
2
12
1
1
17

5.9
11.8
70.6
5.9
5.9
100.0

B. Initial margin requirements for most favored clients, as a consequence of breadth,
duration, and/or extent of relationship
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
2
12
0
1
16

6.3
12.5
75.0
0.0
6.3
100.0

48. Over the past three months, how have initial margin requirements set by your institution
with respect to TRS referencing non-securities (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
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
15
0
0
16

0.0
6.3
93.8
0.0
0.0
100.0

B. Initial margin requirements for most favored clients, as a consequence of breadth,
duration, and/or extent of relationship
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
0
17
0
0
17

0.0
0.0
100.0
0.0
0.0
100.0

Nonstandard Collateral
49. Over the past three months, how has the posting of nonstandard collateral (that is, other
than cash and U.S. Treasury securities) as permitted under relevant agreements changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably

Percentage
0
1
21
1
0

0.0
4.3
91.3
4.3
0.0

Number of Respondents
Total

23

Percentage
100.0

Mark and Collateral Disputes
50. Over the past three months, how has the volume of mark and collateral disputes relating
to contracts of each of the following types changed?
A. FX
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
5
14
1
0
20

0.0
25.0
70.0
5.0
0.0
100.0

B. Interest rate
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
3
16
0
1
20

0.0
15.0
80.0
0.0
5.0
100.0

C. Equity
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
4
13
1
1
19

0.0
21.1
68.4
5.3
5.3
100.0

D. Credit referencing corporates
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
2
12
0
0
15

6.7
13.3
80.0
0.0
0.0
100.0

E. Credit referencing securitized products including MBS and ABS
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
2
11
1
0
15

6.7
13.3
73.3
6.7
0.0
100.0

F. Commodity
Number of Respondents

Percentage

Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
3
11
0
0
15

6.7
20.0
73.3
0.0
0.0
100.0

G. TRS referencing non-securities (such as bank loans, including, for example,
commercial and industrial loans and mortgage whole loans)
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
1
12
0
0
14

7.1
7.1
85.7
0.0
0.0
100.0

51. Over the past three months, how has the duration and persistence of mark and collateral
disputes relating to contracts of each of the following types changed?
A. FX
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
3
16
1
0
20

0.0
15.0
80.0
5.0
0.0
100.0

B. Interest rate
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
18
1
0
20

0.0
5.0
90.0
5.0
0.0
100.0

C. Equity
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
2
15
1
0
19

5.3
10.5
78.9
5.3
0.0
100.0

D. Credit referencing corporates
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat

Percentage
0
2
12
1

0.0
13.3
80.0
6.7

Number of Respondents
Decreased Considerably
Total

Percentage
0
15

0.0
100.0

E. Credit referencing securitized products including MBS and ABS
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
12
1
0
15

0.0
13.3
80.0
6.7
0.0
100.0

F. Commodity
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
13
1
0
15

0.0
6.7
86.7
6.7
0.0
100.0

G. TRS referencing non-securities (such as bank loans, including, for example,
commercial and industrial loans and mortgage whole loans)
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
12
1
0
14

0.0
7.1
85.7
7.1
0.0
100.0

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 high-yield
corporate bonds; questions 60 and 61 on lending against equities (including through stock
loan); questions 62 through 65 on lending against agency residential mortgage-backed
securities (agency RMBS); questions 66 through 69 on lending against non-agency
residential mortgage-backed securities (non-agency RMBS); questions 70 through 73 on
lending against commercial mortgage-backed securities (CMBS); and questions 74 through
77 on consumer ABS (for example, backed by credit card receivables or auto loans).
Questions 78 and 79 ask about mark and collateral disputes for lending backed by each of
the aforementioned contract types.
If your institution’s terms have tightened or eased over the past three months, please so
report them regardless of how they stand relative to longer-term norms. Please focus your
response on dollar-denominated instruments; if material differences exist with respect to

instruments denominated in other currencies, please explain in the appropriate comment
space.

