S&P Securities Lending
Index Series
Standard & Poor’s does not sponsor,
About the Index Series
endorse, sell or promote any S&P
index-based investment product. In a continued effort to provide transparency to the financial marketplace, S&P Indices created
the S&P Securities Lending Index Series which seeks to measure 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-indices for all three leading U.S. equity benchmarks.
The S&P Securities Lending Index Series is the first public
index series designed to measure the average cost of
borrowing U.S. equities. Securities Lending is an over-the-
counter market where participants engage in the lending
of securities to one another in exchange for collateral. As
payment for a loan, a fee is quoted as a percentage rate of
interest that accrues on the collateral for the term of the
transaction. This fee is commonly referred to as the rebate
rate and is privately negotiated between parties with little
market information made publicly available.
S&P Indices use the aggregate weighted average rebate
rate for each constituent in the index as calculated by
SunGard Astec Analytics (SunGard). SunGard aggregates the
transaction data from various market intermediaries, such as
custodians and prime brokers, and calculates the weighted
average rebate rate for each security. The rebate rate can
Contact Us: be a negative or positive value, indicating which participant
index_services@standardandpoors.com
is responsible for paying the interest, and is often based on
a spread to a benchmark funding rate like LIBOR or Federal
New York +1.212.438.2046 Funds. Movement in the indices can be largely influenced
Toronto +1.416.507.3200 by the movement of the funding rate. For this reason, S&P
London +44.20.7176.8888 Indices has also created a “Spread” version of each index
Tokyo +813.4550.8463
which reflects the spread between the funding rate and the
Beijing +86.10.6569.2919
Sydney +61.2.9255.9870
average securities lending rate for the reference equity index.
For more information, including current
data and index performance, visit our
Web site:
www.indices.standardandpoors.com
Index Construction
Index constituents are weighted based on their respective
weight in the related equity index, and are rebalanced on a
daily basis to adjust for all constituent and weighting changes
that occur in the related equity index.
If a company is added to the related equity index, but does
not have a rebate rate available at the time of the addition, it
is added with a weight of zero to the S&P Securities Lending
Index. Accordingly, all other companies included will have
their weights adjusted proportionately to account for the zero
weight. On the first date that the securities lending data is
available for the added company, the weight of that company
and all other companies in the index will be adjusted in order
to match their respective weights in the related equity index.
If a company is deleted from the underlying equity index or if
securities lending data are no longer consistently available
from SunGard, that company is deleted from the corresponding
S&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 rebate
rate. Prior to calculating the daily weighted average rebate
rate for each security, all transactions, or portions thereof,
are excluded where the rebate rate reported is within the
bottom five percent or top two and one half percent of all
rebate rates reported for that security.
 Leading Measures for S&P Securities Lending
U.S. Markets
Index Series
S&P U.S. Indices
July 31, 2009 S&P Strategy Indices
An index series that seeks to track the S&P Securities Lending Index Family
average cost of borrowing the equities S&P 500 Securities Lending Index S&P 400 Securities Lending Index S&P 600 Securities Lending Index
in the S&P 500, S&P MidCap 400, and GICS® Sector Sub-Indices
S&P SmallCap 600.

Portfolio Characteristics 3 Year Historical Performance - Rate Indices*

SPSL SPSL SPSL 700
500 400 600
550
Volume of Outstanding Loans ($ Million)
$42,924 $12,955 $10,846 400
Weighted average rebate rate
250 S&P 500 Securities Lending Index
0.22% 0.09% -0.02%
% Weight of Largest company 100 S&P 400 Securities Lending Index
3.99% 0.80% 0.70% S&P 600 Securities Lending Index
-50
Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09

Correlation Analysis 3 Year Historical Performance - Spread Indices*

Federal Funds Open Rate 150
S&P 500 Sec Lending 0.60
100
S&P 400 Sec Lending 0.80
50
S&P 600 Sec Lending 0.04
0
S&P 500 Sec Lending Spread 0.17 -50 S&P 500 Securities Lending Spread Index
S&P 400 Sec Lending Spread 0.27 S&P 400 Securities Lending Spread Index
-100
S&P 600 Sec Lending Spread 0.18 S&P 600 Securities Lending Spread Index
-150
Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09

