So far, California Public Employees’ Retirement System, Sacramento, and four or five other funds are participants in the database, according to eSecLending, which is an Internet platform for securities lending auctions.
Participants are asked to provide daily securities lending transaction information such as rebate rates and lending terms for each security. In turn, participants will be allowed to use the database to conduct risk measurement and performance attribution analysis.
“Our goal is to have some form of benchmarking for securities lending,” said Alan Matson, director of research.
Mr. Matson estimates that eSecLending will need between $200 billion and $500 billion of securities available for loan on the database to have enough transactions to have a statistically valid database for benchmarking comparisons.
The database, which will be searchable by CUSIP, is being built with help from Nobel laureate Harry Markowitz, who is on the company’s advisory board. Mr. Markowitz has worked with other database projects in his career and is hopeful to use the database in his research on securities financing, Mr. Matson said.
Beside CUSIP, data fields will include: the quantity of security on loan; loan start date; loan end date; rebate rate; and whether the trade is a cash or collateral trade.
Third quarter will be the first quarter eSecLending will be aggregating information to provide benchmarking data to participants and other interested parties.
Pre-set indexes will be part of the rollout package and have yet to be established. These indexes would give database users an idea as to how much they may have to gain from lending an S&P 500 portfolio.
By Susan L. Barreto, Senior Reporter SBarreto@HedgeWorld.com