Bloomberg Announces Changes to Its Fixed Income Index Families

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Jul 21, 2015, 05:23 ET

NEW YORK, July 21, 2015 /PRNewswire/ -- Bloomberg today announced several operational updates to its global fixed income index families. These changes align Bloomberg's fixed income indices more closely with globally accepted standards and ensure the indices are representative of the markets they measure.

As part of these changes, Bloomberg's fixed income indices will see the following modifications:

End of day index levels will be calculated using 3 p.m. ET prices to coincide with the close of U.S. futures markets;
Weights for U.S. Treasuries and U.S. Agencies will reflect current float reported by System Open Market Accounting;
The two day lockout period for membership changes will be eliminated;
Bonds added to an index will be priced on the offer side;
Index returns will be calculated using a month-to-date methodology and compounded monthly; and
Cash will be retained without reinvestment in between rebalancings.

"As the historical relationships between index providers, asset managers and asset owners continue to change, our capabilities pertaining to data, pricing, analytics, distribution and research make us a natural partner for the index community," says Steve Berkley, Global Head of Indices for Bloomberg. "Additionally, due to the evolving regulatory environment these enhancements will position Bloomberg as an attractive alternative to existing fixed income benchmarks."

In addition, for Bloomberg's AusBond Index family the following modifications will apply:

In order to be included in the indices at rebalancing, bonds will be required to meet a one month minimum time to maturity. The AusBond Bank Bill Index and Swap Index are not impacted by the maturity constraint change;
Index publication and data distribution on days when the local bond markets are closed (e.g., weekends and holidays) will cease;
Bonds will qualify for index inclusion on the last business day of the prior month;
Along with the rest of Bloomberg's fixed income indices, index returns will be calculated using a month-to-date methodology and compounded monthly;
New Zealand Dollar credit, supranational, local government and composite indices will be launched; and
AusBond indices hedged into USD, JPY, GBP, EUR and NZD will also be published.

Bloomberg will also suspend publication of the U.S. Mortgage-Backed Securities Indices and U.S. Aggregate Indices while a revamped methodology is implemented. When reintroduced the index history will be backfilled.

The changes were approved by Bloomberg's Index Oversight Committee. Bloomberg provides an independent, transparent approach to indexing for customers across the globe.

For more information on these changes to Bloomberg's fixed income indices and the planned implementation dates, please visit bloombergindices.com/fixed-income or {INDEX<GO>} on the Bloomberg Professional service.

About Bloomberg

Bloomberg, the global business and financial information and news leader, gives influential decision makers a critical edge by connecting them to a dynamic network of information, people and ideas. The company's strength – delivering data, news and analytics through innovative technology, quickly and accurately – is at the core of the Bloomberg Professional service, which provides real time financial information to more than 325,000 subscribers globally. For more information, visit www.bloomberg.com.

The Bloomberg Professional service is owned and distributed by Bloomberg Finance L.P. and its affiliates.

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SOURCE Bloomberg