Market Risk Survey
The FCIC conducted a survey of certain financial institutions’ involvement in repo lending and commercial paper markets. The FCIC received responses from 17 primary dealers, 18 insurance companies, 30 mutual funds (non-2(a)(7)), and 19 money market funds (2(a)(7)).
Surveys were sent to many of the prominent firms in each sector. FCIC staff then compiled the responses, cleaned the data and calculated summary statistics for each of the four types of financial institutions.
The FCIC requested information regarding several financial metrics from four types of financial institutions: primary dealers, insurance companies, mutual funds (non-2(a)(7)), and money market funds (2(a)(7)). The FCIC received responses from 17 primary dealers, 18 insurance companies, 20 mutual fund families, and 19 money market fund complexes detailing their participation in the repurchase agreement (repo) and commercial paper markets. FCIC staff compiled and cleaned the data and calculated the summary statistics contained in the accompanying files. The survey participants, resulting data, original survey form, and disclaimer are available on this webpage. All outstandings, holdings, and exposures are reported in millions of dollars. Please refer to the original survey form for detailed instructions and variable definitions:
Survey form and participants:Market Risk Survey Form (Excel)
Market Risk Survey Participants (Excel)
Aggregate data and related chartsMarket Risk Survey Database (Excel)
Charts from Market Risk Survey (Powerpoint)
Disclaimer: This survey is not statistically representative of the industry as a whole. Some inconsistencies may appear in the data: a sum of the component variables may not equal their reported whole due to slight discrepancies in the sets of firm data present in each calculation. The survey form may have truncated digits beyond the decimal point for data points in some responses. Many firms created ad-hoc systems to generate the data requested in the FCIC’s survey, so the resulting data may contain more errors than regular, standardized financial reports. Survey respondents may also have misclassified types of financial contracts. FCIC staff modified the underlying data to correct for identifiable errors or miscalculations and omitted observations that were inconsistent or appeared to be grossly inaccurate. FCIC staff also conducted interviews with a sample of the respondents to ensure the data were accurately interpreted.
Though FCIC staff made efforts to avoid releasing confidential, firm-level survey information, it cannot guarantee that it is impossible to deduce firm-level data from the aggregated statistics. In some cases, respondents granted the FCIC permission to release specific firm-level data points.