Barclays Plc said it will publish an index tracking the performance of contingent capital securities, or CoCos, the riskiest bank debt.
The Global Contingent Capital Index includes capital notes that can be written down or converted to equity, the London-based lender said in a statement. The inception date of the index is May 1 and it contains 65 issues with a market value of $98 billion, the statement said.
“We anticipate further expansion of this market as financial institutions issue these bonds to help achieve required regulatory capital ratios,” said Brian Upbin, head of benchmark index research at Barclays. “There are debt investors who hold these securities as out-of-index investments and need a benchmark of asset class risk and returns.”
Issuance of the new-style securities is increasing as banks bring capital structures into line with new regulatory requirements. Bank of America Merrill Lynch published the first indexes of the securities at the beginning of the year, giving holders a gauge to measure performance.