Barclays creates new index of the U.S. investment-grade bond market

By Devika Patel

Knoxville, Tenn., July 30 - Barclays Capital said it launched the US Aggregate Float Adjusted Index on July 1, a new benchmark of the dollar-denominated investment-grade bond market that excludes Treasuries, agencies and mortgage-backed securities held in Federal Reserve accounts.

The new index will offer investors a rules-based market value weighted index as a complementary alternative to the flagship US Aggregate Index, which includes agencies and MBS held in government accounts.

The underlying constituents will be the same as those of the US Aggregate Index, but net purchases and sales by the Federal Reserve will be excluded from the float-adjusted index on a monthly basis, thereby reducing the market value weight of these securities.

Sub-indexes will also be available, including a US MBS Float Adjusted Index created specifically for mortgage investors.

The Float Adjusted Index family will soon be expanded to other aggregate index benchmarks, such as the Global Aggregate, Sterling Aggregate and Asian Pacific Aggregate by adjusting for quantitative easing programs and known government holdings in other markets outside of the United States.

In addition to this new family of standard float-adjusted benchmarks, Barclays Capital has expanded its offering of other bespoke broad-based benchmark indexes whose index weightings can also be adjusted by user-defined definitions of public float.

"Investors value index and portfolio risk solutions that evolve to support their market perspective," Barclays Capital's head of index, portfolio and risk solutions Waqas Samad said in a press release. "The US Aggregate Float Adjusted Index underscores our continued commitment to innovation and the expansion of our benchmark index family to best meet the needs of our clients."

London-based Barclays Capital is the investment banking division of Barclays Bank plc.

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