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IBoxx EUR Sovereigns SLRTL - March 21.pdf

iBoxx-EUR-Sovereigns-SLRTL-Mar-21.pdf
Preview of iBoxx EUR Sovereigns SLRTL - March 21
🔗 Source: cdn.ihsmarkit.com
📊 Size: 72 KB
👤 Author: Neerav Aggarwal
⬇️ Downloads: 50

Summary

Securities lending returns in the iBoxx EUR Sovereigns Index were 104.9 in 2017, 93.9 in 2018, 81.7 in 2019, 77.8 in 2020, and 81.3 in 2021, with year-over-year changes of 10%, -10%, -13%, -5%, and 5%, respectively. The index base date is January 1, 2015.

SL Revenue Contribution by Fee Categories shows that in 2021, 95% of revenue came from GC (general collateral), 5% from Warm (medium fee), and 0% from Special (high fee) categories.

SL Return to Lendable by Years to Maturity and Ratings for March 2021 indicates returns of 5.9bps for AAA-rated bonds, 4.3bps for AA, 2.1bps for A, and 1.8bps for BBB, with corresponding revenue contributions of 37%, 50%, 6%, and 7%.

The report also provides data on Indexed Utilization, which tracks daily changes in lender loan value relative to lendable value, and SL Returns to Lendable for different periods, including quarterly comparisons from 2017 to 2021.

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Description

Securities lending returns in the iBoxx EUR Sovereigns Index were 104.9 in 2017, 93.9 in 2018, 81.7 in 2019, 77.8 in 2020, and 81.3 in 2021, with...

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  • Language: EN
  • Author: Neerav Aggarwal
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