The September 2020 Senior Credit Officer Opinion Survey on Dealer Financing Terms collected qualitative information on changes in credit terms and conditions in securities financing and over-the-counter (OTC) derivatives markets. In addition to the core questions, the survey included two sets of special questions. The first set asked about market functioning, funding terms, and demand for funding for commercial mortgage-backed securities (CMBS), and the second set asked about dealer funding terms for commercial mortgage real estate investment trusts (commercial mREITs). The 23 institutions participating in the survey account for almost all dealer financing of dollar-denominated securities to non-dealers and are the most active intermediaries in OTC derivatives markets. The survey was conducted during the period between August 11, 2020, and August 24, 2020. The core questions asked about changes between mid-May 2020 and mid-August 2020.
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With respect to securities financing transactions, respondents indicated the following:
Terms under which various types of securities are funded have eased for most asset classes since the previous survey, with a substantial portion of dealers reporting easing of funding terms for various types of securities. Most notably, for high-yield corporate bonds and consumer asset-backed securities (ABS), about one-half of respondents indicated easing of funding terms with respect to haircuts and collateral spreads for both average and most-favored clients.
The full survey results are available at https://www.federalreserve.gov/data/scoos/files/scoos_202009.pdf