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Summary

The September 2017 Senior Credit Officer Opinion Survey on Dealer Financing Terms collected qualitative information on changes over the previous three months in credit terms and conditions in securities financing and over-the-counter (OTC) derivatives markets. The 23 institutions participating in the survey account for almost all dealer financing of dollar-denominated securities to nondealers and are the most active intermediaries in OTC derivatives markets. The survey was conducted during the period between August 14, 2017, and August 29, 2017. The core questions asked about changes between June 2017 and August 2017.¹

Core Questions
(Questions 1-79)²

Responses to the core questions in the September survey offered a few insights regarding recent developments in dealer-intermediated markets. 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:

• About one-sixth of respondents reported an easing in price terms for their hedge fund and trading real estate investment trust, or REIT, clients (see the exhibit Management of Concentrated Credit Exposures and Indicators of Supply of Credit). Among the dealers that indicated easing of terms, more aggressive competition from other institutions was cited as the most important reason. Price and nonprice terms were basically unchanged for all other classes of counterparties.
• About one-fifth of dealers noted an increase in the intensity of efforts by hedge fund and nonfinancial corporation clients to negotiate more favorable terms. A smaller fraction of respondents reported that the provision of differential terms to most-favored hedge fund clients had increased somewhat over the past three months.
• A small fraction of dealers reported a decrease in the duration and persistence of mark and collateral disputes with mutual funds, exchange-traded funds, pension plans, and endowments.

With respect to the use of financial leverage, about one-sixth of dealers, on net, reported an increase in the use of financial leverage by hedge funds over the past three months (see the exhibit Use of Financial Leverage). Use of financial leverage by other classes of counterparties was basically unchanged.

With regard to OTC derivatives markets, dealers reported the following:

• Initial margin requirements on OTC derivatives were basically unchanged, on net, for average and most-favored clients.
• Small fractions of dealers reported that the duration and persistence of mark and collateral disputes have decreased on OTC derivatives contracts referencing foreign exchange and interest rates. The volume of mark and collateral disputes was basically unchanged for each contract type.

With respect to securities financing transactions, respondents indicated the following:

• About one-fifth of dealers, on net, noted a decrease over the past three months in financing rates (collateral spreads over the relevant benchmarks) for average clients in equities and for preferred clients in agency residential mortgage-backed securities and commercial mortgage-backed securities. A small net fraction of respondents reported a decrease in financing rates for preferred clients in equities.
• Across all asset classes, dealers reported that maximum amounts of funding, maximum maturity, and haircuts were basically unchanged. Respondents also indicated little change in demand for funding and for term funding with a maturity greater than 30 days (see the exhibit Measures of Demand for Funding and Market Functioning).
• Dealers reported that the liquidity and market functioning for each asset class was basically unchanged over the past three months.

Special Questions on Client Trading in Equity Volatility Products
(Questions 81–89)

Volatility in equity markets, whether measured in realized returns or implied in option prices, has been near historically low levels since the beginning of 2017. In the special questions for the survey this quarter, dealers were asked about the current exposure to equity volatility and changes in such exposure by different classes of investors, and the means by which different classes of investors take positions in equity volatility. Position-taking can assume the form of volatility strategies constructed from equity options that are exposed to changes in market volatility but neutral with respect to changes in equity prices (for example, straddles), or it can utilize volatility products, such as futures and options on the Chicago Board Options Exchange Volatility Index (VIX), volatility-linked exchange-traded funds and notes (hereafter exchange-traded products, or ETPs), and variance swaps.

Dealers were asked to characterize the current use of volatility strategies and products by clients. Responses indicated significant use across most client classes, most notably by hedge fund clients.

• For hedge fund clients, about three-fourths of respondents reported that volatility strategies and products are either widely employed by a large number of clients or employed by some clients or in some situations. Within this group of respondents, nearly one-third reported that these strategies and products were widely employed.
• For ETPs and insurance companies, about two-fifths of respondents reported that volatility strategies and products are either widely employed or employed by some clients or in some situations.
• With regard to mutual funds and pension plans and endowments, about one-third of respondents reported that volatility strategies and products were employed by some clients or in some situations.
• Smaller fractions of respondents reported active use of volatility strategies and products by separately managed accounts established with investment advisers and by nonfinancial corporations. Even for these clients, however, roughly two-fifths of respondents noted that these strategies and products were used at least by a few clients or in a few situations.

Dealers were also asked to characterize the change in use of volatility strategies and products relative to September 2015. Only small net fractions of respondents reported increased use of volatility strategies and products by ETPs and mutual funds. For all other client types, respondents indicated that the use of volatility strategies and products remained basically unchanged.

A set of questions asked about the instruments used by clients to take positions with respect to equity volatility. For each of four classes of clients, respondents were asked to rank up to three instrument types by client usage.

• For hedge fund clients, about two-thirds of respondents pointed to exchange-traded equity options as the most heavily used instrument, and nearly all respondents ranked VIX futures and options as an important instrument. Over one-half of respondents ranked OTC equity options as important, and about one-third of respondents cited variance swaps and volatility swaps as heavily used instruments.
• For ETPs, about three-fourths of respondents pointed to exchange-traded equity options as the most heavily used instrument. Nearly all respondents ranked either VIX futures and options or OTC equity options as the second most important.
• For pension plans and endowment clients, about one-half of respondents ranked exchange-traded equity options as the most heavily used instrument. OTC equity options and VIX futures and options were cited as important instruments by about four-fifths and one-half of respondents, respectively.
• For insurance companies, respondents most frequently pointed to OTC equity options as the most heavily used instrument type. About four-fifths of respondents ranked these instruments either first or second in importance. Roughly one-half of respondents cited exchange-traded equity options, VIX futures and options, and variance swaps and volatility swaps as heavily used instruments.

Dealers were asked to assess how clients were positioned for a sustained increase in equity volatility. For ETPs and insurance companies, over one-third of respondents, on net, indicated either that most clients are net long (that is, taking positions that rise in value when volatility rises) or that more clients are net long than net short. For hedge funds, mutual funds, and separately managed accounts established with investment advisers, roughly one-fourth of respondents, on net, indicated either that most clients are net long or that more clients are net long than net short.

With regard to changes in net positioning relative to September 2015, a net fraction of about one-fifth of respondents reported that mutual fund clients are more likely to have increased short positions or decreased long positions or both than the reverse. For other classes of clients, most respondents indicated either no significant change in volatility exposure or that the shares of clients that have increased long positions or decreased short positions or both are roughly equal to the shares that have increased short positions or decreased long positions or both. Among respondents that indicated a directional change in volatility exposure, those reporting that more clients have increased long positions or decreased short positions or both were roughly equal in number to those reporting that more clients have increased short positions or decreased long positions or both.

