NEW YORK, Jan. 24, 2017 /PRNewswire/ -- Bloomberg today announced changes to its widely used Bloomberg Barclays Fixed Income indices and Currency indices. Emerging from Bloomberg's ongoing global index review and governance process, including client feedback from the company's Index Advisory Council meetings in November 2016, a number of rule and methodology changes will take effect in 2017.
A summary of key rules changes, clarifications and implementation dates follow. Additional details have been documented in "Changes to Bloomberg Barclays Benchmark Fixed Income Indices," which is available on the Bloomberg terminal at NH BIP<GO>.
Timing of Prices for US Indices
To help mutual funds and other funds with a 4 p.m. snap time for their portfolios, Bloomberg will begin an initiative to provide an additional publication of key U.S. indices based on a 4 p.m. ET pricing time. This will maintain the current closing snap time for U.S. indices at 3 p.m. while providing an additional official closing mark at 4 p.m. The indices impacted will include the U.S. Aggregate, U.S. High Yield, U.S. Treasury Inflation-Protected (U.S. TIPS) Indices and some major sub-components.
US Aggregate Indices
- Effective April 1, 2017, the minimum amount outstanding for Treasury, Government-related and Corporate securities in the U.S. Aggregate Index will be raised from $250mn to $300mn. This change will result in 1,023 securities dropping from the U.S. Aggregate Index, equivalent to $304 billion in market value (1.6% of the U.S. Aggregate).
- U.S. MBS Hybrid ARMs will no longer be eligible for the U.S. Aggregate starting June 1, 2017. Hybrid ARMs are a small and declining component of the index, currently at 0.17%.
- The U.S. MBS Hybrid ARM index will be retired on June 1, 2017.
Global Aggregate Indices
- Effective April 1, 2017, the U.S. Aggregate Index, in its entirety, will be included in the Global Aggregate Index. Previously-excluded smaller CMBS and ABS tranches will also be included in the Global Aggregate Index.
- Effective April 1, 2017, Hungarian forint-denominated debt will be eligible for the Global Aggregate Index due to the recent investment-grade rating upgrade.
- "Formosa" bonds listed on the Taipei Exchange will no longer be eligible for the Global Aggregate Index and associated regional Aggregate Indices starting April 1, 2017.
China Aggregate Index
- Effective March 1, 2017, the minimum amount outstanding for inclusion in the China Aggregate Index will be increased from RMB 1 billion to RMB 5 billion for government securities and from RMB 1 billion to RMB 1.5 billion for corporate securities. Additionally, all eligible securities should be traded in the China Interbank Bond Market.
- As RMB-denominated securities are not currently eligible for inclusion in the Global Aggregate Index, a new index will be created that combines the Global Aggregate Index and the government and policy bank component of the China Aggregate Index. This index will be launched March 1, 2017.
- Similarly, an EM Local Currency Government + China Index will be launched on March 1, 2017. Both market capitalization-weighted and 10% country-capped versions will be created.
Other Index Changes
- For purposes of rules clarity, the Covered Bond Index will exclude bonds that primarily contain fixed income securities issued by third parties (other than the issuer) in the cover pool.
- Securities issued in a Senior Non-Preferred structure will be classified as Lower Tier 2 and defined as "subordinate" within the capital structure in the near term. Bloomberg will research the feasibility of adding a classification to denote the specific senior non-preferred ranking.
Bloomberg Currency Indices
- Bloomberg Currency Indices will now follow a holiday schedule which excludes Christmas Day (and observed), New Year's Day (and observed), and Good Friday as business days. The change is effective as of January 3, 2017.
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