PHILADELPHIA -- About 18% of the estimated $1.6 trillion in lendable securities was on loan during the first quarter of 1998, a new survey shows.
The survey, by the RMA Committee on Securities Lending, is expected to be compiled quarterly. RMA is an international association of credit risk professionals.
Of lendable securities, $733 billion was U.S. equities (including American depository receipts); $335 billion, U.S. corporate bonds; $214 billion, U.S. Treasuries; $52 billion, U.S. agency securities; $239 billion, non-U.S. equities; and $46 billion, non-U.S. bonds.
The weighted average return on loans for U.S. equities was 40 basis points; U.S. corporate bonds, 41; U.S. Treasuries, 26; and U.S. agencies, 23. The weighted average aggregate return on loans for non-U.S. equities was 69 basis points and for non-U.S. bonds, 34.
The composite cash reinvested return was 5.66% for the quarter, while the total market value of cash reinvestments was $238 billion.
The credit tiers of a cash reinvestment portfolio are: 10% AAA; 22% AA; 37% A/investment grade; 15% repurchase agreement government collateral; 2% AAA corporate; 5% AA corporate; 4% A/investment grade; 2% non-investment grade; 1% external money market managed funds; and 2% other vehicles (structured notes that don't have a credit rating).
The average liquidity for cash reinvestment was 121.80 days. The weighted average maturity of a loan to the next reset was 30.12 days.
The difference between the average interest rate reset on investment and the average rebate rate reset on cash loans was 20.43 days.
Survey data represent primary lending markets worldwide, with cash-collateral reinvestment data aggregated to reflect reinvestment return, interest-rate sensitivity, liquidity and credit tiering.
Seventeen agent lenders participated in the survey: Banc One Trust Co.; Bankers Trust Co.; Barclays Global Investors; Chase Manhattan Bank; Citibank N.A.; Comerica Bank; Deutsche Bank; Investors Bank & Trust; Key Asset Management Inc.; M&I Investment Management, Inc.; Morgan Stanley Trust Co.; The Northern Trust Co.; Norwest Investment Management Inc.; Prudential Insurance Co.; Sun Trust Banks Inc.; U.S. Bank N.A.; and Union Bank of California NA.
Charles Weidman, RMA subcommittee chairman, said the primary objective of the survey "is to provide publicly available securities-lending data in a logical format consistent with how most lending funds and plan sponsors review their programs."
The organization plans to release data on a quarterly basis, with the possibility of some tweaking with credit tiers and other categories for future reports, said Curtis Knight, RMA manager, securities lending.
This initial survey is a culmination of 18 months of work with survey participants to define data elements, nomenclature, calculation formulas and reporting techniques. The group reviewed and evaluated the data aggregates for each of the past six quarters.
For now the survey results are free, but down the line RMA may ask industry professionals to subscribe, Mr. Knight added.
