SECURITIES LENDING & REPO MARKETS

A CACEIS PRODUCT DEVELOPMENT PUBLICATION - OCTOBER 2010

INDEX OF FIGURES

FIGURE

TITLE

PAGE

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Illustration of a standard repo transaction Valuated example of a repo transaction

10 11 11 13 14 15 16 16 17 18 24 24 25 26 26 27 28 28 29 31 32 33 34 35 36 39

Repo transaction lifecycle

Illustration of a standard securities lending transaction

Valuated example of a securities loan transaction

Securities lending transaction lifecycle

Comparison of repo and securities loan instruments

Illustration of a financing arrangement combining securities lending and repo

How total return swaps (TRS) work

10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28

Evolution of securities lending and repo markets across time Aggregate total of lendable assets and total on loan worldwide (Q2 2010) Total on loan, breakdown by geographical region in USDMM and in % (Q2 2010)

Lendable assets and total on loan, North America (Q2 2010) Lendable assets and total on loan, Europe (Q2 2010) European equities on loan, breakdown by country (Q2 2010) Lendable assets and total on loan, Asia Pacific (Q2 2010)

European repo market size from 2001 to 2009

Cash currency analysis in the European repo market as at December 2009 Collateral analysis in the European repo market as at December 2009

Main players involved in securities lending transactions

Illustration of a typical “Principal borrower” model offered by a custodian bank Illustration of trading strategies relying on securities borrowing Illustration of a typical “lender agent” model offered by a custodian bank Benefits for beneficial owners when employing an agent lender

Tri-party collateral management arrangement Illustration of a typical tri-party arrangement

Automatic trading systems market share in the European repo market as at December 2009 41

Illustration of an arrangement with a CCP

41

29

Tax framework in North America (based on information current as at 01/01/2010)

45

30

Tax framework in Europe (based on information current as at 01/01/2010)

46

31

Tax framework in Asia Pacific (based on information current as at 01/01/2010)

48

32

An overview of the most important changes related to new FATCA Act in the US

49

33

IIllustration of a typical arrangement to optimise collateral management

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34

% of collateral taken as cash in securities lending transactions

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35

Illustration of the cash collateral reinvestment process

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36

Identification of risks in repo & securities lending and means of mitigation

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Securities Lending & Repo markets | page 7