JPMorgan ETFs (Ireland) ICAV -
Managed Futures UCITS ETF


ISINIE00BF2SYT35
Share class
Benchmark:ICE BofAML US 3-Month Treasury Bill Index

Securities lending is a long-established practice that can potentially increase returns for shareholders in investment funds that participate in the J.P. Morgan Asset Management Securities Lending Programme. Securities lending works by allowing a fund to temporarily lend securities that it owns to an approved borrower in return for a fee. The borrower is required to provide sufficient collateral to compensate the fund if the borrower fails to return the loaned securities in the agreed timeframe, subject to certain counterparty and liquidity risks.

 

Fee split

 

A significant proportion of the income generated from the securities lending program is credited to participating Sub-Funds, with a portion of the income being paid to Brown Brothers Harriman & Co. for its role as securities lending agent for the ICAV. Borrowers of securities lent by participating Sub-Funds are approved by the Management Company after appropriate assessment of such borrowers’ status and financial standing. The Management Company waives the incremental income received from the portion of income generated from the securities lending program, for its oversight of the program; hence, 90% of any incremental income earned from the securities lending is accrued to the applicable Sub-Fund, whilst the remaining 10% income is paid to the securities lending agent which arranges the transaction. The net income earned from the securities lending program is detailed in the financial statements.

 

Download the complete list xls
Securities Lending Data for ETFas at 31/08/2020
Annual Securities Lending Return (%)10 %
Average value of positions-on-loan(% of AuM)20 %
Maximum-on-loan (% of AuM)30 %
Value of current collateral (average)40 %
1 12 month Net revenue divided by the average NAV of the fund over the same period.
2 Calculated as daily market value of outstanding loans / daily average holdings.
3 Calculated as highest daily market value of outstanding loans / daily average holdings.
4 Calculated as the average collateral level over the month – please note ETFs are collateralised at the net level so this figure will be the same for each of the funds which are actively lending.
If zero values shown sub fund has not actively lent securities during the reported period.
Top positions of Securities held as Collateralas at 31/08/2020
ISINNameCurrencyWeighting
NL0000102234NETHERLANDS GOVERN 4.0 15JAN37 144AEUR100 %
The lending program is collateralised at ICAV level hence each ETF is covered by the pool of held collateral assets. Information shown is the month end position for the period.
Approved Borrowers
Bank of Montreal (London Branch)
Bank of Nova Scotia (London Branch)
Barclays Bank PLC
Barclays Capital Securities Limited
Citigroup Global Markets Limited
Credit Suisse AG (Dublin branch)
Credit Suisse Securities (Europe) Ltd
Goldman Sachs International
HSBC Bank Plc
ING Bank N.V
Merrill Lynch International
Morgan Stanley & Co International PLC
Natixis
Skandinaviska Enskilda Banken AB (publ)
Societe Generale SA
UBS AG (London Branch)
Collateral Requirements
Type of loanMinimum Collateral Requirement
Dollar denominated securities secured by Dollar denominated government securities102 %
Dollar denominated securities secured by non-Dollar denominated government securities105 %
Non-Dollar denominated securities secured by government Securities in the same denomination as the lent Securities105 %
Non-Dollar denominated securities secured by government Securities in a different denomination from the lent Securities102 %
Securities Lending Policy PDF
JPM ETF Securities Lending PDF