The Securities Lending Committee of The Risk Management Association (RMA) released the Quarterly Aggregate Data Survey that covers the second quarter of 2008. Twenty (20) financial institutions provided data. The listing of institutions appears on the composite report. Survey data is presented for primary lending markets worldwide, with cash-collateral reinvestment data aggregated to reflect reinvestment return, interest-rate sensitivity, liquidity, credit tiering, and instrument types for both U.S. dollar and euro currency collateral. Lending activity is also provided for all other currency collateral converted to U.S. dollar.
This represents the second report prepared for publication by Performance Explorer (PX) and RMA. There are a few differences with the new report:
- A total report (ALL) has been created, which totals the USD, EURO, and ALL OTHER currency reports using the U.S. dollar as the common currency. Noncash collateral loans appear in the ALL report and not in the individual currency reports.
- In addition, an instrument grouping of the asset classes and how the PX program maps these assets into the categories is included.
- Finally, for the comparison of rates in the cash spread column, the rates used are the FED Funds Open for USD report and EONIA for the EURO report.
As always, the RMA Securities Lending Committee cautions against precise comparisons by lending funds and plan sponsors of their individual program performances versus the industry aggregate data, because any number of program objectives, guidelines, restrictions, asset holding, and tax profiles will influence program performance.
RMA is the premier international association of risk professionals. Founded in 1914, its membership consists of more than 3,000 financial services providers. These institutions are represented in the association by more than 20,000 risk and credit personnel in 50 states, Puerto Rico, Canada, and numerous foreign cities, including London, Sydney, Hong Kong, and Singapore.
Public feedback is welcome by contacting Curtis Knight, Director, Securities Lending & Market Risk, RMA, 1801 Market Street, Suite 300, Philadelphia, PA 19103, Tel.: 215-446-4082, Fax: 215-446-4101, cknight@rmahq.org.
For additional information, contact:
Sandra L. Linn 312-557-2908
RMA Committee on Securities Lending
Senior Vice President, The Northern Trust Company
or
David Lonergan 415-597-2111
RMA Committee on Securities Lending
Principal, Barclays Global Investors