High-Grade Corporate Bonds
52. Over the past three months, how have the terms under which high-grade corporate
bonds are funded changed?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
3
18
0
0
21

0.0
14.3
85.7
0.0
0.0
100.0

2. Maximum maturity
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
2
19
0
0
21

0.0
9.5
90.5
0.0
0.0
100.0

3. Haircuts
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
1
2
18
0
0
21

4.8
9.5
85.7
0.0
0.0
100.0

4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
1
3
17
0
0
21

4.8
14.3
81.0
0.0
0.0
100.0

5. Other (please specify)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

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

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
3
16
2
0
21

0.0
14.3
76.2
9.5
0.0
100.0

2. Maximum maturity
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
2
18
1
0
21

0.0
9.5
85.7
4.8
0.0
100.0

3. Haircuts
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

1
2
17
1
0
21

4.8
9.5
81.0
4.8
0.0
100.0

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

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

1
3
17
0
0
21

4.8
14.3
81.0
0.0
0.0
100.0

5. Other (please specify)
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

53. Over the past three months, how has demand for funding of high-grade corporate bonds
by your institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat

Percentage
1
1
18
1

4.8
4.8
85.7
4.8

Number of Respondents
Decreased Considerably
Total

Percentage
0
21

0.0
100.0

54. Over the past three months, how has demand for term funding with a maturity greater
than 30 days of high-grade corporate bonds by your institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
19
0
0
21

0.0
9.5
90.5
0.0
0.0
100.0

55. Over the past three months, how have liquidity and functioning in the high-grade
corporate bond market changed?
Number of Respondents
Improved Considerably
Improved Somewhat
Remained Basically Unchanged
Deteriorated Somewhat
Deteriorated Considerably
Total

Percentage
0
1
17
4
0
22

0.0
4.5
77.3
18.2
0.0
100.0

Funding of 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
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
1
1
17
0
0
19

5.3
5.3
89.5
0.0
0.0
100.0

2. Maximum maturity
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
1
1
17
0
0
19

5.3
5.3
89.5
0.0
0.0
100.0

2

Percentage
10.5

3. Haircuts
Number of Respondents
Tightened Considerably

Number of Respondents
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
1
16
0
0
19

5.3
84.2
0.0
0.0
100.0

4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

2
3
14
0
0
19

Percentage
10.5
15.8
73.7
0.0
0.0
100.0

5. Other (please specify)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

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
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
1
1
15
2
0
19

5.3
5.3
78.9
10.5
0.0
100.0

2. Maximum maturity
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
1
1
16
1
0
19

5.3
5.3
84.2
5.3
0.0
100.0

2
1
15
1
0
19

Percentage
10.5
5.3
78.9
5.3
0.0
100.0

3. Haircuts
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

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

Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

2
3
13
1
0
19

Percentage
10.5
15.8
68.4
5.3
0.0
100.0

5. Other (please specify)
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

57. Over the past three months, how has demand for funding of high-yield corporate bonds
by your institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
16
1
0
19

0.0
10.5
84.2
5.3
0.0
100.0

58. Over the past three months, how has demand for term funding with a maturity greater
than 30 days of high-yield corporate bonds by your institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
17
0
0
19

0.0
10.5
89.5
0.0
0.0
100.0

59. Over the past three months, how have liquidity and functioning in the high-yield corporate
bond market changed?
Number of Respondents
Improved Considerably
Improved Somewhat
Remained Basically Unchanged
Deteriorated Somewhat
Deteriorated Considerably
Total

Percentage
0
1
17
2
0
20

Equities (Including through Stock Loan)
60. Over the past three months, how have the terms under which equities are funded

0.0
5.0
85.0
10.0
0.0
100.0

(including through stock loan) changed?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
2
18
0
0
20

