(Strictly intrinsic lending of 25 bps minimum with overnight cash in an Indemnified REPO Collateral (50% US Treasury, 25% US Agency, and 25% Equity S&P 500/Russell 1000) with 30 Day Absolute Term) Asset Class Lendable Percent on Assets Intrinsic Rebate Re-invest Avg. Gross SFERS Share of Net Assets Loan (using on Spread Rate in Rate Spreads Income Revenue w/ Securities (US$) a 12 month Loan (bps) bps (bps) Net (US$) Borrower Default Lending Income rolling (US$) (using a Rebate Indemnification (US$ millions) average) 12 and Fees (Percent) month (bps) rolling average) US Cap Eq US Mid & Cap Eq U.S. Corp Bonds High Yield Mortgages U.S. Govt Bonds TIPS Non-US Equities For example: $100 million loan outstanding for one year with a 0.20% net spread and a of 80/20 is equal to $160,000 ($100,000,000 x 0.002 x 0.80). CALCULATION WORKSHEET #3 Securities Lending Revenue Estimate Worksheet #3 – (Assume Cash Reinvestment Guidelines as specified in Appendix H) Asset Class Lendable Percent on Assets Intrinsic Rebate Re-invest Avg. Gross SFERS Share of Net SFERS Assets Loan (using on Spread Rate in Rate Spreads Income Revenue w/ Securities
(Strictly intrinsic lending of 25 bps minimum with overnight cash in an Indemnified REPO Collateral (50% US Treasury, 25% US Agency, and 25% Equity S&P 500/Russell 1000) with 30 Day Absolute Term) Asset Class Lendable Assets (US$) Percent on Loan (using a 12 month rolling average) Assets on Loan (US$) Intrinsic Spread (bps) Rebate Rate in bps (using a 12 month rolling average) Re-invest Rate (bps) Avg. Spreads Net Rebate and Fees (bps) Gross Income (US$) SFERS Share of Revenue w/ Borrower Default Indemnification (Percent) Net Securities Lending Income (US$ millions) US Cap Eq US Mid & Cap Eq U.S. Corp Bonds High Yield Mortgages U.S. Govt Bonds TIPS Non-US Equities For example: $100 million loan outstanding for one year with a 0.20% net spread and a of 80/20 is equal to $160,000 ($100,000,000 x 0.002 x 0.80). CALCULATION WORKSHEET #3 Securities Lending Revenue Estimate Worksheet – #3 (Assume Cash Reinvestment Guidelines as specified in Appendix H) Asset Class Lendable Assets Percent on Loan (using Assets on Intrinsic Spread Rebate Rate in Re-invest Rate Avg. Spreads Gross Income SFERS Share of Revenue w/ Net SFERS Securities
SFERS-Custody-RFP-2015-Appendix-A.docx