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Senior Credit Officer Opinion Survey on Dealer Financing Terms
September 2014

Summary

The September 2014 Senior Credit Officer Opinion Survey on Dealer Financing Terms collected qualitative information on changes over the previous three months in credit terms and conditions in securities financing and over-the-counter (OTC) derivatives markets. In addition to the core set of questions, this survey included two sets of special questions. The first set asked about changes since the beginning of the year in positioning by different types of institutional clients with respect to interest rate and equity price volatility. The second set queried dealers about the growth of assets under management (AUM) and changes in the use of leverage by so-called liquid alternative funds over the past year.1 The 22 institutions participating in the survey account for almost all dealer financing of dollar-denominated securities provided to nondealers and are the most active intermediaries in OTC derivatives markets. The survey was conducted between August 20, 2014, and September 2, 2014. The core questions asked about changes between June 2014 and August 2014.2

Responses to the core questions in the September survey pointed to little change over the past three months in the credit terms applicable to most classes of counterparties covered by the survey. The responses, however, offered a few insights regarding recent developments and current areas of focus in dealer-intermediated markets:

  • About one-fourth of respondents indicated that the use of financial leverage by hedge funds increased somewhat over the past three months. For other counterparty types covered in the survey, the use of financial leverage was generally reported to be unchanged.
  • About one-third of dealers pointed to an increase in demand for funding of non-agency residential mortgage-backed securities (RMBS). In addition, about one-fifth of respondents noted increased demand for funding of commercial mortgage-backed securities (CMBS). For other collateral types covered in the survey, respondents indicated that demand for funding had remained basically unchanged on net.
  • In response to the special questions focused on equity price and interest rate volatility, a net fraction of roughly one-fourth of respondents indicated that, since the beginning of the year, hedge funds have decreased exposure to positions that would benefit from increased volatility of shorter-term interest rates--that is, rates in the zero-to-three-year segment of the yield curve. The comparable figure for longer-term interest rates was about one-fifth.
  • Positioning with respect to equity price volatility, and with respect to interest rate volatility on the part of institutional investors other than hedge funds, was reported to be basically unchanged, on net, since the beginning of the year.
  • In response to the special questions focused on liquid alternative funds, more than one-half of the respondents indicated that AUM have increased over the past year for vehicles pursuing equity-based strategies, while about one-fourth reported that AUM have increased for macro- and credit-oriented funds. In addition, about one-fourth of respondents indicated that funds focusing on equity and credit-oriented strategies have increased their use of financial leverage.

Counterparty Types

(Questions 1-40)

Dealers and Other Financial Intermediaries. The vast majority of respondents to the September survey reported that the amount of resources and attention devoted to the management of concentrated credit exposure to dealers and other financial intermediaries remained basically unchanged over the past three months, while a few pointed to an increase. (See the exhibit "Management of Concentrated Credit Exposures and Indicators of Supply of Credit.") The share of dealers reporting an increase was broadly similar to that in recent surveys, and well below the 90 percent peak reached in the December 2011 survey.

Central Counterparties and Other Financial Utilities. More than three-fourths of respondents indicated that the amount of resources and attention devoted to the management of concentrated credit exposures to central counterparties and other financial utilities remained basically unchanged over the past three months. The remaining dealers pointed to an increase.

More than four-fifths of respondents reported that changes in the practices of central counterparties, including changes in margin requirements and haircuts, had minimal or no influence on the credit terms applied to clients on bilateral transactions that are not cleared.

Hedge Funds. As in the past several surveys, respondents to the September survey, on net, indicated that price terms (such as financing rates) offered to hedge funds for securities financing and OTC derivatives transactions were basically unchanged over the past three months. About one-fifth of dealers noted an easing of nonprice terms (including haircuts, maximum maturity, covenants, cure periods, cross-default provisions, or other documentation features) over the same period. About one-fourth of respondents reported that the use of financial leverage by hedge funds increased over the past three months. (See the exhibit "Use of Financial Leverage.") Most dealers indicated that the provision of differential terms to most-favored clients had remained basically unchanged, but about one-fourth of respondents noted increased intensity of efforts by clients to negotiate more-favorable price and nonprice terms.

Trading Real Estate Investment Trusts. Similar to results reported in the June survey, respondents in the September survey indicated that both price and nonprice terms offered to trading real estate investment trusts had remained basically unchanged. Provision of differential terms to most-favored clients and the intensity of efforts by clients to negotiate more-favorable terms were also reported to be basically unchanged.