Tickers GICS Sector Sub-Indices

S&P Securities Lending Index Series S&P 500 Securities Lending Spread Indices Q2 2009*
SM
Consumer Discretionary
Rate Indices BLOOMBERG Reuters 160 Consumer Staples
S&P 500 SPSL5U .SPSL5U Energy
120
S&P 400 SPSL4U .SPSL4U Financials
S&P 600 SPSL6U .SPSL6U 80 Healthcare
Spread Indices 40 Industrial
S&P 500 SPSL5US .SPSL5US Information Technology
0
S&P 400 SPSL4US .SPSL4US Materials
S&P 600 SPSL6US .SPSL6US -40 Telecom Services
1-Apr 16-Apr 1-May 16-May 31-May 15-Jun 30-Jun Utilities

*Please see additional disclosures concerning index S&P Securities Lending Sector Spread Sub-Indices as of 6/30/09*
performance and index levels on Page 3. The inception
120
date for the indices is September 11, 2009 at the market’s S&P 500 Securities Lending
100
close. The indices were not in existence before that
date. The charts only show backtest periods. The
80 S&P 400 Securities Lending
60
indices are unmanaged, statistical composites and their S&P 600 Securities Lending
returns do not reflect payment of any sales charges or 40
fees an investor would pay to purchase the securities 20
they represent. Such costs would lower performance. It 0
is not possible to invest directly in an index. Securities -20
lending rates will change over time, and past patterns of Cons Disc Cons Stapl Energy Financials Health- Industrial Info Tech Materials Telecom Utilities
securities lending rates are not necessarily indicative of
care Services
future patterns.

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.
Performance Disclosures
The S&P 400 Securities Lending Index, S&P 500 Securities Lending Index, S&P 600 Securities Lending Index, S&P 400 Securities Lending Spread Index, S&P
500 Securities Lending Spread Index, S&P 600 Securities Lending Spread Index and the underlying GICS sector sub-indices (collectively, the “Indices”) are
composite indices. Indices are not collective investment funds and are unmanaged. Securities lending rates will change over time, and past patterns of
securities lending rates are not necessarily indicative of future patterns. Investments based upon the Indices may lose money. It is not possible to invest
directly in an index.

The inception date for the Indices is September 11, 2009 at the market’s close. The Indices were not in existence before that date. History for the Indices is
available from May 1, 2006. The charts only depict backtest periods which do not necessarily correspond to the entire available history of the Indices.

The methodology that is currently used to create the Indices was retroactively applied to available information on weighted average rebate rates collected by
SunGard Astec Analytics to create the backtest index levels shown in the preceding pages. Prospective application of the methodology used to construct the
Indices may not result in performance commensurate with the backtest returns shown. The Indices are not based, use a modified market capitalization
weighting scheme and are rebalanced daily. Index levels are calculated using weighted average rebate rates identified with open ended, U.S. dollar
denominated cash collateral and non-exclusive and non-dividend tax contracts. If a company is added to the related equity index, but does not have available
securities lending data at the time of addition, the security is added at a weight of zero until the rates are available. If the S&P Securities Lending Index
Committee decides, in its sole discretion, that there are not consistently available securities lending data for a company, then the company is removed from the
Indices. The S&P Securities Lending Index Committee reserves the right to reinterpret publicly available information and to make changes to the Index based
on a new interpretation of that information at its sole discretion. Please refer to the methodology paper, S&P Securities Index Lending Series Methodology,
available at www.standardandpoors.com, for more details about the index constituent eligibility, construction and maintenance.

The index performance shown has inherent limitations. The index returns shown do not represent the results of actual trading of investor assets. Standard &
Poor’s maintains the indexes and calculates the index levels and performance shown or discussed, but does not manage actual assets. Indices are statistical
composites and their returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The
imposition of these fees and charges would cause actual and backtested performance to be lower than the performance shown. For example, if an index
returned 10 percent on a $100,000 investment for a 12-month period (or $10,000) and an annual asset-based fee of 1.5 percent were imposed at the end of the
period (or $1,650), the net return would be 8.35 percent (or $8,350) for the year. Over 3 years, an annual 1.5% fee taken at year end with an assumed 10%
return per year would result in a cumulative gross return of 33.1%, a total fee of $5,375 and a cumulative net return of 27.2% (or $27,200).

Disclaimers
This document does not constitute an offer of services in jurisdictions where Standard & Poor’s or its affiliates do not have the necessary licenses. Standard &
Poor’s receives compensation in connection with licensing its indices to third parties.

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other vehicle should not be made in reliance on any of the statements set forth in this presentation. Prospective investors are advised to make an investment in
any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or
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therefore, reflect real-time information.

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