0.0
10.0
90.0
0.0
0.0
100.0

2. Maximum maturity
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
2
18
0
0
20

0.0
10.0
90.0
0.0
0.0
100.0

3. Haircuts
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
2
18
0
0
20

0.0
10.0
90.0
0.0
0.0
100.0

4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
3
16
1
0
20

0.0
15.0
80.0
5.0
0.0
100.0

5. Other (please specify)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

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
Tightened Considerably
Tightened Somewhat

Percentage
0
1

0.0
5.0

Number of Respondents
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
95.0
0.0
0.0
100.0

19
0
0
20

2. Maximum maturity
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
1
19
0
0
20

0.0
5.0
95.0
0.0
0.0
100.0

3. Haircuts
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
1
19
0
0
20

0.0
5.0
95.0
0.0
0.0
100.0

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

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
1
18
1
0
20

0.0
5.0
90.0
5.0
0.0
100.0

5. Other (please specify)
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

61. Over the past three months, how has demand for funding of equities (including through
stock loan) by your institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Agency Residential Mortgage-Backed Securities

Percentage
0
1
13
6
0
20

0.0
5.0
65.0
30.0
0.0
100.0

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
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
18
1
0
19

0.0
0.0
94.7
5.3
0.0
100.0

2. Maximum maturity
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
18
1
0
19

0.0
0.0
94.7
5.3
0.0
100.0

3. Haircuts
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
1
0
17
1
0
19

5.3
0.0
89.5
5.3
0.0
100.0

4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
1
1
15
2
0
19

5.3
5.3
78.9
10.5
0.0
100.0

5. Other (please specify)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

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
Tightened Considerably

Percentage
0

0.0

Number of Respondents

Percentage

Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
18
1
0
19

0.0
94.7
5.3
0.0
100.0

2. Maximum maturity
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
0
18
1
0
19

0.0
0.0
94.7
5.3
0.0
100.0

3. Haircuts
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

1
0
17
1
0
19

5.3
0.0
89.5
5.3
0.0
100.0

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

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

1
1
15
2
0
19

5.3
5.3
78.9
10.5
0.0
100.0

5. Other (please specify)
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

63. Over the past three months, how has demand for funding of agency RMBS by your
institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
18
2
0
21

0.0
4.8
85.7
9.5
0.0
100.0

64. Over the past three months, how has demand for term funding with a maturity greater

than 30 days of agency RMBS by your institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
19
1
0
21

0.0
4.8
90.5
4.8
0.0
100.0

65. Over the past three months, how have liquidity and functioning in the agency RMBS
market changed?
Number of Respondents
Improved Considerably
Improved Somewhat
Remained Basically Unchanged
Deteriorated Somewhat
Deteriorated Considerably
Total

Percentage
0
0
17
4
0
21

0.0
0.0
81.0
19.0
0.0
100.0

Non-agency Residential Mortgage-Backed Securities
66. Over the past three months, how have the terms under which non-agency RMBS are
funded changed?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
14
2
0
16

0.0
0.0
87.5
12.5
0.0
100.0

2. Maximum maturity
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
15
1
0
16

0.0
0.0
93.8
6.3
0.0
100.0

3. Haircuts
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
1
13
2
0
16

0.0
6.3
81.3
12.5
0.0
100.0

4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
4
10
2
0
16

0.0
25.0
62.5
12.5
0.0
100.0

5. Other (please specify)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

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
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
14
2
0
16

0.0
0.0
87.5
12.5
0.0
100.0

2. Maximum maturity
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
15
1
0
16

0.0
0.0
93.8
6.3
0.0
100.0

3. Haircuts
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
14
2
0
16

0.0
0.0
87.5
12.5
0.0
100.0

4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably

Percentage
0
4
10
2
0

0.0
25.0
62.5
12.5
0.0

Number of Respondents
Total

16

Percentage
100.0

5. Other (please specify)
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

67. Over the past three months, how has demand for funding of non-agency RMBS by your
institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
15
0
0
17

