Barclays Capital Announces Decision to Maintain Index Rules That Exclude Inflation-Linked Bonds from Aggregate Bond Indices
Launch Planned for New Combined Aggregate/Inflation Composite Indices
New York, NY (September 24, 2010) – Barclays Capital, publisher of leading broad-market bond benchmarks, today announced that current index rules that exclude inflation-linked bonds from its flagship Aggregate bond indices will remain unchanged. Barclays Capital also plans to offer a new family of combined Aggregate/Inflation indices for investors seeking broader investment-grade bond benchmarks that include inflation-linked debt in a single macro index. In addition, Barclays Capital announced several other decisions regarding its benchmark index family.
These decisions were made after carefully evaluating the evolving fixed income landscape and the perspectives of a diverse set of global investors that use Barclays Capital indices as both portfolio benchmarks and measures of broad fixed income market returns. Maintaining current rules will enable investors that view inflation-linked debt as a distinct fixed income asset class to continue using their current benchmarks. Those investors that prefer a broader benchmark that does include inflation-linked government debt will soon have a new Barclays Capital benchmark option available to them reflecting this expanded investment choice set. Details of this new index family will be announced at a later date.
Other index rules announcements:
- As of January 1, 2011, US Commercial Mortgage Backed Securities (CMBS) classified as an A1A tranche will be removed from the US CMBS and US Aggregate Bond Indices. These securities are held primarily by US agencies and do not frequently trade in the secondary market, and are being removed because of the difficulty for investors to purchase them.
- As of January 1, 2011, the middle rating of Moody’s, Standard & Poor’s, and Fitch ratings will be used for credit quality classification for all Barclays Capital benchmark indices. This change impacts only Series-B inflation-linked and government bond indices which had previously used the lower of Moody’s and Standard and Poor’s ratings only. The overall eligibility/composition of existing Series-B indices will not be affected by this change in classification.
- As of January 1, 2011, USD-denominated covered bonds will be eligible for the US Aggregate Bond Index. Although no securities in this sector currently meet US Aggregate inclusion rules, this security type will be eligible on a going forward basis for any future bonds that are publicly registered (or 144A eligible with registration rights) and meet all other index eligibility criteria. The existing universe of USD-denominated covered bonds is not SEC registered and is currently eligible only for the Barclays Capital Eurodollar and Global Aggregate indices.
- As of January 1, 2011, High-Yield CMBS will be removed from the Barclays Capital Global High-Yield Index due to their small issue size, difficulty to price, and overall market illiquidity. These securities had previously been removed from the US Universal Index for similar reasons and will no longer be published as a standalone benchmark.
- There will be no change to index inclusion rules regarding hybrid capital securities.
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