AMCC Bond Market Liquidity Working Party - Member questionnaire on corporate bond market micro-structures and behaviours

Buy-side Questionnaire

This questionnaire is targeted at investors, asset managers, and other liquidity takers for corporate bonds. If your firm is active in the different regions and/or operates under different investor categories, please complete separate questionnaires for each region and investor category.

Note that all responses will be aggregated and treated with full anonymity.

Respondent details

Firm
Title/Position
Respondent name
Contact email
Location

Relevant region

North America (US &/or Canada) Europe (incl. UK) Japan Brazil Other

Which of the following investor categories best describes yourself:

Pension Fund
Insurance Fund
Bank Treasury (including Development Bank)
Institutional Fund Manager (Passive)
Institutional Fund Manager (Active)
Retail Fund Manager (Passive)
Retail Fund Manager (Active)
Hedge Fund (Credit)
Hedge Fund (other)
ETF AP/Market-Maker
Corporate Treasury
Direct Retail/PWM
Other

Under stressed market conditions (such as during the Mar-April 2020 turmoil), what are your main concerns? Please score, where 0 is no concern and 3 is of high concern.

Redemptions 0 1 2 3
Mark-to-market 0 1 2 3
Credit downgrades 0 1 2 3
Defaults 0 1 2 3
Correlation risks/contagion 0 1 2 3
Margin calls on derivative positions 0 1 2 3
Secondary market liquidity 0 1 2 3
Primary market liquidity 0 1 2 3
Other 0 1 2 3

Under stressed market conditions (such as during the Mar-April 2020 turmoil), which of the flowing actions are you likely to take with respect to your corporate bond holdings?

Reduce overall holdings of corporate bonds Unlikely Quite likely Very likely
Increase holdings of corporate bonds Unlikely Quite likely Very likely
Reduce exposure to lower credits (sell bonds) Unlikely Quite likely Very likely
Increase exposure to lower credits (buy bonds) Unlikely Quite likely Very likely
Reduce exposure to higher credits (sell bonds) Unlikely Quite likely Very likely
Increase exposure to higher credits (buy bonds) Unlikely Quite likely Very likely
Increase overall duration Unlikely Quite likely Very likely
Decrease overall duration Unlikely Quite likely Very likely
Hedge credit risk using CDS index Unlikely Quite likely Very likely
Hedge credit risk using SN-CDS Unlikely Quite likely Very likely
Hedge credit risk using ETFs Unlikely Quite likely Very likely
Hedge credit risk using other instruments Unlikely Quite likely Very likely
Look for relative value opportunities Unlikely Quite likely Very likely
Other actions Unlikely Quite likely Very likely