Mutual Funds, Exchange-Traded Funds, Pension Plans, and Endowments. As in the past few surveys, respondents to the September survey indicated that both price and nonprice terms offered to mutual funds, exchange-traded funds (ETFs), pension plans, and endowments had remained basically unchanged over the past three months. Provision of differential terms to most-favored clients and the intensity of efforts by clients to negotiate more-favorable terms also were reported to be little changed, as was the use of financial leverage.

Insurance Companies. Respondents to the September survey noted that price terms and nonprice terms offered to insurance companies had changed little over the past three months, as had the use of financial leverage. Provision of differential terms to most-favored clients was reported to be little changed as well. A few dealers reported that the intensity of efforts by clients to negotiate more-favorable terms had increased somewhat.

Separately Managed Accounts Established with Investment Advisers. Nearly all of the dealers indicated that price and nonprice terms negotiated by investment advisers on behalf of separately managed accounts were basically unchanged over the past three months, as has been the case in recent surveys prior to September. Provision of differential terms to most-favored clients and the use of financial leverage by investment advisers were also reported to be basically unchanged, as was the intensity of efforts by investment advisers to negotiate more-favorable terms.

Nonfinancial Corporations. On net, respondents to the September survey indicated that price and nonprice terms offered to nonfinancial corporations had remained basically unchanged over the past three months. As in prior surveys conducted during 2014, roughly one-fourth of respondents reported an increase in the intensity of efforts by nonfinancial corporations to negotiate more-favorable terms.

Mark and Collateral Disputes. As in previous surveys, the vast majority of respondents in September indicated that the volume, persistence, and duration of mark and collateral disputes with each counterparty type included in the survey were little changed over the past three months.

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Over-the-Counter Derivatives

(Questions 41-51)

Over the past three months, the nonprice terms incorporated in new or renegotiated OTC derivatives master agreements were reported to be basically unchanged on net.3 As in recent previous surveys, nearly all of the respondents in September indicated that initial margins (which fall outside the scope of master agreements) had also remained basically unchanged over the past three months for both average and most-favored clients and for all contract types included in the survey. Posting of nonstandard collateral--that is, collateral other than cash and U.S. Treasury securities--also remained basically unchanged. For all contract types, the volume, duration, and persistence of mark and collateral disputes were reported to be basically unchanged over the past three months.

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Securities Financing

(Questions 52-79)4

As in previous surveys, dealers reported that the credit terms under which most types of securities included in the survey are financed remained basically unchanged over the past three months.

About one-third of dealers reported an increase in demand for funding of non-agency RMBS, and about one-fifth noted increased demand for funding of CMBS. Almost one-third of respondents noted increased demand for term funding--that is, funding with a maturity greater than 30 days--for non-agency RMBS collateral. For most other collateral types covered in the survey, respondents indicated that demand for funding and term funding remained basically unchanged. (See the exhibit "Measures of Demand for Funding and Market Functioning.")

For all collateral types in the survey, respondents indicated that the liquidity and functioning of the underlying markets remained basically unchanged over the past three months, including the market for high-yield corporate bonds, which experienced significant outflows and widening of credit spreads in late July and early August. Finally, most dealers reported that the volume, duration, and persistence of mark and collateral disputes were basically unchanged for all of the collateral types.

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Special Questions on Volatility Trading

(Questions 81-86)

In this set of special questions, dealers were queried about changes since the beginning of 2014 in volatility positioning by investors of specified types on short-term interest rates (the zero-to-three-year segment of the yield curve), long-term interest rates (the greater than three-year segment of the yield curve), and equity prices.5

A net fraction of roughly one-fourth of dealers indicated that hedge fund clients have decreased positions that would benefit from rising volatility of short-term interest rates since the beginning of the year. Over the same period, a net fraction of about one-fifth of respondents reported that hedge funds have decreased positions that would benefit from rising volatility of long-term interest rates. Taken together, these responses suggest that hedge funds have reduced positions predicated on rising interest rate volatility across the term structure since the beginning of the year.

Positions that would benefit from declining interest rate volatility, as well as volatility positions (both long and short) in equity prices, were reported to have remained basically unchanged, on net, since the beginning of the year.

For the rest of the specified counterparty types (mutual funds and ETFs, pension plans and endowments, insurance companies, and separately managed accounts established with investment advisers), responses indicate that positions that depend on changes in the volatility of interest rates and equity prices remained basically unchanged since the beginning of the year.