Finally, dealers were queried on the factors most important in managing counterparty exposure to clients that are short equity volatility. Nearly all respondents identified the collection of initial and variation margin as the most important control. Limits on long–short gross notional exposure and client net financing balances held in prime brokerage accounts were each cited as important by nearly one-half of respondents.

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

1. For questions that ask about credit terms, reported net percentages equal the percentage of institutions that reported tightening terms (“tightened considerably” or “tightened somewhat”) minus the percentage of institutions that reported easing terms (“eased considerably” or “eased somewhat”). For questions that ask about demand, reported net fractions equal the percentage of institutions that reported increased demand (“increased considerably” or “increased somewhat”) minus the percentage of institutions that reported decreased demand (“decreased considerably” or “decreased somewhat”). Return to text

2. 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 of Funding and Market Functioning

 

Accessible version

 

Results of the September 2017 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?

Central Counterparties and Other Financial Utilities

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

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?

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?

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?

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

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	1	100.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	0	0.0%
      3rd Most Important	1	100.0%
      Total	1	100.0%

      
      
   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   8. Other (please specify)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

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

      	Number of Respondents	Percent
      Most Important	1	50.0%
      2nd Most Important	0	0.0%
      3rd Most Important	1	50.0%
      Total	2	100.0%

      
      
   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	1	100.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	4	80.0%
      2nd Most Important	0	0.0%
      3rd Most Important	1	20.0%
      Total	5	100.0%

      
      
   8. Other (please specify)

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	1	100.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      

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

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?

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?

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

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?

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?

13. To the extent that the price or nonprice terms applied to trading REITs have tightened or eased over the past three months (as reflected in your responses to questions 11 and 12), what are the most important reasons for the change?

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	1	100.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	0	0.0%
      3rd Most Important	1	100.0%
      Total	1	100.0%

      
      
   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   8. Other (please specify)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

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

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	3	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	3	100.0%

      
      
   8. Other

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      

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

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?

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?

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?

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?

19. To the extent that the price or nonprice terms applied to mutual funds, ETFs, pension plans, and endowments have tightened or eased over the past three months (as reflected in your responses to questions 17 and 18) what are the most important reasons for the change?

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	2	100.0%
      3rd Most Important	0	0.0%
      Total	2	100.0%

      
      
   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	0	0.0%
      3rd Most Important	2	100.0%
      Total	2	100.0%

      
      
   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   8. Other

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

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

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	0	0.0%
      3rd Most Important	1	100.0%
      Total	1	100.0%

      
      
   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	2	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	2	100.0%

      
      
   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	1	100.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   8. Other

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      

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

21. Considering the entire range of transactions facilitated by your institution, how has the use of financial leverage by each of the following types of clients changed over the past three months?

1. Mutual funds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	4.5%
   Remained Basically Unchanged	21	95.5%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	22	100.0%

   
   
2. ETFs

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	22	100.0%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	22	100.0%

   
   
3. Pension plans

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	22	100.0%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	22	100.0%

   
   
4. Endowments

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	21	100.0%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	21	100.0%

   
   

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?

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?

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?

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

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	1	100.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	2	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	2	100.0%

      
      
   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	0	0.0%
      3rd Most Important	1	100.0%
      Total	1	100.0%

      
      
   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   8. Other

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

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

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   8. Other

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      

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

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?

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?

Separately Managed Accounts Established with Investment Advisers

29. Over the past three months, how have the price terms (for example, financing rates) offered to separately managed accounts established with investment advisers as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms?

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?

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

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	1	100.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	0	0.0%
      3rd Most Important	1	100.0%
      Total	1	100.0%

      
      
   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   8. Other

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

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

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   8. Other

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      

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

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?

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?

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?

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?

37. To the extent that the price or nonprice terms applied to nonfinancial corporations have tightened or eased over the past three months (as reflected in your responses to questions 35 and 36) what are the most important reasons for the change?

1. Possible reasons for tightening
   1. Deterioration in current or expected financial strength of counterparties

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   2. Reduced willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	1	100.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   4. Higher internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	0	0.0%
      3rd Most Important	1	100.0%
      Total	1	100.0%

      
      
   5. Diminished availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   6. Worsening in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   7. Less-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   8. Other

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

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

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   2. Increased willingness of your institution to take on risk

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)

      	Number of Respondents	Percent
      Most Important	1	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   4. Lower internal treasury charges for funding

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   5. Increased availability of balance sheet or capital at your institution

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      
   6. Improvement in general market liquidity and functioning

      	Number of Respondents	Percent
      Most Important	0	0.0%
      2nd Most Important	1	100.0%
      3rd Most Important	0	0.0%
      Total	1	100.0%

      
      
   7. More-aggressive competition from other institutions

      	Number of Respondents	Percent
      Most Important	3	100.0%
      2nd Most Important	0	0.0%
      3rd Most Important	0	0.0%
      Total	3	100.0%

      
      
   8. Other

      	Number of Respondents	Percent
      Most Important	0	Undefined
      2nd Most Important	0	Undefined
      3rd Most Important	0	Undefined
      Total	0	Undefined

      
      

38. How has the intensity of efforts by nonfinancial corporations to negotiate more-favorable price and nonprice terms changed over the past three months?

Mark and Collateral Disputes

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

1. Dealers and other financial intermediaries

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	2	9.1%
   Remained Basically Unchanged	18	81.8%
   Decreased Somewhat	1	4.5%
   Decreased Considerably	1	4.5%
   Total	22	100.0%

   
   
2. Hedge funds

   	Number of Respondents	Percent
   Increased Considerably	1	4.5%
   Increased Somewhat	1	4.5%
   Remained Basically Unchanged	20	90.9%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	22	100.0%

   
   
3. Trading REITs

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.3%
   Remained Basically Unchanged	18	94.7%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

   
   
4. Mutual funds, ETFs, pension plans, and endowments

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	2	9.5%
   Remained Basically Unchanged	19	90.5%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	21	100.0%

   
   
5. Insurance companies

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	4.8%
   Remained Basically Unchanged	18	85.7%
   Decreased Somewhat	1	4.8%
   Decreased Considerably	1	4.8%
   Total	21	100.0%

   
   
6. Separately managed accounts established with investment advisers

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	2	9.5%
   Remained Basically Unchanged	19	90.5%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	21	100.0%

