IHS Markit adds iBoxx bond indices to securities lending reports
16 June 2020 London
Image: TippaPatt/Shutterstock.com
IHS Markit has added six global iBoxx bond indices to its monthly securities lending performance reports as part of the firm’s expansion of its fixed income data analytics services.
iBoxx bond indices help investors manage the complexities of the bond market by bringing greater visibility to the illiquid asset class, offering broad benchmarking and liquid tradable index solutions that track bond markets globally.
The indices IHS Markit will now analyse include iBoxx USD liquid high yield, iBoxx USD liquid investment grade, iBoxx EUR corporates, iBoxx EUR sovereigns, iBoxx USD treasuries and iBoxx global government indices.
The performance reports leverage IHS Markit securities finance analytics on the current and five-year lending returns for constituents of each iBoxx index, expanding the first set of reports that IHS Markit launched for MSCI equity indices in April.
For each iBoxx index, insight will now be provided on monthly, quarterly and annual returns, utilisation levels, contribution by securities lending fee categories and returns based on credit ratings and years to maturity.
“Following the successful launch of our monthly equity reports this year, asset managers and pension funds are keen to examine high-level metrics on securities lending performance in the fixed income space,” says Paul Wilson, managing director and global head of securities finance at IHS Markit.
“With expanded coverage for fixed income, our monthly performance reports deliver unique analysis on 12 indices, providing securities lenders with better vision on potential portfolio returns across assets.”
IHS Markit’s expansion of its visibility of the fixed income space has so far revealed that utilisation of fixed income lendable assets increased sharply in March as valuations declined and borrow demand increased. The increased borrow demand, relative to lendable supply, pushed lending fees higher and delivered increased income to beneficial owners.
Meanwhile, some of the key findings from IHS Markit’s initial review of the iBoxx bond indices shows that iBoxx USD Liquid High Yield Index return to lendable assets has declined by more than 50 percent year-over-year, while the iBoxx USD Liquid Investment Grade Index produced the lowest securities lending return, 0.3bps to 0.4bps, with general collateral credits contributing 84 percent of the return.
Other findings include:
> iBoxx EUR Corporates Index return to lendable assets increased steadily in March and April, before levelling off in May between 2bps to 3bps.
> iBoxx EUR Sovereigns Index returned 3.7bps to 5.4bps in May, with 50 percent of the revenue contributed from bonds with more than seven years to maturity remaining.
> iBoxx USD Treasuries Index returned 4.1bps to 7.5bps from securities lending fees over the 12 month period ending May 2020. The 6.4bps in quarter-to-date return nearly matches Q2 2018 returns, which were the post-crisis record for second quarter returns at 6.9bps.
iBoxx bond indices help investors manage the complexities of the bond market by bringing greater visibility to the illiquid asset class, offering broad benchmarking and liquid tradable index solutions that track bond markets globally.
The indices IHS Markit will now analyse include iBoxx USD liquid high yield, iBoxx USD liquid investment grade, iBoxx EUR corporates, iBoxx EUR sovereigns, iBoxx USD treasuries and iBoxx global government indices.
The performance reports leverage IHS Markit securities finance analytics on the current and five-year lending returns for constituents of each iBoxx index, expanding the first set of reports that IHS Markit launched for MSCI equity indices in April.
For each iBoxx index, insight will now be provided on monthly, quarterly and annual returns, utilisation levels, contribution by securities lending fee categories and returns based on credit ratings and years to maturity.
“Following the successful launch of our monthly equity reports this year, asset managers and pension funds are keen to examine high-level metrics on securities lending performance in the fixed income space,” says Paul Wilson, managing director and global head of securities finance at IHS Markit.
“With expanded coverage for fixed income, our monthly performance reports deliver unique analysis on 12 indices, providing securities lenders with better vision on potential portfolio returns across assets.”
IHS Markit’s expansion of its visibility of the fixed income space has so far revealed that utilisation of fixed income lendable assets increased sharply in March as valuations declined and borrow demand increased. The increased borrow demand, relative to lendable supply, pushed lending fees higher and delivered increased income to beneficial owners.
Meanwhile, some of the key findings from IHS Markit’s initial review of the iBoxx bond indices shows that iBoxx USD Liquid High Yield Index return to lendable assets has declined by more than 50 percent year-over-year, while the iBoxx USD Liquid Investment Grade Index produced the lowest securities lending return, 0.3bps to 0.4bps, with general collateral credits contributing 84 percent of the return.
Other findings include:
> iBoxx EUR Corporates Index return to lendable assets increased steadily in March and April, before levelling off in May between 2bps to 3bps.
> iBoxx EUR Sovereigns Index returned 3.7bps to 5.4bps in May, with 50 percent of the revenue contributed from bonds with more than seven years to maturity remaining.
> iBoxx USD Treasuries Index returned 4.1bps to 7.5bps from securities lending fees over the 12 month period ending May 2020. The 6.4bps in quarter-to-date return nearly matches Q2 2018 returns, which were the post-crisis record for second quarter returns at 6.9bps.
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