Quarterly Aggregate Composite

The Securities Lending Committee of The Risk Management Association (RMA) released the Quarterly Aggregate Data Survey that covers the first quarter of 2014. Fourteen (14) 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. dollars.

The report, compiled and prepared for publication by Markit (formerly DataExplorers LLC) and RMA, includes:

  • 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 a blended average rate of the FED Open and FED Target for USD report and EONIA for the EURO report over the quarter.

As always, the RMA Securities Lending Committee cautions against precise comparisons by members relating to the performance of funds and plan sponsors or 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 approximately 2,500 financial services providers. These institutions are represented in the association by 16,000 risk and credit personnel in 50 states, Puerto Rico, Canada, and numerous foreign cities, including London, Sydney, Hong Kong, and Singapore.

For information please contact Fran Garritt, Director, Securities Lending & Market Risk, RMA, 1801 Market Street, Suite 300, Philadelphia, PA 19103, Tel.: 215-446-4003 Fax: 215-446-4101.