   
   
7. Nonfinancial corporations

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.3%
   Remained Basically Unchanged	17	89.5%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	1	5.3%
   Total	19	100.0%

   
   

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

1. Dealers and other financial intermediaries

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	21	95.5%
   Decreased Somewhat	1	4.5%
   Decreased Considerably	0	0.0%
   Total	22	100.0%

   
   
2. Hedge funds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	4.5%
   Remained Basically Unchanged	20	90.9%
   Decreased Somewhat	1	4.5%
   Decreased Considerably	0	0.0%
   Total	22	100.0%

   
   
3. Trading REITs

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	18	94.7%
   Decreased Somewhat	1	5.3%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

   
   
4. Mutual funds, ETFs, pension plans, and endowments

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	18	85.7%
   Decreased Somewhat	3	14.3%
   Decreased Considerably	0	0.0%
   Total	21	100.0%

   
   
5. Insurance companies

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	4.8%
   Remained Basically Unchanged	19	90.5%
   Decreased Somewhat	1	4.8%
   Decreased Considerably	0	0.0%
   Total	21	100.0%

   
   
6. Separately managed accounts established with investment advisers

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	2	9.5%
   Remained Basically Unchanged	18	85.7%
   Decreased Somewhat	1	4.8%
   Decreased Considerably	0	0.0%
   Total	21	100.0%

   
   
7. Nonfinancial corporations

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	17	89.5%
   Decreased Somewhat	2	10.5%
   Decreased Considerably	0	0.0%
   Total	19	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 derivatives contracts. Questions 50 and 51 focus on mark and collateral disputes involving contracts of each of the aforementioned types.

If your institution’s terms have tightened or eased over the past three months, please so report them regardless of how they stand relative to longer-term norms. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other currencies, please explain in the appropriate comment space.

New and Renegotiated Master Agreements

41. Over the past three months, how have nonprice terms incorporated in new or renegotiated OTC derivatives master agreements put in place with your institution's client changed?

1. Requirements, timelines, and thresholds for posting additional margin

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0%
   Tightened Somewhat	0	0.0%
   Remained Basically Unchanged	20	100.0%
   Eased Somewhat	0	0.0%
   Eased Considerably	0	0.0%
   Total	20	100.0%

   
   
2. Acceptable collateral

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0%
   Tightened Somewhat	1	4.8%
   Remained Basically Unchanged	18	85.7%
   Eased Somewhat	2	9.5%
   Eased Considerably	0	0.0%
   Total	21	100.0%

   
   
3. Recognition of portfolio or diversification benefits (including from securities financing trades where appropriate agreements are in place)

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0%
   Tightened Somewhat	0	0.0%
   Remained Basically Unchanged	19	100.0%
   Eased Somewhat	0	0.0%
   Eased Considerably	0	0.0%
   Total	19	100.0%

   
   
4. Triggers and covenants

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0%
   Tightened Somewhat	0	0.0%
   Remained Basically Unchanged	19	95.0%
   Eased Somewhat	1	5.0%
   Eased Considerably	0	0.0%
   Total	20	100.0%

   
   
5. Other documentation features (including cure periods and cross-default provisions)

   	Number of Respondents	Percent
   Tightened Considerably	0	0.0%
   Tightened Somewhat	0	0.0%
   Remained Basically Unchanged	20	100.0%
   Eased Somewhat	0	0.0%
   Eased Considerably	0	0.0%
   Total	20	100.0%

   
   
6. Other

   	Number of Respondents	Percent
   Increased Considerably	0	Undefined
   Increased Somewhat	0	Undefined
   Remained Basically Unchanged	0	Undefined
   Decreased Somewhat	0	Undefined
   Decreased Considerably	0	Undefined
   Total	0	Undefined

   
   

Initial Margin

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   1. Increased considerably	1	4.3%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	18	78.3%
   4. Decreased somewhat	0	0.0%
   5. Decreased considerably	0	0.0%
   6. Not applicable	4	17.4%
   Total	23	100.0%

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

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	19	82.6%
   4. Decreased somewhat	0	0.0%
   5. Decreased considerably	0	0.0%
   6. Not applicable	4	17.4%
   Total	23	100.0%

   
   

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	19	82.6%
   4. Decreased somewhat	0	0.0%
   5. Decreased considerably	1	4.3%
   6. Not applicable	3	13.0%
   Total	23	100.0%

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

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	19	82.6%
   4. Decreased somewhat	1	4.3%
   5. Decreased considerably	0	0.0%
   6. Not applicable	3	13.0%
   Total	23	100.0%

   
   

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	19	82.6%
   4. Decreased somewhat	0	0.0%
   5. Decreased considerably	0	0.0%
   6. Not applicable	4	17.4%
   Total	23	100.0%

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

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	18	78.3%
   4. Decreased somewhat	1	4.3%
   5. Decreased considerably	0	0.0%
   6. Not applicable	4	17.4%
   Total	23	100.0%

   
   

45. Over the past three months, how have initial margin requirements set by your institution with respect to OTC credit derivatives referencing corporates (single-name corporates or corporate indexes) changed?

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	19	82.6%
   4. Decreased somewhat	0	0.0%
   5. Decreased considerably	0	0.0%
   6. Not applicable	4	17.4%
   Total	23	100.0%

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

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	19	82.6%
   4. Decreased somewhat	0	0.0%
   5. Decreased considerably	0	0.0%
   6. Not applicable	4	17.4%
   Total	23	100.0%

   
   

46. Over the past three months, how have initial margin requirements set by your institution with respect to OTC credit derivatives referencing securitized products (such as specific ABS or MBS tranches and associated indexes) changed?

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	15	65.2%
   4. Decreased somewhat	0	0.0%
   5. Decreased considerably	0	0.0%
   6. Not applicable	8	34.8%
   Total	23	100.0%

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

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	16	69.6%
   4. Decreased somewhat	0	0.0%
   5. Decreased considerably	0	0.0%
   6. Not applicable	7	30.4%
   Total	23	100.0%

   
   

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

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   1. Increased considerably	1	4.3%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	14	60.9%
   4. Decreased somewhat	0	0.0%
   5. Decreased considerably	0	0.0%
   6. Not applicable	8	34.8%
   Total	23	100.0%

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

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	15	65.2%
   4. Decreased somewhat	0	0.0%
   5. Decreased considerably	0	0.0%
   6. Not applicable	8	34.8%
   Total	23	100.0%

   
   

48. Over the past three months, how have initial margin requirements set by your institution with respect to TRS referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans) changed?