0.0
11.8
88.2
0.0
0.0
100.0

68. Over the past three months, how has demand for term funding with a maturity greater
than 30 days of non-agency RMBS by your institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
3
14
0
0
17

0.0
17.6
82.4
0.0
0.0
100.0

69. Over the past three months, how have liquidity and functioning in the non-agency RMBS
market changed?
Number of Respondents
Improved Considerably
Improved Somewhat
Remained Basically Unchanged
Deteriorated Somewhat
Deteriorated Considerably
Total

Percentage
0
0
16
1
0
17

0.0
0.0
94.1
5.9
0.0
100.0

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

Percentage

Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
17
0
0
17

0.0
0.0
100.0
0.0
0.0
100.0

2. Maximum maturity
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
17
0
0
17

0.0
0.0
100.0
0.0
0.0
100.0

3. Haircuts
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
16
1
0
17

0.0
0.0
94.1
5.9
0.0
100.0

4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
3
13
1
0
17

0.0
17.6
76.5
5.9
0.0
100.0

5. Other (please specify)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
1
0
0
0
1

0.0
100.0
0.0
0.0
0.0
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
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
17
0
0
17

0.0
0.0
100.0
0.0
0.0
100.0

2. Maximum maturity
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
0
17
0
0
17

0.0
0.0
100.0
0.0
0.0
100.0

3. Haircuts
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
0
16
1
0
17

0.0
0.0
94.1
5.9
0.0
100.0

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

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
2
14
1
0
17

0.0
11.8
82.4
5.9
0.0
100.0

5. Other (please specify)
Number of Respondents

Percentage

Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
1
0
0
0
1

0.0
100.0
0.0
0.0
0.0
100.0

71. Over the past three months, how has demand for funding of CMBS by your institution's
clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
16
1
0
18

0.0
5.6
88.9
5.6
0.0
100.0

72. Over the past three months, how has demand for term funding with a maturity greater
than 30 days of CMBS by your institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged

Percentage
0
2
15

0.0
11.1
83.3

Number of Respondents
Decreased Somewhat
Decreased Considerably
Total

Percentage
1
0
18

5.6
0.0
100.0

73. Over the past three months, how have liquidity and functioning in the CMBS market
changed?
Number of Respondents
Improved Considerably
Improved Somewhat
Remained Basically Unchanged
Deteriorated Somewhat
Deteriorated Considerably
Total

Percentage
0
0
15
2
1
18

0.0
0.0
83.3
11.1
5.6
100.0

Consumer Asset-Backed Securities
74. Over the past three months, how have the terms under which consumer ABS (for
example, backed by credit card receivables or auto loans) are funded changed?
A. Terms for average clients
1. Maximum amount of funding
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
14
0
0
14

0.0
0.0
100.0
0.0
0.0
100.0

2. Maximum maturity
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
14
0
0
14

0.0
0.0
100.0
0.0
0.0
100.0

3. Haircuts
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
2
11
1
0
14

0.0
14.3
78.6
7.1
0.0
100.0

4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged

Percentage
1
2
10

7.1
14.3
71.4

Number of Respondents
Eased Somewhat
Eased Considerably
Total

Percentage
1
0
14

7.1
0.0
100.0

5. Other (please specify)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
0
0
0
0

0.0
0.0
0.0
0.0
0.0
0.0

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
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
14
0
0
14

0.0
0.0
100.0
0.0
0.0
100.0

2. Maximum maturity
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
14
0
0
14

0.0
0.0
100.0
0.0
0.0
100.0

3. Haircuts
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
0
0
13
1
0
14

0.0
0.0
92.9
7.1
0.0
100.0

4. Collateral spreads over relevant benchmark (effective financing rates)
Number of Respondents
Tightened Considerably
Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

