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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 4,377.5 3,320.5 14.7 6.3 170.0 1.1 5.1 0.0 67.8
STOXX Europe 600 13,765.0 10,882.8 18.1 6.2 383.4 1.1 3.5 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 5.2 10.1 17.1 24.1 59.2 N/A N/A 17.5 7.5 9.9
STOXX Europe 600 4.0 7.7 15.0 28.6 53.0 N/A N/A 15.4 8.9 9.0
Index volatility and risk Annualized volatility (%) Annualized Sharpe ratio2
iSTOXX Europe Collateral N/A N/A 10.7 16.6 19.3 N/A N/A 1.2 0.4 0.5
STOXX Europe 600 N/A N/A 10.0 14.6 17.7 N/A N/A 1.1 0.5 0.5
Index to benchmark Correlation Tracking error (%)
iSTOXX Europe Collateral 1.0 0.9 1.0 1.0 1.0 2.8 3.5 3.2 4.1 4.0
Index to benchmark Beta Annualized information ratio
iSTOXX Europe Collateral 1.2 1.0 1.0 1.1 1.1 5.1 2.7 0.6 -0.2 0.3

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

2Based on EURIBOR1M

(EUR, Net Return), all data as of March 29, 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 18.0 13.6 14.7 14.7 1.7 0.0 1.1 21.9
STOXX Europe 600 17.3 14.1 15.1 15.1 2.0 3.0 1.4 19.8

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.

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://qontigo.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.

ISTOXX INDICES

iSTOXX Europe Collateral

Top 10 Components4

Company Supersector Country Weight
SHELL Energy UK 5.119%
SAP Technology Germany 4.980%
ASML HLDG Technology Netherlands 4.884%
SIEMENS Industrial Goods and Services Germany 3.991%
ALLIANZ Insurance Germany 3.277%
BCO SANTANDER Banks Spain 2.155%
IBERDROLA Utilities Spain 2.030%
MUENCHENER RUECK Insurance Germany 1.859%
STELLANTIS Automobiles and Parts Italy 1.815%
MERCEDES-BENZ GROUP Automobiles and Parts Germany 1.778%

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

4Based on the composition as of March 29, 2024

CONTACT DETAILS

  • STOXX customer support
  • P +41 43 430 7272
  • customersupport@stoxx.com
  • https://stoxx.com/support/

DISCLAIMER

STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not make any warranties or representations, express or implied, with respect to the timeliness, sequence, accuracy, completeness, currentness, merchantability, quality or fitness for any particular purpose of its index data and exclude any liability in connection therewith. STOXX, Deutsche Börse Group and their licensors, research partners or data providers are not providing investment advice through the publication of indices or in connection therewith. In particular, the inclusion of a company in an index, its weighting, or the exclusion of a company from an index, does not in any way reflect an opinion of STOXX, Deutsche Börse Group or their licensors, research partners or data providers on the merits of that company. Financial instruments based on the STOXX indices, DAX indices or on any other indices supported by STOXX are in no way sponsored, endorsed, sold or promoted by STOXX, Deutsche Börse Group or their licensors, research partners or data providers.

BACKTESTED PERFORMANCE

This document contains index performance data based on backtesting, i.e. calculations of how the index might have performed prior to launch if it had existed using the same index methodology and based on historical constituents. Backtested performance information is purely hypothetical and is provided in this document solely for information purposes. Backtested performance does not represent actual performance and should not be interpreted as an indication of actual performance.

CUSTOMIZATION

The index can be used as a basis for the definition of STOXX Customized Indices, which can be tailored to specific client or mandate needs. STOXX offers a wide range of customization, in terms of component selection, weighting schemes and personalized calculation methodologies.