1. Initial margin requirements for average clients

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	16	69.6%
   4. Decreased somewhat	1	4.3%
   5. Decreased considerably	0	0.0%
   6. Not applicable	6	26.1%
   Total	23	100.0%

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

   	Number of Respondents	Percent
   1. Increased considerably	0	0.0%
   2. Increased somewhat	0	0.0%
   3. Remained basically unchanged	16	69.6%
   4. Decreased somewhat	1	4.3%
   5. Decreased considerably	0	0.0%
   6. Not applicable	6	26.1%
   Total	23	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?

Mark and Collateral Disputes

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

1. FX

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.6%
   Remained Basically Unchanged	15	83.3%
   Decreased Somewhat	2	11.1%
   Decreased Considerably	0	0.0%
   Total	18	100.0%

   
   
2. Interest rate

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.3%
   Remained Basically Unchanged	16	84.2%
   Decreased Somewhat	1	5.3%
   Decreased Considerably	1	5.3%
   Total	19	100.0%

   
   
3. Equity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	2	11.1%
   Remained Basically Unchanged	15	83.3%
   Decreased Somewhat	1	5.6%
   Decreased Considerably	0	0.0%
   Total	18	100.0%

   
   
4. Credit referencing corporates

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.9%
   Remained Basically Unchanged	16	94.1%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	17	100.0%

   
   
5. Credit referencing securitized products including MBS and ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	7.1%
   Remained Basically Unchanged	13	92.9%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	14	100.0%

   
   
6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	6.7%
   Remained Basically Unchanged	14	93.3%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	15	100.0%

   
   
7. TRS referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans)

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	7.1%
   Remained Basically Unchanged	13	92.9%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	14	100.0%

   
   

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

1. FX

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	15	83.3%
   Decreased Somewhat	3	16.7%
   Decreased Considerably	0	0.0%
   Total	18	100.0%

   
   
2. Interest rate

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	16	84.2%
   Decreased Somewhat	3	15.8%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

   
   
3. Equity

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	17	89.5%
   Decreased Somewhat	2	10.5%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

   
   
4. Credit referencing corporates

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	15	88.2%
   Decreased Somewhat	2	11.8%
   Decreased Considerably	0	0.0%
   Total	17	100.0%

   
   
5. Credit referencing securitized products including MBS and ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	7.1%
   Remained Basically Unchanged	12	85.7%
   Decreased Somewhat	1	7.1%
   Decreased Considerably	0	0.0%
   Total	14	100.0%

   
   
6. Commodity

   	Number of Respondents	Percent
   Increased Considerably	1	6.7%
   Increased Somewhat	1	6.7%
   Remained Basically Unchanged	12	80.0%
   Decreased Somewhat	1	6.7%
   Decreased Considerably	0	0.0%
   Total	15	100.0%

   
   
7. TRS referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans)

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	13	92.9%
   Decreased Somewhat	1	7.1%
   Decreased Considerably	0	0.0%
   Total	14	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?

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	22	100.0%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	22	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	22	100.0%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	22	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	21	95.5%
      Eased Somewhat	1	4.5%
      Eased Considerably	0	0.0%
      Total	22	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.5%
      Remained Basically Unchanged	20	90.9%
      Eased Somewhat	1	4.5%
      Eased Considerably	0	0.0%
      Total	22	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      
2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	20	95.2%
      Eased Somewhat	1	4.8%
      Eased Considerably	0	0.0%
      Total	21	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	20	95.2%
      Eased Somewhat	1	4.8%
      Eased Considerably	0	0.0%
      Total	21	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	20	95.2%
      Eased Somewhat	1	4.8%
      Eased Considerably	0	0.0%
      Total	21	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.8%
      Remained Basically Unchanged	19	90.5%
      Eased Somewhat	1	4.8%
      Eased Considerably	0	0.0%
      Total	21	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      

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

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?

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

High-Yield Corporate Bonds

56. Over the past three months, how have the terms under which high-yield corporate bonds are funded changed?

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	19	100.0%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	19	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	19	100.0%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	19	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	18	94.7%
      Eased Somewhat	1	5.3%
      Eased Considerably	0	0.0%
      Total	19	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	5.3%
      Remained Basically Unchanged	16	84.2%
      Eased Somewhat	2	10.5%
      Eased Considerably	0	0.0%
      Total	19	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      
2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	18	94.7%
      Eased Somewhat	1	5.3%
      Eased Considerably	0	0.0%
      Total	19	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	18	94.7%
      Eased Somewhat	1	5.3%
      Eased Considerably	0	0.0%
      Total	19	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	18	94.7%
      Eased Somewhat	1	5.3%
      Eased Considerably	0	0.0%
      Total	19	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	5.3%
      Remained Basically Unchanged	16	84.2%
      Eased Somewhat	2	10.5%
      Eased Considerably	0	0.0%
      Total	19	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      

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

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?

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

Equities (Including through Stock Loan)

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

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.8%
      Remained Basically Unchanged	18	85.7%
      Eased Somewhat	2	9.5%
      Eased Considerably	0	0.0%
      Total	21	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.8%
      Remained Basically Unchanged	20	95.2%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	21	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.8%
      Remained Basically Unchanged	19	90.5%
      Eased Somewhat	1	4.8%
      Eased Considerably	0	0.0%
      Total	21	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	17	81.0%
      Eased Somewhat	4	19.0%
      Eased Considerably	0	0.0%
      Total	21	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      
2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.8%
      Remained Basically Unchanged	18	85.7%
      Eased Somewhat	2	9.5%
      Eased Considerably	0	0.0%
      Total	21	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.8%
      Remained Basically Unchanged	20	95.2%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	21	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.8%
      Remained Basically Unchanged	19	90.5%
      Eased Somewhat	1	4.8%
      Eased Considerably	0	0.0%
      Total	21	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	4.8%
      Remained Basically Unchanged	16	76.2%
      Eased Somewhat	4	19.0%
      Eased Considerably	0	0.0%
      Total	21	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      

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

Agency Residential Mortgage-Backed Securities

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

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	20	100.0%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	20	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	19	95.0%
      Eased Somewhat	1	5.0%
      Eased Considerably	0	0.0%
      Total	20	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	20	100.0%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	20	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	18	90.0%
      Eased Somewhat	2	10.0%
      Eased Considerably	0	0.0%
      Total	20	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      
2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	19	95.0%
      Eased Somewhat	1	5.0%
      Eased Considerably	0	0.0%
      Total	20	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	18	90.0%
      Eased Somewhat	2	10.0%
      Eased Considerably	0	0.0%
      Total	20	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	19	95.0%
      Eased Somewhat	1	5.0%
      Eased Considerably	0	0.0%
      Total	20	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	16	80.0%
      Eased Somewhat	4	20.0%
      Eased Considerably	0	0.0%
      Total	20	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      

63. Over the past three months, how has demand for funding of agency RMBS by your institution's clients changed?

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?