Percentage
1
2
10
1
0
14

7.1
14.3
71.4
7.1
0.0
100.0

5. Other (please specify)
Number of Respondents
Tightened Considerably

Percentage
0

0.0

Number of Respondents

Percentage

Tightened Somewhat
Remained Basically Unchanged
Eased Somewhat
Eased Considerably
Total

0
0
0
0
0

0.0
0.0
0.0
0.0
0.0

75. Over the past three months, how has demand for funding of consumer ABS by your
institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
13
0
0
15

0.0
13.3
86.7
0.0
0.0
100.0

76. Over the past three months, how has demand for term funding with a maturity greater
than 30 days of consumer ABS by your institution's clients changed?
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
13
0
0
15

0.0
13.3
86.7
0.0
0.0
100.0

77. Over the past three months, how have liquidity and functioning in the consumer ABS
market changed?
Number of Respondents
Improved Considerably
Improved Somewhat
Remained Basically Unchanged
Deteriorated Somewhat
Deteriorated Considerably
Total

Percentage
0
0
13
1
1
15

0.0
0.0
86.7
6.7
6.7
100.0

Mark and Collateral Disputes
78. Over the past three months, how has the volume of mark and collateral disputes relating
to lending against each of the following collateral types changed?
A. High-grade corporate bonds
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
19
0
0
21

0.0
9.5
90.5
0.0
0.0
100.0

B. High-yield corporate bonds
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
17
0
0
19

0.0
10.5
89.5
0.0
0.0
100.0

C. Equities
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
3
17
0
0
20

0.0
15.0
85.0
0.0
0.0
100.0

D. Agency RMBS
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
19
0
0
21

0.0
9.5
90.5
0.0
0.0
100.0

E. Non-agency RMBS
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
13
0
0
15

0.0
13.3
86.7
0.0
0.0
100.0

F. CMBS
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
15
0
0
17

0.0
11.8
88.2
0.0
0.0
100.0

G. Consumer ABS
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
2
11
0
0
13

0.0
15.4
84.6
0.0
0.0
100.0

79. Over the past three months, how has the duration and persistence of mark and collateral

disputes relating to lending against each of the following collateral types changed?
A. High-grade corporate bonds
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
20
0
0
21

0.0
4.8
95.2
0.0
0.0
100.0

B. High-yield corporate bonds
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
18
0
0
19

0.0
5.3
94.7
0.0
0.0
100.0

C. Equities
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
19
0
0
20

0.0
5.0
95.0
0.0
0.0
100.0

D. Agency RMBS
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
20
0
0
21

0.0
4.8
95.2
0.0
0.0
100.0

E. Non-agency RMBS
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
14
0
0
15

0.0
6.7
93.3
0.0
0.0
100.0

F. CMBS
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
16
0
0
17

0.0
5.9
94.1
0.0
0.0
100.0

G. Consumer ABS
Number of Respondents
Increased Considerably
Increased Somewhat
Remained Basically Unchanged
Decreased Somewhat
Decreased Considerably
Total

Percentage
0
1
12
0
0
13

0.0
7.7
92.3
0.0
0.0
100.0

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.
80. Are there any other recent developments involving conditions and practices in any of the
markets addressed in this survey or applicable to the counterparty types listed in this survey
that you regard as particularly significant and which were not fully addressed in the prior
questions? Your response will help us stay abreast of emerging issues and in choosing
questions for future surveys. There is no need to reply to this question if there is nothing you
wish to add.
Number of Respondents
Free-Text Entry
Total

Percentage
1
1

100.0
100.0

Special Questions
The following questions ask about your assessment of liquidity changes in the U.S. Treasury
and agency RMBS markets since the beginning of January 2022.1 Questions 81 to 83
explore changes in market liquidity in the on-the-run Treasury market, and questions 84 to 86
in the off-the-run Treasury market. Question 87 asks about risks to Treasury market liquidity
going forward. Questions 88 to 91 explore liquidity in the to-be-announced (TBA) agency
RMBS market.

