Barclays today announced changes to its widely used benchmark fixed
income indices after concluding its annual index review and governance
process in October. The governance process has resulted in a number of
rule and methodology changes that will take effect in 2015.
These decisions were made after carefully evaluating the evolving fixed
income landscape and incorporating stakeholder feedback from a diverse
set of global investors who use Barclays’ indices as portfolio
benchmarks and measures of broad fixed income market returns.
A summary of key rules changes, clarifications and implementation dates
follows:
Inflation-Linked Indices
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The minimum credit rating for the World Government Inflation-Linked
Bond (WGILB) and Euro Government Inflation-Linked Bond (EGILB) Indices
will be lowered to Baa3/BBB- (using the middle rating of Moody's, S&P,
and Fitch), effective March 31, 2015. Eligible countries must still be
classified as a developed market and meet existing minimum market size
thresholds to qualify for the WGILB. As a result of the change, Italy
and Spain are expected to qualify for inclusion in the flagship WGILB
and EGILB Indices.
-
Timing of new issue inclusion and taps/re-openings of inflation-linked
and nominal government bonds will be based on issue date, rather than
settlement date for Series-B indices that use local settlement
conventions. This change affects the WGILB, EGILB, Emerging Markets
Inflation-Linked Bond Index (EMGILB), Sterling Inflation-Linked index
families, and other Series-B nominal government bond indices,
effective March 31, 2015.
Global Aggregate Index
-
Malaysian ringgit (MYR) denominated sukuk issued by the Malaysian
government (MGII) will become eligible for the Global Aggregate and
Asian-Pacific Aggregate Indices as of March 31, 2015. These securities
will also be eligible for the EM Local Currency Government Indices on
the same date. Existing MYR-denominated government securities (MGS)
have been eligible for the Global Aggregate since 2006.
Emerging Markets Indices
-
Barclays’ Emerging Markets (EM) Index country definition will be
enhanced to explicitly exclude euro area members on the date of their
adoption of the euro currency. As a result, Latvia and Lithuania will
be removed from the Barclays EM country list on January 1, 2015, when
it is next updated. No other changes will be made to the Barclays
Emerging Markets country list as a result of the annual index review.
US MBS Index Pricing
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Stakeholder feedback was collected from index users during the annual
review process on possible methodology changes that would better
reflect pricing variability of MBS pools represented in the index.
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Given the complexity of the proposed changes and potential impact for
index users, the consultation window on this topic will be extended
through the first quarter of 2015. This will enable solicitation of
feedback from a broader set of affected stakeholders and further due
diligence on the expected index effect from a pricing, analytic, and
operational perspective. Further information on the status of any
potential index changes will be addressed upon conclusion of the
extended consultation window.
Barclays is an international financial services provider engaged in
personal banking, credit cards, corporate and investment banking and
wealth management with an extensive presence in Europe, the Americas,
Africa and Asia. Barclays’ purpose is to help people achieve their
ambitions – in the right way. With over 300 years of history and
expertise in banking, Barclays operates in over 50 countries and employs
approximately 140,000 people. Barclays moves, lends, invests and
protects money for customers and clients worldwide. For further
information about Barclays, please visit our website www.barclays.com.
Barclays offers investment banking products and services in the US
through Barclays Capital Inc.
Copyright Business Wire 2014