News Releases

Barclays Capital, the investment banking division of Barclays Bank PLC, today announces the launch of the Barclays Capital Dividend Swap Index Family. The indices in the family track the most liquid areas of the dividend swap market, thereby delivering increased levels of transparency and access to a market that has grown to encompass the EuroStoxx 50®, FTSE™ 100, S&P 500, and Nikkei 225.

The last few years have seen the rapid growth of a market in extracting the dividend return and trading it over the counter through dividend swaps – a market that has so far been open to only the most sophisticated investors, allowing them to express views on the future levels of dividend payments, hedge positions involving uncertainty of dividend receipts and implement trades that profit from the relative value between one stream of dividend payments and another. "The levels of liquidity in the dividend swap market are increasing, with a daily dividend swap turnover on indices of almost €1 billion, " said Francois-Xavier Louvet, Managing Director, Equity Derivatives Arbitrage at Barclays Capital.

Commenting on the launch, Waqas Samad Head of Index Products at Barclays Capital said, “One of the main objectives for us at Barclays Capital is to develop index products that enable investors to analyse and invest in markets that were hitherto difficult to access. The dividend swap market has grown rapidly in the last few years and our new family of indices opens this market up to a range of investors. There are many potential benefits to investing in dividend streams, including portfolio diversification and inflation hedging. Barclays Capital research already provides deep coverage on dividends and the dividend swap markets and we hope that this family of investable and analytical indices provides an effective set of tools that is a natural complement to that research offering."

"The Barclays Capital Dividend Swap Indices give investors access to sophisticated strategies that were up to now, predominantly used by hedge funds. Investors are able to not only express views on the direction of dividends across various maturities and indices but they may also enter relative value trades such as dividend steepeners or flatteners. The creation of indices provides a transparent way of tracking the performance of the various strategies on a daily basis and also is a useful tool when considering how such a strategy would have performed historically. We expect interest on products linked to these indices from both from institutional investors and the private banking world. "added Philipp Orgler, Director, Equity Derivatives Structuring at Barclays Capital.

Barclays Capital will provide data, analytics and support for these indices via web based and other e-commerce protocols.  The indices are available on Barclays Capital’s index website

(http://www.barcap.com/indices) and are calculated daily using standard settlements and market calendars most appropriate for international investors. 

- ENDS-

For further information, please contact:

Catherine Shields, Barclays Capital Communications
+44 (0)20  7773 8939 or catherine.shields@barcap.com     

Kristin Friel, Barclays Capital Communications
+1 212  412 7521 or kristin.friel@barcap.com

Clare Williams, Barclays Capital Communications
+852 2903 2298 or clare.williams@barcap.com

Notes to editors:

About Dividend Swaps

Equity indices have been the most essential of measurement tools for all types of investors. The benchmarks of the major stock markets have served as the gauge of collective company price performance for decades, and have been incorporated as underlying tradable reference instruments in countless financial products delivering stock market returns.

In most cases, equity indices are available as price return or total return, the latter being, a blend of the return derived from stock price changes, as well as the receipt of dividends paid out to holders of the stock.

The Barclays Capital Dividend Swap Index Family opens this market up to investors of all kinds. The indices in the family track the most liquid areas of the dividend swap market, thereby delivering unprecedented levels of transparency and access to a market that has grown to encompass the FTSE FTSE™ 100, S&P 500, DJ Euro STOXX 50^® and Nikkei 225.

About the Barclays Capital Dividend Swap Index Family

The Barclays Capital Dividend Swap Indices offer to a broad range of investors the opportunity to invest on dividends in a transparent and direct way, without having to go through the OTC market.

The Indices are designed to replicate the performance of investing in equity dividend swaps. Each index reflects the return of entering into a forward starting dividend swap on an equity index, with a specific tenor T on the third Friday of December of each year. The swap position runs for a year, and then the position is unwound and a new swap position with a new dividend swap level is initiated. The new swap’s tenor is unchanged and equal to T.

• Total Return (funded) and Excess Return (unfunded) indices are available. A Total Return index assumes that the notional earns an overnight deposit rate.
• The indices are calculated for different underlyings: DJ Euro STOXX 50® (EU Indices), FTSE™ 100 (UK Indices), S&P 500 (US Indices) and Nikkei 225 (JP Indices).
• For each index a short and long versions are calculated.
• The indices are calculated for different tenors T: 2, 3, 4 and 5 years.
• The position is rolled every year (the 3rd Friday of December).
• The indices are calculated daily and the history is available from 2005.

About Barclays Capital

Barclays Capital is the investment banking division of Barclays Bank PLC which has an AA long-term credit rating and a balance sheet of over £1.2 trillion. With a distinctive business model, Barclays Capital provides large corporate, government and institutional clients with solutions to their financing and risk management needs.  Barclays Capital has offices in 29 countries, employs over 16,200 people and has the global reach and distribution power to meet the needs of issuers and investors worldwide.

For further information about Barclays Capital, please visit our website www.barclayscapital.com.