Barclays Capital, the investment banking division of Barclays Bank and publisher of broad market bond benchmarks, has launched the US Aggregate Float Adjusted Index, a new benchmark of the dollar denominated investment grade bond market that excludes treasuries, agencies and MBS held in Federal Reserve accounts.
Reportedly, the new index would be published alongside the firm’s other indices, including the Global Aggregate, US Aggregate, Pan European Aggregate and Asian Pacific Aggregate. It has added that the new benchmark offer investors a rules-based market value weighted index as an alternative to the US Aggregate Index, which includes agencies and MBS held in government accounts.
The bank has claimed that the underlying constituents of the US Aggregate Float Adjusted Index would be the same as those of the US Aggregate Index. However, net purchases and sales by the Federal Reserve would be excluded from the float adjusted index on a monthly basis, thereby reducing the market value weight of these securities. Sub-indices of the new index will also be available, including a US MBS Float Adjusted Index created specifically for mortgage investors.
The banking division expects to expand the Float Adjusted Index family to other Aggregate Index benchmarks such as the Global Aggregate, Sterling Aggregate and Asian Pacific Aggregate by adjusting for quantitative easing programs and government holdings in other markets outside of the US. In addition, Barclays Capital has expanded its offering of other bespoke broad-based benchmark indices whose index weightings can also be adjusted by user-defined definitions of public float.