Special Questions on Liquid Alternative Funds

(Question 87-88)

Dealers were queried about the AUM growth of liquid alternative funds over the past year, by investment strategy, and about changes in the use of leverage by such funds over the same horizon.6

More than one-half of the respondents indicated that the overall volume of AUM has increased over the past year for liquid alternative funds that focus on equity strategies. In addition, about one-fourth of dealers reported that the AUM for liquid alternative funds offering macro-oriented strategies and credit-oriented strategies have increased.

With respect to leverage, one-fourth of respondents, on net, indicated that liquid alternative funds focusing on equity long-short strategies and credit-oriented strategies have increased their use of financial leverage over the past year. A couple of dealers, on net, also noted an increase in the use of financial leverage by funds focusing on equity event-driven strategies. In contrast, a couple of dealers reported that liquid alternative funds focusing on macro-oriented strategies had reduced their use of financial leverage over the past year.

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

 

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

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

Accessible version

 

Exhibit 2: Use of Financial Leverage

Exhibit 2: Use of Financial Leverage

Accessible version

 

Exhibit 3: Measures of Demand of Funding and Market Functioning

Exhibit 3: Measures of Demand of Funding and Market Functioning

Accessible version

 

Results of the September 2014 Senior Credit Officer Opinion Survey on Dealer Financing Terms

The following results include the original instructions provided to the survey respondents. Please note that percentages are based on the number of financial institutions that gave responses other than "Not applicable." Components may not add to totals due to rounding.

 

Counterparty Types

Questions 1 through 40 ask about credit terms applicable to, and mark and collateral disputes with, different counterparty types, considering the entire range of securities financing and over-the-counter (OTC) derivatives transactions. Question 1 focuses on dealers and other financial intermediaries as counterparties; questions 2 and 3 on central counterparties and other financial utilities; questions 4 through 10 focus on hedge funds; questions 11 through 16 on trading real estate investment trusts (REITs); questions 17 through 22 on mutual funds, exchange-traded funds (ETFs), pension plans, and endowments; questions 23 through 28 on insurance companies; questions 29 through 34 on separately managed accounts established with investment advisers; and questions 35 through 38 on nonfinancial corporations. Questions 39 and 40 ask about mark and collateral disputes for each of the aforementioned counterparty types.

In some questions, the survey differentiates between the compensation demanded for bearing credit risk (price terms) and the contractual provisions used to mitigate exposures (nonprice terms). If your institution's terms have tightened or eased over the past three months, please so report them regardless of how they stand relative to longer-term norms. Please focus your response on dollar-denominated instruments; if material differences exist with respect to instruments denominated in other currencies, please explain in the appropriate comment space. Where material differences exist across different business areas--for example, between traditional prime brokerage and OTC derivatives--please answer with regard to the business area generating the most exposure and explain in the appropriate comment space.

Dealers and Other Financial Intermediaries

1. Over the past three months, how has the amount of resources and attention your firm devotes to management of concentrated credit exposure to dealers and other financial intermediaries (such as large banking institutions) changed?

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 3 13.6
Remained basically unchanged 19 86.4
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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Central Counterparties and Other Financial Utilities

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 5 22.7
Remained basically unchanged 17 77.3
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

3. To what extent have changes in the practices of central counterparties, including margin requirements and haircuts, influenced the credit terms your institution applies to clients on bilateral transactions which are not cleared?

Number of Respondents Percent
To a considerable extent 0 0.0
To some extent 3 13.6
To a minimal extent 10 45.5
Not at all 9 40.9
Total 22 100.0

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Hedge Funds

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 2 9.1
Remained basically unchanged 17 77.3
Eased somewhat 3 13.6
Eased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 18 81.8
Eased somewhat 4 18.2
Eased considerably 0 0.0
Total 22 100.0

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

  1. Possible reasons for tightening
    1. Deterioration in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
    4. Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    5. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    7. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    8. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 1 50.0
      Third in importance 1 50.0
      Total 2 100.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 1 100.0
      Third in importance 0 0.0
      Total 1 100.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 1 50.0
      Second in importance 1 50.0
      Third in importance 0 0.0
      Total 2 100.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 3 75.0
      Second in importance 1 25.0
      Third in importance 0 0.0
      Total 4 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 6 27.3
Remained basically unchanged 16 72.7
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

8. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by hedge funds changed over the past three months?

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 5 22.7
Remained basically unchanged 17 77.3
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 1 4.5
Remained basically unchanged 21 95.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 1 4.5
Remained basically unchanged 21 95.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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Trading Real Estate Investment Trusts

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 17 100.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 17 100.0

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

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

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

  1. Possible reasons for tightening
    1. Deterioration in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 18 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 18 100.0

15. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by trading REITs changed over the past three months?