Liquidity Conditions in the U.S. Treasury and Agency Residential
Mortgage-Backed Securities Markets
81. Since January 2022, how has your assessment of the liquidity in the market for on-therun U.S. Treasury securities changed?
Number of Respondents
Improved Considerably
Improved Somewhat
Remained Basically Unchanged
Deteriorated Somewhat
Deteriorated Considerably
Total

Percentage
0
0
0
11
6
17

0.0
0.0
0.0
64.7
35.3
100.0

82. To the extent that liquidity in the market for on-the-run U.S. Treasury securities has
improved or deteriorated since January 2022 (as reflected in your response to question 81),

which liquidity indicators do you rely upon to make this assessment?
A. Possible indicators of an improvement of liquidity conditions
1. Depth of the limit order book
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Price impact
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Bid-ask spreads
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Trade volumes
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Ability to trade in size without delay
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Qualitative assessment of trading conditions based on trading desk information
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

B. Possible indicators of a deterioration of liquidity conditions
1. Depth of the limit order book
Number of Respondents

Percentage

Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
7
4
0
11

63.6
36.4
0.0
100.0

2. Price impact
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
3
6
2
11

27.3
54.5
18.2
100.0

3. Bid-ask spreads
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
6
0
4
10

60.0
0.0
40.0
100.0

4. Trade volumes
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
2
0
2

0.0
100.0
0.0
100.0

5. Ability to trade in size without delay
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
2
4
6

0.0
33.3
66.7
100.0

6. Qualitative assessment of trading conditions based on trading desk information
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
1
1
3
5

20.0
20.0
60.0
100.0

7. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
1
2
3

0.0
33.3
66.7
100.0

83. To the extent that liquidity in the market for on-the-run U.S. Treasury securities has
improved or deteriorated since January (as reflected in your response to question 81), how
important has each of the following possible reasons been for your assessment?
A. Possible reasons for an improvement
1. Decreased interest rate volatility
Number of Respondents

Percentage

Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. More balanced client order flow
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Improved financing conditions for market participants
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Increased availability of dealer balance sheets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Treasury markets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Increased willingness of proprietary trading firms (PTFs) to provide liquidity
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. Low Treasury issuance net of System Open Market Account (SOMA) purchases
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

8. Other (please specify)
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

B. Possible reasons for a deterioration

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

1. Increased interest rate volatility
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
14
3
0
17

82.4
17.6
0.0
100.0

2. More unbalanced client order flow
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
4
11
2
17

23.5
64.7
11.8
100.0

3. Weaker financing conditions for market participants
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
1
6
10
17

5.9
35.3
58.8
100.0

4. Diminished availability of dealer balance sheets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
3
10
4
17

17.6
58.8
23.5
100.0

5. Treasury markets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
4
9
4
17

23.5
52.9
23.5
100.0

6. Reduced willingness of proprietary trading firms (PTFs) to provide liquidity
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
4
9
4
17

23.5
52.9
23.5
100.0

7. Elevated Treasury issuance net of System Open Market Account (SOMA)
purchases
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
1
10
6
17

5.9
58.8
35.3
100.0

8. Other (please specify)
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
2
2

0.0
0.0
100.0
100.0

84. Since January 2022, how has your assessment of the liquidity in the market for off-therun U.S. Treasury securities changed?
Number of Respondents
Improved Considerably
Improved Somewhat
Remained Basically Unchanged
Deteriorated Somewhat
Deteriorated Considerably
Total

Percentage
0
0
5
9
8
22

0.0
0.0
22.7
40.9
36.4
100.0

85. To the extent that liquidity in the market for off-the-run U.S. Treasury securities has
improved or deteriorated since January 2022 (as reflected in your response to question 84),
which liquidity indicators do you rely upon to make this assessment?
A. Possible indicators of an improvement of liquidity conditions
1. Dealer quoting activity
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Price impact
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Bid-ask spreads
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Trade volumes
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Ability to trade in size without delay
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Qualitative assessment of trading conditions based on trading desk information
Number of Respondents
Most Important

