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ISTOXX INDICES

iSTOXX Europe Collateral

Index Description

The iSTOXX Europe Collateral Basket Index represents a diversified basket of securities that meets broadly accepted criteria for general collaterals. The index components derived from stocks in the STOXX Europe 600 Index that satisfy criteria for liquidity and borrowing costs and are traded on exchanges in the following countries: Netherlands, Belgium, Denmark, Germany, Finland, France, Italy, Portugal, Spain, Norway, Sweden, Austria, and Poland excluding those with an ISIN country code of France, Italy and Switzerland. In addition, only components which have no pending corporate event or dividend distribution are eligible for the index. The index is weighted by free-float market capitalization, with a cap at component level.

Key facts

  • Uses broad liquid benchmark STOXX Europe 600 as universe
  • Meets broadly accepted criteria for general collaterals
  • Screens for liquidity and borrowing costs
  • Weighted by free-float market capitalization, with a cap at component level

Descriptive Statistics

Index Market Cap (EUR bn) Components (EUR bn) Component weight (%) Turnover (%)
Full Free-float Mean Median Largest Smallest Largest Smallest Last 12 monts
iSTOXX Europe Collateral 4,405.7 3,448.6 16.8 6.3 180.6 1.0 5.2 0.0 67.8
STOXX Europe 600 13,831.5 11,004.0 18.3 6.4 403.4 1.0 3.7 0.0 3.3

Supersector weighting (top 10)

Country weighting

Risk and return figures1

Index returns Return (%) Annualized return (%)
Last month YTD 1Y 3Y 5Y Last month YTD 1Y 3Y 5Y
iSTOXX Europe Collateral 4.0 12.4 21.8 22.4 62.9 N/A N/A 22.1 7.0 10.4
STOXX Europe 600 3.3 10.1 17.8 25.5 58.7 N/A N/A 18.1 7.9 9.8
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Collateral N/A N/A 10.9 16.5 19.2 N/A N/A 1.4 0.3 0.5
STOXX Europe 600 N/A N/A 9.9 14.5 17.6 N/A N/A 1.2 0.4 0.5
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Collateral 0.9 0.9 1.0 1.0 1.0 3.8 3.6 3.2 4.0 4.1
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Collateral 1.0 1.1 1.1 1.1 1.1 1.8 1.4 1.1 -0.1 0.2

1For information on data calculation, please refer to STOXX calculation reference guide

2Based on EURIBOR1M

(EUR, Net Return), all data as of May 31, 2024

ISTOXX INDICES

iSTOXX Europe Collateral

Fundamentals

Index Price/earnings incl. negative Price/earnings excl. negative Price/book Dividend yield (%)3 Price/sales Price/cash flow
Trailing Projected Trailing Projected Trailing Trailing Trailing
iSTOXX Europe Collateral 18.3 13.9 15.1 15.1 2.0 0.0 1.3 20.3
STOXX Europe 600 17.7 14.1 15.6 15.6 2.0 3.1 1.4 7.8

Performance and annual returns

Methodology

The iSTOXX Europe Collateral Basket Index is derived from stocks in the STOXX Europe 600 Index that satisfy criteria for liquidity and borrowing costs and are traded on exchanges in the following countries: Netherlands, Belgium, Denmark, Germany, Finland, France, Italy, Portugal, Spain, Norway, Sweden, Austria, and Poland excluding those with an ISIN country code of France, Italy and Switzerland. In addition, only components which have no pending corporate event or dividend distribution are eligible for the index. The index is weighted by free-float market capitalization, with a cap at component level. It is reviewed monthly. The detailed methodology including the calculation formula can be found in our rulebooks: www.stoxx.com/rulebooks

Versions and symbols

Index ISIN Symbol Bloomberg Reuters
Price EUR CH0443816282 ISXCOLEP .ISXCOLEP
Net Return EUR CH0443816332 ISXCOLEN ISXCOLEN INDEX .ISXCOLEN
Gross Return EUR CH0443816290 ISXCOLEG .ISXCOLEG
Net Return USD CH0443816316 ISXCOLUN .ISXCOLUN
Gross Return USD CH0443816324 ISXCOLUG .ISXCOLUG
Price USD CH0443816308 ISXCOLUP .ISXCOLUP

Quick Facts

Weighting based on free-float market capitalization
Cap Factor max(5%,1/component number)
No. of components variable
Review frequency monthly
Calculation/distribution realtime 15 sec
Calculation hours 09:00:00 18:00:00
Base value/base date 100 as of Feb. 17, 2012
History 17/02/2012
Inception date Jul. 03, 2019
To learn more about the inception date, the currency, the calculation hours and historical values, please see our data vendor code sheet.

ISTOXX INDICES

iSTOXX Europe Collateral

Top 10 Components4

Company Supersector Country Weight
ASML HLDG Technology Netherlands 5.236%
NOVO NORDISK B Health Care Denmark 5.153%
SHELL Energy UK 4.946%
SAP Technology Germany 4.803%
SIEMENS Industrial Goods and Services Germany 3.828%
ALLIANZ Insurance Germany 3.048%
AIRBUS Industrial Goods and Services France 2.652%
AIRBUS Industrial Goods and Services Germany 2.652%
DEUTSCHE TELEKOM Telecommunications Germany 2.241%
BCO SANTANDER Banks Spain 2.219%

3Net dividend yield is calculated as net return index return minus price index return

4Based on the composition as of May 31, 2024