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 11.8
Remained basically unchanged 15 88.2
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 17 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 1 5.6
Remained basically unchanged 17 94.4
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 18 100.0

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

17. Over the past three months, how have the price terms (for example, financing rates) offered to mutual funds, ETFs, pension plans, and endowments as reflected across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of nonprice terms? (Please indicate tightening if terms have become more stringent--for example, if financing rates have risen.)

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 1 4.5
Remained basically unchanged 21 95.5
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 22 100.0

18. Over the past three months, how has your use of nonprice terms (for example, haircuts, maximum maturity, covenants, cure periods, cross-default provisions or other documentation features) with respect to mutual funds, ETFs, pension plans, and endowments across the entire spectrum of securities financing and OTC derivatives transaction types changed, regardless of price terms? (Please indicate tightening if terms have become more stringent--for example, if haircuts have been increased.)

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 22 100.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 22 100.0

19. To the extent that the price or nonprice terms applied to mutual funds, ETFs, pension plans, and endowments have tightened or eased over the past three months (as reflected in your responses to questions 16 and 17), what are the most important reasons for the change?

  1. Possible reasons for tightening
    1. Deterioration in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

Number of Respondents Percent
Increased considerably 1 4.5
Increased somewhat 0 0.0
Remained basically unchanged 21 95.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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

  1. Mutual funds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 21 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

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

  3. Pension plans
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 21 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

  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?

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

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Insurance Companies

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 1 4.8
Remained basically unchanged 20 95.2
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 21 100.0

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 20 90.9
Eased somewhat 2 9.1
Eased considerably 0 0.0
Total 22 100.0

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

  1. Possible reasons for tightening
    1. Deterioration in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

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

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 1 100.0
      Total 1 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 3 13.6
Remained basically unchanged 19 86.4
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

27. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by insurance companies changed over the past three months?

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 21 95.5
Decreased somewhat 1 4.5
Decreased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 1 4.5
Remained basically unchanged 21 95.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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Separately Managed Accounts Established with Investment Advisers

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 1 5.0
Remained basically unchanged 19 95.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 20 100.0

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 21 100.0
Eased somewhat 0 0.0
Eased considerably 0 0.0
Total 21 100.0

31. To the extent that the price or nonprice terms applied to separately managed accounts established with investment advisers have tightened or eased over the past three months (as reflected in your responses to questions 28 and 29), what are the most important reasons for the change?

  1. Possible reasons for tightening
    1. Deterioration in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0
  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

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

33. Considering the entire range of transactions facilitated by your institution for such clients, how has the use of financial leverage by separately managed accounts established with investment advisers changed over the past three months?

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

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

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

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Nonfinancial Corporations

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 1 4.5
Remained basically unchanged 19 86.4
Eased somewhat 2 9.1
Eased considerably 0 0.0
Total 22 100.0

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

Number of Respondents Percent
Tightened considerably 0 0.0
Tightened somewhat 0 0.0
Remained basically unchanged 20 90.9
Eased somewhat 1 4.5
Eased considerably 1 4.5
Total 22 100.0

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

  1. Possible reasons for tightening
    1. Deterioration in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    2. Reduced willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    3. Adoption of more-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Higher internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    6. Worsening in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 1 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 1 100.0

    7. Less-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

  2. Possible reasons for easing
    1. Improvement in current or expected financial strength of counterparties
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 1 100.0
      Third in importance 0 0.0
      Total 1 100.0

    2. Increased willingness of your institution to take on risk
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 1 50.0
      Third in importance 1 50.0
      Total 2 100.0

    3. Adoption of less-stringent market conventions (that is, collateral terms and agreements, ISDA protocols)
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    4. Lower internal treasury charges for funding
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

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

    6. Improvement in general market liquidity and functioning
      Number of Respondents Percent
      First in importance 0 0.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 0 0.0

    7. More-aggressive competition from other institutions
      Number of Respondents Percent
      First in importance 3 100.0
      Second in importance 0 0.0
      Third in importance 0 0.0
      Total 3 100.0

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

Number of Respondents Percent
Increased considerably 1 4.5
Increased somewhat 5 22.7
Remained basically unchanged 16 72.7
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 22 100.0

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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 20 90.9
    Decreased somewhat 0 0.0
    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 0 0.0
    Decreased considerably 1 4.5
    Total 22 100.0

  3. Trading REITs
    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

  4. Mutual funds, ETFs, pension plans, and endowments
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 3 15.0
    Remained basically unchanged 17 85.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

  5. Insurance companies
    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

  6. Separately managed accounts established with investment advisers
    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