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

Non-Agency Residential Mortgage-Backed Securities

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

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	15	93.8%
      Eased Somewhat	1	6.3%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	6.3%
      Remained Basically Unchanged	15	93.8%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	6.3%
      Remained Basically Unchanged	12	75.0%
      Eased Somewhat	3	18.8%
      Eased Considerably	0	0.0%
      Total	16	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	6.3%
      Remained Basically Unchanged	12	75.0%
      Eased Somewhat	3	18.8%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      
2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	6.3%
      Remained Basically Unchanged	12	75.0%
      Eased Somewhat	3	18.8%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	2	12.5%
      Remained Basically Unchanged	14	87.5%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	2	12.5%
      Remained Basically Unchanged	10	62.5%
      Eased Somewhat	4	25.0%
      Eased Considerably	0	0.0%
      Total	16	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	2	12.5%
      Remained Basically Unchanged	10	62.5%
      Eased Somewhat	4	25.0%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      

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

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?

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

Commercial Mortgage-Backed Securities

70. Over the past three months, how have the terms under which CMBS are funded changed?

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	16	100.0%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	6.3%
      Remained Basically Unchanged	15	93.8%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	6.3%
      Remained Basically Unchanged	13	81.3%
      Eased Somewhat	2	12.5%
      Eased Considerably	0	0.0%
      Total	16	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	6.3%
      Remained Basically Unchanged	12	75.0%
      Eased Somewhat	3	18.8%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      
2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	15	93.8%
      Eased Somewhat	1	6.3%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	6.3%
      Remained Basically Unchanged	15	93.8%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	6.3%
      Remained Basically Unchanged	13	81.3%
      Eased Somewhat	2	12.5%
      Eased Considerably	0	0.0%
      Total	16	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	6.3%
      Remained Basically Unchanged	11	68.8%
      Eased Somewhat	4	25.0%
      Eased Considerably	0	0.0%
      Total	16	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      

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

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?

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

Consumer Asset-Backed Securities

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

1. Terms for average clients
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	13	100.0%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	13	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	7.7%
      Remained Basically Unchanged	12	92.3%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	13	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	7.7%
      Remained Basically Unchanged	10	76.9%
      Eased Somewhat	2	15.4%
      Eased Considerably	0	0.0%
      Total	13	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	7.7%
      Remained Basically Unchanged	10	76.9%
      Eased Somewhat	2	15.4%
      Eased Considerably	0	0.0%
      Total	13	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      
2. Terms for most-favored clients, as a consequence of breadth, duration and/or extent of relationship
   1. Maximum amount of funding

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	0	0.0%
      Remained Basically Unchanged	14	100.0%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	14	100.0%

      
      
   2. Maximum maturity

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	7.1%
      Remained Basically Unchanged	13	92.9%
      Eased Somewhat	0	0.0%
      Eased Considerably	0	0.0%
      Total	14	100.0%

      
      
   3. Haircuts

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	7.1%
      Remained Basically Unchanged	11	78.6%
      Eased Somewhat	2	14.3%
      Eased Considerably	0	0.0%
      Total	14	100.0%

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

      	Number of Respondents	Percent
      Tightened Considerably	0	0.0%
      Tightened Somewhat	1	7.1%
      Remained Basically Unchanged	11	78.6%
      Eased Somewhat	2	14.3%
      Eased Considerably	0	0.0%
      Total	14	100.0%

      
      
   5. Other

      	Number of Respondents	Percent
      Tightened Considerably	0	Undefined
      Tightened Somewhat	0	Undefined
      Remained Basically Unchanged	0	Undefined
      Eased Somewhat	0	Undefined
      Eased Considerably	0	Undefined
      Total	0	Undefined

      
      

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

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?

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

Mark and Collateral Disputes

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

1. High-grade corporate bonds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.3%
   Remained Basically Unchanged	18	94.7%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

   
   
2. High-yield corporate bonds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.9%
   Remained Basically Unchanged	16	94.1%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	17	100.0%

   
   
3. Equities

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.0%
   Remained Basically Unchanged	19	95.0%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	20	100.0%

   
   
4. Agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	5.0%
   Remained Basically Unchanged	19	95.0%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	20	100.0%

   
   
5. Non-agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	6.7%
   Remained Basically Unchanged	14	93.3%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	15	100.0%

   
   
6. CMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	6.3%
   Remained Basically Unchanged	15	93.8%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	16	100.0%

   
   
7. Consumer ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	1	7.1%
   Remained Basically Unchanged	13	92.9%
   Decreased Somewhat	0	0.0%
   Decreased Considerably	0	0.0%
   Total	14	100.0%

   
   

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

1. High-grade corporate bonds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	18	94.7%
   Decreased Somewhat	1	5.3%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

   
   
2. High-yield corporate bonds

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	16	94.1%
   Decreased Somewhat	1	5.9%
   Decreased Considerably	0	0.0%
   Total	17	100.0%

   
   
3. Equities

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	18	94.7%
   Decreased Somewhat	1	5.3%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

   
   
4. Agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	18	94.7%
   Decreased Somewhat	1	5.3%
   Decreased Considerably	0	0.0%
   Total	19	100.0%

   
   
5. Non-agency RMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	14	93.3%
   Decreased Somewhat	1	6.7%
   Decreased Considerably	0	0.0%
   Total	15	100.0%

   
   
6. CMBS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	15	93.8%
   Decreased Somewhat	1	6.3%
   Decreased Considerably	0	0.0%
   Total	16	100.0%

   
   
7. Consumer ABS

   	Number of Respondents	Percent
   Increased Considerably	0	0.0%
   Increased Somewhat	0	0.0%
   Remained Basically Unchanged	13	92.9%
   Decreased Somewhat	1	7.1%
   Decreased Considerably	0	0.0%
   Total	14	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.

Special Questions on Client Trading in Equity Volatility Products¹

Volatility in equity markets, whether measured in realized returns or implied in option prices, has been near historically low levels since the beginning of 2017. Reports in the financial press suggest that certain classes of investors that in the past were predominantly net-long volatility (that is, taking positions that rise in value when volatility increases) are currently net-short.

