Bloomberg announced changes to its widely-used Bloomberg Barclays fixed income indices, including a number of rule and methodology changes that will take effect in 2020. These changes emerged from Bloomberg’s ongoing global index review and governance process, including client feedback from the company’s Index Advisory Council meetings in the fourth quarter of 2019.
Global Aggregate Index
Effective September 1, 2020, local currency treasury debt from Romania, Colombia, and Peru will be eligible for the Global Aggregate and Global Treasury Indices. In total, an estimated 39 bonds totaling $124.9bn amount outstanding and $138.5bn in market value will comprise 0.2% of the Global Aggregate Index and 0.5% of the Global Treasury Index.
- Bloomberg previously announced the timing of U.S. index pricing will move from 3 p.m. to 4 p.m. eastern time (ET). The pricing time move is scheduled for July 10, 2020. The scope of this change includes all USD-denominated indices, including the U.S. Aggregate, U.S. High Yield and U.S. TIPS. U.S. Municipals already use 4 p.m. ET pricing.
- Currently, the pricing of U.S. MBS generics in the U.S. MBS Index is based on the weighted average price of “Worst-to-Deliver” (W2D) pools underlying each generic security. The MBS index pricing methodology will change to have specified mortgage pools contribute to the pricing of MBS index generics. Bloomberg will hold client consultations starting in February 2020 to discuss implementation considerations and options.
- Targeted for November 1, 2020, the U.S. ABS Index will expand to include motorcycle ABS, equipment ABS, and device plan ABS. Motorcycle ABS will be included in the automobile ABS sector. Equipment ABS and device plan ABS securities will be classified as other ABS.
- As of July 1, 2020, non-rated issues will no longer be eligible for the U.S. High Yield Index. Eight non-rated securities ($3.3bn total market value, 0.3% index market value weight) are estimated to be removed from the U.S. High Yield Index and from any broader indices such as the U.S. Universal Index and Global High Yield Indices that include U.S. High Yield securities.
Other Index Changes
- As of April 1, 2020, KRW-denominated bonds issued by Korea National Housing (Ticker: KORNHB, estimated 49 bonds totaling KRW 57.3tn/$49.6bn amount outstanding) will be reclassified from Treasuries to Government-related > Agencies.