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IBoxx USD Treasuries SLRTL - Feb 21.pdf

iBoxx-USD-Treasuries-SLRTL---Feb-21.pdf
Preview of iBoxx USD Treasuries SLRTL - Feb 21
🔗 Source: cdn.ihsmarkit.com
📊 Size: 49 KB
👤 Author: Neerav Aggarwal
⬇️ Downloads: 33

Summary

Securities lending returns in the iBoxx USD Treasuries Index were 123.9 in 2017, 100.9 in 2018, 108.3 in 2019, 145.4 in 2020, and 165.7 in 2021, with year-over-year changes of -14%, -19%, 7%, 34%, and 14%, respectively. The index base date is January 1, 2015.

SL Revenue Contribution by Fee Categories for 2021 and 2020 were 95% and 95% for GC, 3% and 5% for Warm, and 2% and 0% for Special, respectively.

SL Return to Lendable for February 2021 was 5.4 bps for AAA-rated securities, with 100% SL Revenue Contribution.

SL Return to Lendable by Years to Maturity and Ratings for February 2021 showed returns of 4.8 bps for 7 years and more, 5.2 bps for between 3 and 5 years, 6.3 bps for between 5 and 7 years, and 5.8 bps for 3 years and less.

Annualized SL Returns to Lendable from March 2020 to February 2021 were 97.3% for GC, 1.0% for Warm, and 1.7% for Special.

Quarterly SL Returns to Lendable comparisons for 2017, 2018, 2019, 2020, and 2021 showed varying returns across different quarters.

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Securities lending returns in the iBoxx USD Treasuries Index were 123.9 in 2017, 100.9 in 2018, 108.3 in 2019, 145.4 in 2020, and 165.7 in 2021, with...

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  • File Format: PDF
  • File Size: 49 KB
  • Pages: 1
  • Language: EN
  • Author: Neerav Aggarwal
  • Total Downloads: 33
  • Last Updated: 2 months ago

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