According to a press release, the S&P Securities Lending Index Series seeks to reflect the average securities-lending rate for the constituents of the S&P 500, S&P MidCap 400, S&P SmallCap 600, and the underlying GICS sector sub-indexes for all three leading U.S. equity benchmarks. In order to be classified as an eligible security in the S&P Securities Lending Index, a company must be a constituent of the related equity index.
Index constituents must also have a consistently available aggregate weighted average securities-lending rate and are then weighted based on their respective weight in the related equity index. The index undergoes a daily rebalancing to adjust for all constituent and weighting changes that occur in the related equity index.
The indexes are designed to measure the securities-lending rates associated with loans at the intermediary level, typically between custodians and prime brokers. These are private transactions that take place before loans are made to end-borrowers such as option traders, hedge funds, and other asset managers.
More information is available at www.standardandpoors.com/indices.