Percentage
0

0.0

Number of Respondents
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0

0.0
0.0
0.0

7. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

B. Possible indicators of a deterioration of liquidity conditions
1. Dealer quoting activity
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
2
1
3
6

33.3
16.7
50.0
100.0

2. Price impact
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
7
4
3
14

50.0
28.6
21.4
100.0

3. Bid-ask spreads
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
6
4
2
12

50.0
33.3
16.7
100.0

4. Trade volumes
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
5
0
5

0.0
100.0
0.0
100.0

5. Ability to trade in size without delay
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
1
1
2
4

25.0
25.0
50.0
100.0

6. Qualitative assessment of trading conditions based on trading desk information
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

7. Other (please specify)

Percentage
1
0
3
4

25.0
0.0
75.0
100.0

Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

86. To the extent that liquidity in the market for off-the-run U.S. Treasury securities has
improved or deteriorated since January (as reflected in your response to question 84), how
important has each of the following possible reasons been for your assessment?
A. Possible reasons for an improvement
1. Decreased interest rate volatility
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. More balanced client order flow
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Improved financing conditions for market participants
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Increased availability of dealer balance sheets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Treasury markets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Low Treasury issuance net of SOMA purchases
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. Other (please specify)
Number of Respondents

Percentage

Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

B. Possible reasons for a deterioration
1. Increased interest rate volatility
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
14
3
0
17

82.4
17.6
0.0
100.0

2. More unbalanced client order flow
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
9
7
1
17

52.9
41.2
5.9
100.0

3. Weaker financing conditions for market participants
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
2
7
8
17

11.8
41.2
47.1
100.0

4. Diminished availability of dealer balance sheets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
7
7
3
17

41.2
41.2
17.6
100.0

5. Treasury markets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
6
7
4
17

35.3
41.2
23.5
100.0

6. Elevated Treasury issuance net of SOMA purchases
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
1
11
5
17

5.9
64.7
29.4
100.0

7. Other (please specify)
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
2
2

0.0
0.0
100.0
100.0

87. Looking ahead, what do you see as the main risks to Treasury market liquidity over the
remainder of 2022? (Please select no more than three risks, indicating the most important by
selecting the radio button in the first column, the next most important by selecting the radio
button in the second column, and so on.)
A. High Treasury issuance
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
1
2
1
4

25.0
50.0
25.0
100.0

B. Federal Reserve's balance sheet reductions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
10
4
2
16

62.5
25.0
12.5
100.0

C. Elevated interest rate volatility
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
8
10
4
22

36.4
45.5
18.2
100.0

D. Deterioration in financing conditions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
1
1
3
5

20.0
20.0
60.0
100.0

E. Reduced willingness of dealers to intermediate UST markets
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
1
1
5
7

14.3
14.3
71.4
100.0

F. Diminished availability of dealer balance sheets
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
1
1
2
4

25.0
25.0
50.0
100.0

G. Reduced willingness of PTFs to provide liquidity
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

H. Other (please specify)

Percentage
0
2
1
3

0.0
66.7
33.3
100.0

Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

88. Since January 2022, how has your assessment of the liquidity in the market for TBA
agency RMBS changed?
Number of Respondents
Improved Considerably
Improved Somewhat
Remained Basically Unchanged
Deteriorated Somewhat
Deteriorated Considerably
Total

Percentage
0
0
7
6
3
16

0.0
0.0
43.8
37.5
18.8
100.0

89. To the extent that liquidity in the market for TBA agency RMBS has improved or
deteriorated since January 2022 (as reflected in your response to question 88), which
liquidity indicators did you use to make this assessment?
A. Possible indicators of an improvement of liquidity conditions
1. Dealer quoting activity
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. Price impact
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Bid-ask spreads
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Trade volumes
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Ability to trade in size without delay
Number of Respondents
Most Important
2nd Most Important

