State Street to calculate securities lending risk

State Street has launched an online calculator providing investors with securities lending risk and return estimates.

The SL Performance Calculator assists users in finding out risk and return parameters by entering asset allocation and investment parameters into the calculator.

“ SL Performance Calculator meets a growing need among both securities lenders and borrowers to more easily establish customised risk-return parameters,” says Edward O’Brien, senior vice president and head of State Street’s global securities lending business.
“ At State Street, we understand that looking at a securities lending program’s returns, without measuring risk, is not a true measure of performance.”

In order to calculate the estimates, the internet service combines securities lending average on-loan percentages and demand spreads from the US Risk Management Association’s industry composite with collateral spreads and risk.
State Street introduced its first risk-adjusted performance measurement product, SL Performance Analyzer in March 1998.

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