In these special questions, we ask about the current exposure to equity volatility, changes in such exposure by different classes of investors, and the means by which different classes of investors take positions in equity volatility. Position-taking can take the form of volatility strategies constructed from equity options that are exposed to changes in market volatility but are neutral with respect to changes in equity prices (for example, straddles), or it can employ volatility products, such as VIX futures and options, volatility-linked exchange-traded products (ETPs), and variance swaps.

Questions 81 through 84 ask about the use of volatility strategies and products by each type of client as well as changes in use over the past two years. Question 85 seeks information on the factors most important in managing counterparty exposure to clients who are short volatility. Finally, questions 86 through 89 ask about the instruments used by clients to take positions with respect to equity volatility.

81. How would you characterize the current use of volatility strategies and products by clients of each of the following types?

1. Hedge funds

   	Number of Respondents	Percent
   Widely employed by a large number of clients	4	21.1%
   Employed by some clients or in some situations	10	52.6%
   Employed by only a few clients or in a few situations	5	26.3%
   Employed to a minimal extent by such clients	0	0.0%
   Not employed by such clients	0	0.0%
   Total	19	100.0%

   
   
2. Exchange-traded products

   	Number of Respondents	Percent
   Widely employed by a large number of clients	1	6.3%
   Employed by some clients or in some situations	6	37.5%
   Employed by only a few clients or in a few situations	4	25.0%
   Employed to a minimal extent by such clients	3	18.8%
   Not employed by such clients	2	12.5%
   Total	16	100.0%

   
   
3. Mutual funds

   	Number of Respondents	Percent
   Widely employed by a large number of clients	0	0.0%
   Employed by some clients or in some situations	6	31.6%
   Employed by only a few clients or in a few situations	5	26.3%
   Employed to a minimal extent by such clients	6	31.6%
   Not employed by such clients	2	10.5%
   Total	19	100.0%

   
   
4. Pension plans and endowments

   	Number of Respondents	Percent
   Widely employed by a large number of clients	0	0.0%
   Employed by some clients or in some situations	6	33.3%
   Employed by only a few clients or in a few situations	5	27.8%
   Employed to a minimal extent by such clients	5	27.8%
   Not employed by such clients	2	11.1%
   Total	18	100.0%

   
   
5. Insurance companies

   	Number of Respondents	Percent
   Widely employed by a large number of clients	2	11.1%
   Employed by some clients or in some situations	5	27.8%
   Employed by only a few clients or in a few situations	3	16.7%
   Employed to a minimal extent by such clients	7	38.9%
   Not employed by such clients	1	5.6%
   Total	18	100.0%

   
   
6. Separately managed accounts established with investment advisers

   	Number of Respondents	Percent
   Widely employed by a large number of clients	0	0.0%
   Employed by some clients or in some situations	2	14.3%
   Employed by only a few clients or in a few situations	5	35.7%
   Employed to a minimal extent by such clients	5	35.7%
   Not employed by such clients	2	14.3%
   Total	14	100.0%

   
   
7. Nonfinancial corporations

   	Number of Respondents	Percent
   Widely employed by a large number of clients	0	0.0%
   Employed by some clients or in some situations	2	15.4%
   Employed by only a few clients or in a few situations	3	23.1%
   Employed to a minimal extent by such clients	4	30.8%
   Not employed by such clients	4	30.8%
   Total	13	100.0%

   
   

82. Relative to September 2015, how has the use of volatility strategies and products by your institution’s clients of each of the following types changed?

1. Hedge funds

   	Number of Respondents	Percent
   Increased substantially	1	5.6%
   Increased somewhat	4	22.2%
   Remained basically unchanged	10	55.6%
   Decreased somewhat	3	16.7%
   Decreased substantially	0	0.0%
   Total	18	100.0%

   
   
2. Exchange-traded products

   	Number of Respondents	Percent
   Increased substantially	2	13.3%
   Increased somewhat	2	13.3%
   Remained basically unchanged	10	66.7%
   Decreased somewhat	1	6.7%
   Decreased substantially	0	0.0%
   Total	15	100.0%

   
   
3. Mutual funds

   	Number of Respondents	Percent
   Increased substantially	0	0.0%
   Increased somewhat	5	27.8%
   Remained basically unchanged	11	61.1%
   Decreased somewhat	2	11.1%
   Decreased substantially	0	0.0%
   Total	18	100.0%

   
   
4. Pension plans and endowments

   	Number of Respondents	Percent
   Increased substantially	0	0.0%
   Increased somewhat	3	17.6%
   Remained basically unchanged	12	70.6%
   Decreased somewhat	2	11.8%
   Decreased substantially	0	0.0%
   Total	17	100.0%

   
   
5. Insurance companies

   	Number of Respondents	Percent
   Increased substantially	0	0.0%
   Increased somewhat	2	11.8%
   Remained basically unchanged	13	76.5%
   Decreased somewhat	2	11.8%
   Decreased substantially	0	0.0%
   Total	17	100.0%

   
   
6. Separately managed accounts established with investment advisers

   	Number of Respondents	Percent
   Increased substantially	0	0.0%
   Increased somewhat	2	15.4%
   Remained basically unchanged	9	69.2%
   Decreased somewhat	2	15.4%
   Decreased substantially	0	0.0%
   Total	13	100.0%

   
   
7. Nonfinancial corporations

   	Number of Respondents	Percent
   Increased substantially	0	0.0%
   Increased somewhat	1	8.3%
   Remained basically unchanged	10	83.3%
   Decreased somewhat	1	8.3%
   Decreased substantially	0	0.0%
   Total	12	100.0%

   
   

83. On net, how are your clients of each of the following types positioned for a sustained increase in equity volatility?

