Senior Credit Officer Opinion Survey on Dealer Financing Terms
Senior Credit Officer Opinion Survey, June 2023
Almost two-thirds of dealers indicated that they provide a material amount of financing for clients engaged in relative-value trading involving Treasury securities. These dealers indicated the following:
- For clients that engage in relative-value trading involving Treasury securities, the terms offered for funding collateralized by Treasury securities were reported to be mostly unchanged, on net, over the past three months.
- More than three-fifths of these respondents indicated that they provided Treasury financing in which clients also held offsetting futures positions. Of this subset, one-half of the respondents indicated that more than 5 percent of such financing allows for cross-margining between the two positions.
- More than one-half of these respondents indicated that they were able to distinguish Treasury cash-futures basis trading activity from other relative-value trading related activity.
With respect to activity related to Treasury cash-futures basis trading, respondents who were able to distinguish Treasury cash-futures basis trading from other relative-value trading involving Treasury securities indicated the following:
- About three-fifths of such dealers indicated that they provide a material amount of financing to clients engaged in Treasury cash-futures basis trading.
- Of those dealers, one-half, on net, indicated that both the demand for financing and the level of financing volume for Treasury cash-futures basis trades over the past three months were above their average levels seen over the previous two years and that such demand and volumes had increased over the past three months. Respondents cited increased availability of trading opportunities as the main reason for the increased demand.
The full survey is available at https://www.federalreserve.gov/data/scoos/scoos-202306.htm