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S&P Securities LendingIndex Series
Standard & Poor’s does not sponsor,endorse, sell or promote any S&Pindex-based investment product.
About the Index Series
In a continued effort to provide transparency to the financial marketplace, S&P Indices createdthe S&P Securities Lending Index Series which seeks to measure the average securities lendingrate for the constituents of the S&P 500
®
, S&P MidCap 400, S&P SmallCap 600, and theunderlying GICS
®
sector sub-indices for all three leading U.S. equity benchmarks.
The S&P Securities Lending Index Series is the first publicindex series designed to measure the average cost ofborrowing U.S. equities. Securities Lending is an over-the-counter market where participants engage in the lendingof securities to one another in exchange for collateral. Aspayment for a loan, a fee is quoted as a percentage rate ofinterest that accrues on the collateral for the term of thetransaction. This fee is commonly referred to as the rebaterate and is privately negotiated between parties with littlemarket information made publicly available.S&P Indices use the aggregate weighted average rebaterate for each constituent in the index as calculated bySunGard Astec Analytics (SunGard). SunGard aggregates thetransaction data from various market intermediaries, such ascustodians and prime brokers, and calculates the weightedaverage rebate rate for each security. The rebate rate canbe a negative or positive value, indicating which participantis responsible for paying the interest, and is often based ona spread to a benchmark funding rate like LIBOR or FederalFunds. Movement in the indices can be largely influencedby the movement of the funding rate. For this reason, S&PIndices has also created a “Spread” version of each indexwhich reflects the spread between the funding rate and theaverage securities lending rate for the reference equity index.
Index Construction
Index constituents are weighted based on their respectiveweight in the related equity index, and are rebalanced on adaily basis to adjust for all constituent and weighting changesthat occur in the related equity index.If a company is added to the related equity index, but doesnot have a rebate rate available at the time of the addition, itis added with a weight of zero to the S&P Securities LendingIndex. Accordingly, all other companies included will havetheir weights adjusted proportionately to account for the zeroweight. On the first date that the securities lending data isavailable for the added company, the weight of that companyand all other companies in the index will be adjusted in orderto match their respective weights in the related equity index.If a company is deleted from the underlying equity index or ifsecurities lending data are no longer consistently availablefrom SunGard, that company is deleted from the correspondingS&P Securities Lending Index.
Index Membership
• 
Universe.
A company must be a constituent of the S&P 500,S&P MidCap 400, or S&P SmallCap 600.• 
Rates.
A company must have a consistently available rebaterate. Prior to calculating the daily weighted average rebaterate for each security, all transactions, or portions thereof,are excluded where the rebate rate reported is within thebottom five percent or top two and one half percent of allrebate rates reported for that security.
Contact Us:
index_services@standardandpoors.comNew York +1.212.438.2046Toronto +1.416.507.3200London +44.20.7176.8888Tokyo +813.4550.8463Beijing +86.10.6569.2919Sydney +61.2.9255.9870For more information, including currentdata and index performance, visit ourWeb site:
www.indices.standardandpoors.com
 
S&P U.S. Indices
Portfolio Characteristics3 Year Historical Performance - Rate Indices*SPSLSPSLSPSL500400600
Volume of Outstanding Loans ($ Million)$12,955$10,846Weighted average rebate rate0.09%-0.02%% Weight of Largest company0.80%0.70%
Correlation Analysis3 Year Historical Performance - Spread Indices*Federal Funds Open Rate
S&P 500 Sec Lending0.60S&P 400 Sec Lending0.80S&P 600 Sec Lending0.04S&P 500 Sec Lending Spread0.17S&P 400 Sec Lending Spread0.27S&P 600 Sec Lending Spread0.18
TickersGICS Sector Sub-Indices
S&P Securities Lending Index Series
S&P 500 Securities Lending Spread Indices Q2 2009*
Rate IndicesBLOOMBERG
SM
ReutersS&P 500SPSL5U.SPSL5US&P 400SPSL4U.SPSL4US&P 600SPSL6U.SPSL6USpread IndicesS&P 500SPSL5US.SPSL5USS&P 400SPSL4US.SPSL4USS&P 600SPSL6US.SPSL6US
S&P Securities Lending Sector Spread Sub-Indices as of 6/30/09*
Standard & Poor's assumes no responsibility for the accuracy or completeness of the above data and disclaims all express or implied warranties in connection therewith.
*Please see additional disclosures concerning indexperformance and index levels on Page 3. The inceptiondate for the indices is September 11, 2009 at the market’sclose. The indices were not in existence before thatdate. The charts only show backtest periods. Theindices are unmanaged, statistical composites and theirreturns do not reflect payment of any sales charges orfees an investor would pay to purchase the securities they represent. Such costs would lower performance. Itis not possible to invest directly in an index. Securitieslending rates will change over time, and past patterns ofsecurities lending rates are not necessarily indicative offuture patterns.
S&P 600 Securities Lending IndexS&P 400 Securities Lending IndexS&P 500 Securities Lending Index$42,924GICSSector Sub-Indices0.22%S&P Securities Lending Index Family
Leading Measures forU.S. Markets
S&P Securities LendingIndex Series
S&P Strategy Indices
An index series that seeks to track theaverage cost of borrowing the equitiesin the S&P 500, S&P MidCap 400, andS&P SmallCap 600.
July 31, 2009
3.99%
-50100250400550700Jul-06Oct-06Jan-07Apr-07Jul-07Oct-07Jan-08Apr-08Jul-08Oct-08Jan-09Apr-09Jul-09S&P 500 Securities Lending IndexS&P 400 Securities Lending IndexS&P 600 Securities Lending Index-150-100-50050100150Jul-06Oct-06Jan-07Apr-07Jul-07Oct-07Jan-08Apr-08Jul-08Oct-08Jan-09Apr-09Jul-09S&P 500 Securities Lending Spread IndexS&P 400 Securities Lending Spread IndexS&P 600 Securities Lending Spread Index-40040801201601-Apr16-Apr1-May16-May31-May15-Jun30-JunConsumer DiscretionaryConsumer StaplesEnergyFinancialsHealthcareIndustrialInformation TechnologyMaterialsTelecom ServicesUtilities-20020406080100120Cons DiscCons StaplEnergyFinancialsHealth-careIndustrialInfo TechMaterialsTelecomServicesUtilitiesS&P 500 Securities LendingS&P 400 Securities LendingS&P 600 Securities Lending
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