  7. Nonfinancial corporations
    Number of Respondents Percent
    Increased considerably 1 5.3
    Increased somewhat 1 5.3
    Remained basically unchanged 17 89.5
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    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 1 4.5
    Remained basically unchanged 20 90.9
    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 0 0.0
    Remained basically unchanged 19 86.4
    Decreased somewhat 2 9.0
    Decreased considerably 1 4.5
    Total 22 100.0

  3. Trading REITs
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

  4. Mutual funds, ETFs, pension plans, and endowments
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 20 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

  5. Insurance companies
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 21 95.5
    Decreased somewhat 0 0.0
    Decreased considerably 1 4.5
    Total 22 100.0

  6. Separately managed accounts established with investment advisers
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 19 95.0
    Decreased somewhat 0 0.0
    Decreased considerably 1 5.0
    Total 20 100.0

  7. Nonfinancial corporations
    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

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

  2. Acceptable collateral
    Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 9.5
    Remained basically unchanged 16 76.2
    Eased somewhat 3 14.3
    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 20 100.00
    Eased somewhat 0 0.0
    Eased considerably 0 0.0
    Total 20 100.0

  4. Triggers and covenants
    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

  5. Other documentation features (including cure periods and cross-default provisions)
    Number of Respondents Percent
    Tightened considerably 0 0.0
    Tightened somewhat 2 9.5
    Remained basically unchanged 19 90.5
    Eased somewhat 0 0.0
    Eased considerably 0 0.0
    Total 21 100.0

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

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 20 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 20 100.0

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

  1. Initial margin requirements for average clients
    Number of Respondents Percent
    Increased considerably 1 4.8
    Increased somewhat 0 0.0
    Remained basically unchanged 20 95.2
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 21 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 21 100.0

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

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

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 94.4
    Decreased somewhat 1 5.6
    Decreased considerably 0 0.0
    Total 18 100.0

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

  1. Initial margin requirements for average clients
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

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
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 11 91.7
    Decreased somewhat 1 8.3
    Decreased considerably 0 0.0
    Total 12 100.0

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 12 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 12 100.0

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

  1. Initial margin requirements for average clients
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 17 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 17 100.0

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

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

  2. Initial margin requirements for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 13 92.9
    Decreased somewhat 1 7.1
    Decreased considerably 0 0.0
    Total 14 100.0

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Nonstandard Collateral

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

Number of Respondents Percent
Increased considerably 1 4.5
Increased somewhat 0 0.0
Remained basically unchanged 20 90.9
Decreased somewhat 1 4.5
Decreased considerably 0 0.0
Total 22 100.0

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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 1 5.6
    Increased somewhat 0 0.0
    Remained basically unchanged 16 88.9
    Decreased somewhat 1 5.6
    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 17 89.5
    Decreased somewhat 2 10.5
    Decreased considerably 0 0.0
    Total 19 100.0

  3. Equity
    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

  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 0 0.0
    Remained basically unchanged 13 92.9
    Decreased somewhat 0 0.0
    Decreased considerably 1 7.1
    Total 14 100.0

  6. Commodity
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 16 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 16 100.0

  7. TRS referencing nonsecurities (such as bank loans, including, for example, commercial and industrial loans and mortgage whole loans)
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 9 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 9 100.0

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

  2. Interest rate
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 16 88.9
    Decreased somewhat 2 11.1
    Decreased considerably 0 0.0
    Total 18 100.0

  3. Equity
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 16 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 16 100.0

  4. Credit referencing corporates
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 16 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 16 100.0

  5. Credit referencing securitized products including MBS and ABS
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 12 92.3
    Decreased somewhat 0 0.0
    Decreased considerably 1 7.7
    Total 13 100.0

  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 0 0.0
    Remained basically unchanged 8 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 8 100.0

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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 institutionís 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 18 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 18 100.0

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

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

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

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

    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 18 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 18 100.0

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

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

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

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 18 94.7
Decreased somewhat 0 0.0
Decreased considerably 1 5.3
Total 19 100.0

54. Over the past three months, how has demand for term funding with a maturity greater than 30 days of high-grade corporate bonds by your institution’s clients changed?