Percentage
0
0

0.0
0.0

Number of Respondents
3rd Most Important
Total

Percentage
0
0

0.0
0.0

6. Qualitative assessment of trading conditions based on trading desk information
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

1
0
0
1

Percentage
100.0
0.0
0.0
100.0

B. Possible indicators of a deterioration of liquidity conditions
1. Dealer quoting activity
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

2. Price impact
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
4
2
1
7

57.1
28.6
14.3
100.0

3. Bid-ask spreads
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
2
4
1
7

28.6
57.1
14.3
100.0

4. Trade volumes
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
1
1
1
3

33.3
33.3
33.3
100.0

5. Ability to trade in size without delay
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
0
3
3

0.0
0.0
100.0
100.0

6. Qualitative assessment of trading conditions based on trading desk information
Number of Respondents

Percentage

Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
1
1
2
4

25.0
25.0
50.0
100.0

7. Other (please specify)
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
1
0
1

0.0
100.0
0.0
100.0

90. To the extent that liquidity in the market for TBA agency RMBS has improved or
deteriorated since January (as reflected in your responses to questions 88), how important
has been each of the following possible reasons been for your assessment?
A. Possible reasons for an improvement
1. Decreased interest rate volatility
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

2. More balanced client order flow
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

3. Improved financing conditions for market participants
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

4. Increased availability of dealer balance sheets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

5. Increased willingness of dealers to take risk in agency RMBS markets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

6. Low agency RMBS issuance net of SOMA purchases
Number of Respondents

Percentage

Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

7. Other (please specify)
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
0
0
0

0.0
0.0
0.0
0.0

B. Possible reasons for a deterioration
1. Increased interest rate volatility
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
8
1
0
9

88.9
11.1
0.0
100.0

2. More unbalanced client order flow
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
4
2
3
9

44.4
22.2
33.3
100.0

3. Weaker financing conditions for market participants
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
2
7
9

0.0
22.2
77.8
100.0

4. Diminished availability of dealer balance sheets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
6
3
9

0.0
66.7
33.3
100.0

5. Reduced willingness of dealers to take risk in agency RMBS markets
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
9
0
9

0.0
100.0
0.0
100.0

6. Elevated RMBS issuance net of SOMA purchases
Number of Respondents
Very Important
Somewhat Important
Not Important
Total

Percentage
0
3
6
9

0.0
33.3
66.7
100.0

7. Other (please specify)
Number of Respondents

Percentage

Very Important
Somewhat Important
Not Important
Total

3
1
0
4

75.0
25.0
0.0
100.0

91. Looking ahead, what do you see as the main risks to agency RMBS market liquidity over
the remainder of 2022? (Please select no more than three risks, indicating the most
important by selecting the radio button in the first column, the next most important by
selecting the radio button in the second column, and so on.)
A. High agency RMBS issuance
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
1
0
0
1

100.0
0.0
0.0
100.0

B. Federal Reserve's balance sheet reductions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
5
7
1
13

38.5
53.8
7.7
100.0

C. Elevated interest rate volatility
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
9
4
2
15

60.0
26.7
13.3
100.0

D. Deterioration in financing conditions
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
2
2
4
8

25.0
25.0
50.0
100.0

E. Reduced willingness of dealers to intermediate RMBS markets
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Percentage
0
1
1
2

0.0
50.0
50.0
100.0

F. Diminished availability of dealer balance sheets
Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

G. Other (please specify)

Percentage
1
1
2
4

25.0
25.0
50.0
100.0

Number of Respondents
Most Important
2nd Most Important
3rd Most Important
Total

Last Update: June 23, 2022

Percentage
2
1
0
3

66.7
33.3
0.0
100.0