1. Hedge funds

   	Number of Respondents	Percent
   Most clients are net long	4	22.2%
   More clients are net long than net short	5	27.8%
   Roughly equal proportions of clients are net long and net short	5	27.8%
   More clients are net short than net long	4	22.2%
   Most clients are net short	0	0.0%
   Most clients do not have net directional exposure to equity market volatility	0	0.0%
   Total	18	100.0%

   
   
2. Exchange-traded products

   	Number of Respondents	Percent
   Most clients are net long	4	26.7%
   More clients are net long than net short	3	20.0%
   Roughly equal proportions of clients are net long and net short	5	33.3%
   More clients are net short than net long	0	0.0%
   Most clients are net short	1	6.7%
   Most clients do not have net directional exposure to equity market volatility	2	13.3%
   Total	15	100.0%

   
   
3. Mutual funds

   	Number of Respondents	Percent
   Most clients are net long	3	16.7%
   More clients are net long than net short	4	22.2%
   Roughly equal proportions of clients are net long and net short	5	27.8%
   More clients are net short than net long	2	11.1%
   Most clients are net short	1	5.6%
   Most clients do not have net directional exposure to equity market volatility	3	16.7%
   Total	18	100.0%

   
   
4. Pension plans and endowments

   	Number of Respondents	Percent
   Most clients are net long	2	12.5%
   More clients are net long than net short	4	25.0%
   Roughly equal proportions of clients are net long and net short	5	31.3%
   More clients are net short than net long	2	12.5%
   Most clients are net short	2	12.5%
   Most clients do not have net directional exposure to equity market volatility	1	6.3%
   Total	16	100.0%

   
   
5. Insurance companies

   	Number of Respondents	Percent
   Most clients are net long	5	29.4%
   More clients are net long than net short	4	23.5%
   Roughly equal proportions of clients are net long and net short	4	23.5%
   More clients are net short than net long	2	11.8%
   Most clients are net short	1	5.9%
   Most clients do not have net directional exposure to equity market volatility	1	5.9%
   Total	17	100.0%

   
   
6. Separately managed accounts established with investment advisers

   	Number of Respondents	Percent
   Most clients are net long	3	23.1%
   More clients are net long than net short	3	23.1%
   Roughly equal proportions of clients are net long and net short	4	30.8%
   More clients are net short than net long	1	7.7%
   Most clients are net short	1	7.7%
   Most clients do not have net directional exposure to equity market volatility	1	7.7%
   Total	13	100.0%

   
   
7. Nonfinancial corporations

   	Number of Respondents	Percent
   Most clients are net long	2	16.7%
   More clients are net long than net short	1	8.3%
   Roughly equal proportions of clients are net long and net short	4	33.3%
   More clients are net short than net long	1	8.3%
   Most clients are net short	0	0.0%
   Most clients do not have net directional exposure to equity market volatility	4	33.3%
   Total	12	100.0%

   
   

84. Relative to September 2015, how have your clients of each type changed their net positioning with respect to equity volatility?

1. Hedge funds

   	Number of Respondents	Percent
   Most clients have increased long positions and/or decreased short positions	4	21.1%
   More clients have increased long positions and/or decreased short positions than the reverse	2	10.5%
   Clients that have increased long positions and/or decreased short positions are in roughly equal proportion to those that have increased short positions and/or decreased long positions	4	21.1%
   More clients have increased short positions and/or decreased long positions than the reverse	5	26.3%
   Most clients have increased short positions and/or decreased long positions	0	0.0%
   No significant chance in volatility exposure	4	21.1%
   Total	19	100.0%

   
   
2. Exchange-traded products

   	Number of Respondents	Percent
   Most clients have increased long positions and/or decreased short positions	1	6.3%
   More clients have increased long positions and/or decreased short positions than the reverse	1	6.3%
   Clients that have increased long positions and/or decreased short positions are in roughly equal proportion to those that have increased short positions and/or decreased long positions	4	25.0%
   More clients have increased short positions and/or decreased long positions than the reverse	3	18.8%
   Most clients have increased short positions and/or decreased long positions	0	0.0%
   No significant chance in volatility exposure	7	43.8%
   Total	16	100.0%

   
   
3. Mutual funds

   	Number of Respondents	Percent
   Most clients have increased long positions and/or decreased short positions	0	0.0%
   More clients have increased long positions and/or decreased short positions than the reverse	1	5.3%
   Clients that have increased long positions and/or decreased short positions are in roughly equal proportion to those that have increased short positions and/or decreased long positions	5	26.3%
   More clients have increased short positions and/or decreased long positions than the reverse	5	26.3%
   Most clients have increased short positions and/or decreased long positions	0	0.0%
   No significant chance in volatility exposure	8	42.1%
   Total	19	100.0%

   
   
4. Pension plans and endowments

   	Number of Respondents	Percent
   Most clients have increased long positions and/or decreased short positions	1	5.6%
   More clients have increased long positions and/or decreased short positions than the reverse	1	5.6%
   Clients that have increased long positions and/or decreased short positions are in roughly equal proportion to those that have increased short positions and/or decreased long positions	6	33.3%
   More clients have increased short positions and/or decreased long positions than the reverse	4	22.2%
   Most clients have increased short positions and/or decreased long positions	0	0.0%
   No significant chance in volatility exposure	6	33.3%
   Total	18	100.0%

   
   
5. Insurance companies

   	Number of Respondents	Percent
   Most clients have increased long positions and/or decreased short positions	0	0.0%
   More clients have increased long positions and/or decreased short positions than the reverse	2	11.1%
   Clients that have increased long positions and/or decreased short positions are in roughly equal proportion to those that have increased short positions and/or decreased long positions	3	16.7%
   More clients have increased short positions and/or decreased long positions than the reverse	4	22.2%
   Most clients have increased short positions and/or decreased long positions	0	0.0%
   No significant chance in volatility exposure	9	50.0%
   Total	18	100.0%

   
   
6. Separately managed accounts established with investment advisers

   	Number of Respondents	Percent
   Most clients have increased long positions and/or decreased short positions	0	0.0%
   More clients have increased long positions and/or decreased short positions than the reverse	1	7.1%
   Clients that have increased long positions and/or decreased short positions are in roughly equal proportion to those that have increased short positions and/or decreased long positions	5	35.7%
   More clients have increased short positions and/or decreased long positions than the reverse	2	14.3%
   Most clients have increased short positions and/or decreased long positions	0	0.0%
   No significant chance in volatility exposure	6	42.9%
   Total	14	100.0%

   
   
7. Nonfinancial corporations

   	Number of Respondents	Percent
   Most clients have increased long positions and/or decreased short positions	0	0.0%
   More clients have increased long positions and/or decreased short positions than the reverse	1	8.3%
   Clients that have increased long positions and/or decreased short positions are in roughly equal proportion to those that have increased short positions and/or decreased long positions	2	16.7%
   More clients have increased short positions and/or decreased long positions than the reverse	2	16.7%
   Most clients have increased short positions and/or decreased long positions	0	0.0%
   No significant chance in volatility exposure	7	58.3%
   Total	12	100.0%

   
   

85. How does your institution manage counterparty exposure to clients who are short equity volatility?

1. Collection of initial and variation margin

   	Number of Respondents	Percent
   Most important	17	89.5%
   2nd Most important	1	5.3%
   3rd Most important	1	5.3%
   Total	19	100.0%

   
   
2. Limits on long–short gross notional exposure

   	Number of Respondents	Percent
   Most important	1	12.5%
   2nd Most important	5	62.5%
   3rd Most important	2	25.0%
   Total	8	100.0%

   
   
3. Client net financing balances held in prime brokerage

   	Number of Respondents	Percent
   Most important	0	0.0%
   2nd Most important	6	75.0%
   3rd Most important	2	25.0%
   Total	8	100.0%

   
   
4. Client assets held in custody

   	Number of Respondents	Percent
   Most important	1	25.0%
   2nd Most important	2	50.0%
   3rd Most important	1	25.0%
   Total	4	100.0%

   
   
5. Other (please specify)

   	Number of Respondents	Percent
   Most important	0	0.0%
   2nd Most important	3	100.0%
   3rd Most important	0	0.0%
   Total	3	100.0%

   
   

86. Which instruments are most heavily used by your institution’s hedge fund clients to gain or manage exposure to equity volatility?