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

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 0 0.0
Remained basically unchanged 19 100.0
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 19 100.0

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

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 5.9
      Remained basically unchanged 15 88.2
      Eased somewhat 1 5.9
      Eased considerably 0 0.0
      Total 17 100.0

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

    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 14 87.5
      Eased somewhat 1 6.3
      Eased considerably 1 6.3
      Total 16 100.0

  2. Terms for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 16 94.1
      Eased somewhat 1 5.9
      Eased considerably 0 0.0
      Total 17 100.0

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

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

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 15 93.8
      Eased somewhat 1 6.3
      Eased considerably 0 0.0
      Total 16 100.0

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

Number of Respondents Percent
Increased considerably 1 5.6
Increased somewhat 1 5.6
Remained basically unchanged 16 88.9
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 18 100.0

58. Over the past three months, how has demand for term funding with a maturity greater than 30 days of high-yield corporate bonds by your institution’s clients changed?

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 11.1
Remained basically unchanged 16 88.9
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 18 100.0

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 0 0.0
Remained basically unchanged 18 100.0
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 18 100.0

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Equities (Including through Stock Loan)

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

  1. Terms for average clients
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 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 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 0 0.0
      Remained basically unchanged 21 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 5.0
      Remained basically unchanged 19 95.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 20 100.0

  2. Terms for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 21 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    2. Maximum maturity
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 21 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    3. Haircuts
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 21 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 21 100.0

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 20 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 20 100.0

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

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

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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 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 19 100.0
      Eased somewhat 0 0.0
      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 0 0.0
      Remained basically unchanged 18 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 18 100.0

  2. Terms for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 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 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 19 100.0
      Eased somewhat 0 0.0
      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 0 0.0
      Remained basically unchanged 18 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 18 100.0

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

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

64. Over the past three months, how has demand for term funding with a maturity greater than 30 days of agency RMBS by your institution’s clients changed?

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 10.5
Remained basically unchanged 17 89.5
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 19 100.0

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 1 5.3
Remained basically unchanged 17 89.5
Deteriorated somewhat 1 5.3
Deteriorated considerably 0 0.0
Total 19 100.0

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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 1 7.1
      Remained basically unchanged 13 92.9
      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 12 85.7
      Eased somewhat 1 7.1
      Eased considerably 0 0.0
      Total 14 100.0

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

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 14 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 14 100.0

  2. Terms for most-favored clients, as a consequence of breadth, duration, and/or extent of relationship
    1. Maximum amount of funding
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 1 7.1
      Remained basically unchanged 12 85.7
      Eased somewhat 1 7.1
      Eased considerably 0 0.0
      Total 14 100.0

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

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

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 14 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 14 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 5 35.7
Remained basically unchanged 9 64.3
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 14 100.0

68. Over the past three months, how has demand for term funding with a maturity greater than 30 days of non-agency RMBS by your institution’s clients changed?

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

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 1 7.1
Remained basically unchanged 13 92.9
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 14 100.0

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

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

    4. Collateral spreads over relevant benchmark (effective financing rates)
      Number of Respondents Percent
      Tightened considerably 0 0.0
      Tightened somewhat 0 0.0
      Remained basically unchanged 14 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 14 100.0

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

    3. Haircuts
    4. 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

    5. 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 14 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 14 100.0

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 3 21.4
Remained basically unchanged 11 78.6
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 14 100.0

72. Over the past three months, how has demand for term funding with a maturity greater than 30 days of CMBS by your institution’s clients changed?

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 2 14.3
Remained basically unchanged 12 85.7
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 14 100.0

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 1 7.1
Remained basically unchanged 13 92.9
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 14 100.0

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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 0 0.0
      Remained basically unchanged 13 100.00
      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 0 0.0
      Remained basically unchanged 13 100.0
      Eased somewhat 0 0.0
      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 0 0.0
      Remained basically unchanged 13 100.0
      Eased somewhat 0 0.0
      Eased considerably 0 0.0
      Total 13 100.0

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

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

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 13 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 13 100.0

76. Over the past three months, how has demand for term funding with a maturity greater than 30 days of consumer ABS by your institution’s clients changed?

Number of Respondents Percent
Increased considerably 0 0.0
Increased somewhat 0 0.0
Remained basically unchanged 13 100.0
Decreased somewhat 0 0.0
Decreased considerably 0 0.0
Total 13 100.0

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

Number of Respondents Percent
Improved considerably 0 0.0
Improved somewhat 0 0.0
Remained basically unchanged 13 100.0
Deteriorated somewhat 0 0.0
Deteriorated considerably 0 0.0
Total 13 100.0

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Mark and Collateral Disputes

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

  1. High-grade corporate bonds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 19 100.0
    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 0 0.0
    Remained basically unchanged 17 100.0
    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 0 0.0
    Remained basically unchanged 20 100.0
    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 0 0.0
    Remained basically unchanged 20 100.0
    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 0 0.0
    Remained basically unchanged 14 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 14 100.0