1. Exchange-traded equity options

   	Number of Respondents	Percent
   Most important	13	76.5%
   2nd Most important	1	5.9%
   3rd Most important	3	17.6%
   Total	17	100.0%

   
   
2. Over-the-counter equity options

   	Number of Respondents	Percent
   Most important	1	9.1%
   2nd Most important	7	63.6%
   3rd Most important	3	27.3%
   Total	11	100.0%

   
   
3. VIX futures and options

   	Number of Respondents	Percent
   Most important	4	22.2%
   2nd Most important	8	44.4%
   3rd Most important	6	33.3%
   Total	18	100.0%

   
   
4. Volatility-linked ETPs

   	Number of Respondents	Percent
   Most important	0	0.0%
   2nd Most important	0	0.0%
   3rd Most important	1	100.0%
   Total	1	100.0%

   
   
5. Variance swaps and volatility swaps

   	Number of Respondents	Percent
   Most important	1	14.3%
   2nd Most important	2	28.6%
   3rd Most important	4	57.1%
   Total	7	100.0%

   
   
6. Other (please specify)

   	Number of Respondents	Percent
   Most important	0	Undefined
   2nd Most important	0	Undefined
   3rd Most important	0	Undefined
   Total	0	Undefined

   
   

87. Which instruments are most heavily used by your institution’s exchange-traded product clients to gain or manage exposure to equity volatility?

1. Exchange-traded equity options

   	Number of Respondents	Percent
   Most important	10	76.9%
   2nd Most important	1	7.7%
   3rd Most important	2	15.4%
   Total	13	100.0%

   
   
2. Over-the-counter equity options

   	Number of Respondents	Percent
   Most important	1	16.7%
   2nd Most important	4	66.7%
   3rd Most important	1	16.7%
   Total	6	100.0%

   
   
3. VIX futures and options

   	Number of Respondents	Percent
   Most important	1	14.3%
   2nd Most important	5	71.4%
   3rd Most important	1	14.3%
   Total	7	100.0%

   
   
4. Volatility-linked ETPs

   	Number of Respondents	Percent
   Most important	1	50.0%
   2nd Most important	0	0.0%
   3rd Most important	1	50.0%
   Total	2	100.0%

   
   
5. Variance swaps and volatility swaps

   	Number of Respondents	Percent
   Most important	0	0.0%
   2nd Most important	0	0.0%
   3rd Most important	1	100.0%
   Total	1	100.0%

   
   
6. Other (please specify)

   	Number of Respondents	Percent
   Most important	0	Undefined
   2nd Most important	0	Undefined
   3rd Most important	0	Undefined
   Total	0	Undefined

   
   

88. Which instruments are most heavily used by your institution’s pension fund and endowment clients to gain or manage exposure to equity volatility?

1. Exchange-traded equity options

   	Number of Respondents	Percent
   Most important	8	66.7%
   2nd Most important	1	8.3%
   3rd Most important	3	25.0%
   Total	12	100.0%

   
   
2. Over-the-counter equity options

   	Number of Respondents	Percent
   Most important	5	35.7%
   2nd Most important	7	50.0%
   3rd Most important	2	14.3%
   Total	14	100.0%

   
   
3. VIX futures and options

   	Number of Respondents	Percent
   Most important	2	22.2%
   2nd Most important	3	33.3%
   3rd Most important	4	44.4%
   Total	9	100.0%

   
   
4. Volatility-linked ETPs

   	Number of Respondents	Percent
   Most important	0	0.0%
   2nd Most important	0	0.0%
   3rd Most important	1	100.0%
   Total	1	100.0%

   
   
5. Variance swaps and volatility swaps

   	Number of Respondents	Percent
   Most important	2	50.0%
   2nd Most important	2	50.0%
   3rd Most important	0	0.0%
   Total	4	100.0%

   
   
6. Other (please specify)

   	Number of Respondents	Percent
   Most important	0	Undefined
   2nd Most important	0	Undefined
   3rd Most important	0	Undefined
   Total	0	Undefined

   
   

89. Which instruments are most heavily used by your institution’s insurance company clients to gain or manage exposure to equity volatility?

1. Exchange-traded equity options

   	Number of Respondents	Percent
   Most important	5	55.6%
   2nd Most important	2	22.2%
   3rd Most important	2	22.2%
   Total	9	100.0%

   
   
2. Over-the-counter equity options

   	Number of Respondents	Percent
   Most important	8	61.5%
   2nd Most important	5	38.5%
   3rd Most important	0	0.0%
   Total	13	100.0%

   
   
3. VIX futures and options

   	Number of Respondents	Percent
   Most important	0	0.0%
   2nd Most important	4	57.1%
   3rd Most important	3	42.9%
   Total	7	100.0%

   
   
4. Volatility-linked ETPs

   	Number of Respondents	Percent
   Most important	0	0.0%
   2nd Most important	0	0.0%
   3rd Most important	1	100.0%
   Total	1	100.0%

   
   
5. Variance swaps and volatility swaps

   	Number of Respondents	Percent
   Most important	2	28.6%
   2nd Most important	3	42.9%
   3rd Most important	2	28.6%
   Total	7	100.0%

   
   
6. Other (please specify)

   	Number of Respondents	Percent
   Most important	1	50.0%
   2nd Most important	0	0.0%
   3rd Most important	1	50.0%
   Total	2	100.0%

   
   

1. The following special questions are intended to provide better context for interpreting the core set of questions in the previous section, which focus on changes in credit terms over the preceding three months. Unlike the core questions, these special questions will not be included in the survey on an ongoing basis. Return to text