  6. CMBS
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 14 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 14 100.0

  7. Consumer ABS
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 14 100.0
    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 19 100.0
    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 0 0.0
    Remained basically unchanged 17 100.0
    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 0 0.0
    Remained basically unchanged 20 100.0
    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 0 0.0
    Remained basically unchanged 20 100.0
    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 0 0.0
    Remained basically unchanged 15 100.0
    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 0 0.0
    Remained basically unchanged 15 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 15 100.0

  7. Consumer ABS
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 14 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 14 100.0

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Optional Question

Question 80 requests feedback on any other issues you judge to be important relating to credit terms applicable to securities financing transactions and OTC derivatives contracts.7

Special Questions

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.

Volatility Trading

In recent months, some press reports have suggested that certain institutional investors may have become active "sellers" of volatility--that is, they execute trading strategies predicated on market volatility staying low or declining further. Questions 81 to 84 seek information on the types of buyers and sellers of volatility in interest rate markets, with the first two focusing on short-dated volatility at the "front end" of the yield curve and the final two focusing on longer-dated volatility. Question 85 solicits information about the buyer of volatility in equity markets. Question 86 asks about the sellers of equity volatility.

81. How have your firm's institutional clients of the following types changed their long positioning in the volatility of short-term interest rates--that is, trades that would benefit from rising volatility in the zero-to-three-year segment of the yield curve--since the beginning of the year?

  1. Hedge Funds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 11.8
    Remained basically unchanged 9 52.9
    Decreased somewhat 6 35.3
    Decreased considerably 0 0.0
    Total 17 100.0

  2. Mutual funds and ETFs
    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

  3. Pension plans and endowments
    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

  4. Insurance companies
    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

  5. Separately managed accounts established with investment advisors
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 8.3
    Remained basically unchanged 11 91.7
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 12 100.0

82. How have your firm's institutional clients of the following types changed their short positioning in the volatility of short-term interest rates--that is, trades that would benefit from declining volatility in the zero-to-three-year segment of the yield curve--since the beginning of the year?

  1. Hedge Funds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 4 25.0
    Remained basically unchanged 10 62.5
    Decreased somewhat 2 12.5
    Decreased considerably 0 0.0
    Total 16 100.0

  2. Mutual funds and ETFs
    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

  3. Pension plans and endowments
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 15 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 15 100.0

  4. Insurance companies
    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

  5. Separately managed accounts established with investment advisors
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 11 91.7
    Decreased somewhat 1 8.3
    Decreased considerably 0 0.0
    Total 12 100.0

83. How have your firm's institutional clients of the following types changed their long positioning in the volatility of longer-term interest rates--that is, trades that would benefit from rising volatility in the greater-than-three-year segment of the yield curve--since the beginning of the year?

  1. Hedge Funds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 6.3
    Remained basically unchanged 11 68.8
    Decreased somewhat 4 25.0
    Decreased considerably 0 0.0
    Total 16 100.0

  2. Mutual funds and ETFs
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 7.1
    Remained basically unchanged 11 78.6
    Decreased somewhat 2 14.3
    Decreased considerably 0 0.0
    Total 14 100.0

  3. Pension plans and endowments
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 13.3
    Remained basically unchanged 13 86.7
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 15 100.0

  4. Insurance companies
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 13.3
    Remained basically unchanged 13 86.7
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 15 100.0

  5. Separately managed accounts established with investment advisors
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 8.3
    Remained basically unchanged 10 83.3
    Decreased somewhat 1 8.3
    Decreased considerably 0 0.0
    Total 12 100.0

84. How have your firm's institutional clients of the following types changed their short positioning in the volatility of longer-term interest rates--that is, trades that would benefit from declining volatility in the greater-than-three-year segment of the yield curve--since the beginning of the year?

  1. Hedge Funds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 12.5
    Remained basically unchanged 13 81.3
    Decreased somewhat 1 6.3
    Decreased considerably 0 0.0
    Total 16 100.0

  2. Mutual funds and ETFs
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 14.3
    Remained basically unchanged 11 78.6
    Decreased somewhat 1 7.1
    Decreased considerably 0 0.0
    Total 14 100.0

  3. Pension plans and endowments
    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

  4. Insurance companies
    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

  5. Separately managed accounts established with investment advisors
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 8.3
    Remained basically unchanged 10 83.3
    Decreased somewhat 1 8.3
    Decreased considerably 0 0.0
    Total 12 100.0

85. How have your firm's institutional clients of the following types changed their long positioning in equity volatility--that is, trades that would benefit from rising volatility of equities--since the beginning of the year?

  1. Hedge Funds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 5 29.4
    Remained basically unchanged 9 52.9
    Decreased somewhat 3 17.6
    Decreased considerably 0 0.0
    Total 17 100.0

  2. Mutual funds and ETFs
    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

  3. Pension plans and endowments
    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

  4. Insurance companies
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 1 6.7
    Remained basically unchanged 13 86.7
    Decreased somewhat 1 6.7
    Decreased considerably 0 0.0
    Total 15 100.0

  5. Separately managed accounts established with investment advisors
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 11 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 11 100.0

86. How have your firm's institutional clients of the following types changed their short positioning in equity volatility--that is, trades that would benefit from declining volatility of equities--since the beginning of the year?

  1. Hedge Funds
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 4 23.5
    Remained basically unchanged 10 58.8
    Decreased somewhat 3 17.6
    Decreased considerably 0 0.0
    Total 17 100.0

  2. Mutual funds and ETFs
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 2 14.3
    Remained basically unchanged 12 85.7
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 14 100.0

  3. Pension plans and endowments
    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

  4. Insurance companies
    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

  5. Separately managed accounts established with investment advisors
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 11 100.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 11 100.0

Liquid Alternative Funds

A number of asset managers have reportedly established "liquid alternative" funds over the past several years. These funds, organized as traditional open-ended mutual funds and regulated as such under provisions of the Investment Company Act of 1940, offer investment strategies that in some respects, notably in the use of leverage and short positions, resemble those offered by hedge funds. Question 87 solicits information on the growth of these funds over the past year by investment strategy. Question 88 asks about changes in the use of leverage by such funds over the same horizon.

87. Considering asset managers with which your firm has a client relationship, how has the overall volume of assets under management in liquid alternative products focused on each of the following broad investment strategies changed over the past year?

  1. Equity long-short strategies
    Number of Respondents Percent
    Increased considerably 3 20.0
    Increased somewhat 5 33.3
    Remained basically unchanged 7 46.7
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 15 100.0

  2. Equity event-driven strategies
    Number of Respondents Percent
    Increased considerably 2 15.4
    Increased somewhat 5 38.5
    Remained basically unchanged 6 46.2
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 13 100.0

  3. Macro-oriented strategies
    Number of Respondents Percent
    Increased considerably 1 7.7
    Increased somewhat 2 15.4
    Remained basically unchanged 10 76.9
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 13 100.0

  4. Credit-oriented strategies
    Number of Respondents Percent
    Increased considerably 1 7.7
    Increased somewhat 2 15.4
    Remained basically unchanged 10 76.9
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 13 100.0

88. Considering the entire range of transactions facilitated by your institution for liquid alternative funds pursuing each of the broad investment strategies specified below, how has the use of financial leverage changed over the past year?

  1. Equity long-short strategies
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 4 28.6
    Remained basically unchanged 9 64.3
    Decreased somewhat 1 7.1
    Decreased considerably 0 0.0
    Total 14 100.0

  2. Equity event-driven strategies
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 3 25.0
    Remained basically unchanged 8 66.7
    Decreased somewhat 1 8.3
    Decreased considerably 0 0.0
    Total 12 100.0

  3. Macro-oriented strategies
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 0 0.0
    Remained basically unchanged 10 83.3
    Decreased somewhat 2 16.7
    Decreased considerably 0 0.0
    Total 12 100.0

  4. Credit-oriented strategies
    Number of Respondents Percent
    Increased considerably 0 0.0
    Increased somewhat 3 25.0
    Remained basically unchanged 9 75.0
    Decreased somewhat 0 0.0
    Decreased considerably 0 0.0
    Total 12 100.0


Footnotes

1. These funds, organized as traditional open-ended mutual funds and regulated as such under provisions of the Investment Company Act of 1940, offer investment strategies that in some respects, notably in the use of leverage and short positions, resemble those offered by hedge funds. Return to text

2.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

3. The survey asks specifically about requirements, timelines, and thresholds for posting additional margin; acceptable collateral; recognition of portfolio or diversification benefits; triggers and covenants; and other documentation features, including cure periods and cross-default provisions. Return to text

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

5. For this set of special questions, responses were received from 17 or fewer of the 22 dealers included in the survey. The fractions mentioned refer to the number of responding dealers. Return to text

6. For this set of special questions, responses were received from 15 or fewer of the 22 dealers included in the survey. The fractions mentioned refer to the number of responding dealers. Return to text

7. See note 4 in the Summary. Return to text

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Last update: October 8, 2014