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Bloomberg Announces Changes to Its AusBond Index Family

August 24, 2017

Bloomberg today announced several methodology changes to its AusBond Index family. These changes arose from Bloomberg’s ongoing global index review and governance process, including client feedback from the most recent Annual AusBond Index Advisory Council. These changes will take effect in November 2017 and 2018, to move the AusBond methodologies closer to global index standards, as described below.

The Bloomberg AusBond and NZBond Index family will see the following modifications:

Index Inclusion/Exclusion Criteria (November 2017)

  1. Inclusion of bonds based on issue date rather than settle date: To ensure new issues can be included within indices on a timelier basis.
  2. Removal of the legacy “economic call” requirement: To reflect changes to the structures of callable bonds issued since 2014.
  3. Exclusion of bonds with a non-viability trigger: To ensure clarity, as no bonds in the indices are impacted by this clarification.
  4. Identification of public versus private issues: To leverage Bloomberg’s global data capabilities, public issues will be identified by data fields equivalent to the ‘Public Offer Test’.
  5. Clarification on the handling of public taps: Any taps (the further issuing of pre-existing issued bonds) confirmed as public in nature will be considered for inclusion once they reach the minimum size required for the relevant index.
  6. Re-inclusion of Reserve Bank of Australia (RBA) initial take-up no longer held by the RBA: To reflect holdings of four securities issued by the Commonwealth of Australia, the initially held amounts will be added back to each of the bonds in the index.

 

Index Calculations (November 2017)

 

  1. Update of AusBond index ratings methodology: To align with the Bloomberg Barclays Indices rating methodology, using the middle rating of Moody’s, S&P and Fitch ratings.
  2. Modification to settlement conventions to match the Bloomberg Barclays Indices (T+1 settlement): To create alignment with the Bloomberg Barclays Indices and Bloomberg’s Evaluated Pricing Service (BVAL).

Further Changes (2018) 

  1. Alignment with Bloomberg Classification (BCLASS): To align with the Bloomberg Barclays Indices and drive sub-index inclusion rules.
  2. Observation of ex-dividend periods: To ensure replicability for all bonds in the AusBond and NZBond Indices.
  3. Return calculation methodology: To hold intra-month cash generated until the end of month rebalancing process and to calculate all returns on a month-to-date (MTD) basis.

For more information on these changes please read Bloomberg’s Index Methodology Changes document, visit bloombergindices.com/ausbond, or enter {INDEX<GO>} on the Bloomberg Professional service. AusBond Month-in-Review reports, which provide analysis of the Australian and New Zealand fixed income markets in the context of the global markets, are published online on the first business day of each month and available on the terminal at {NI AUSBOND<GO>}. All AusBond index reports and publications, including the Month-in-Review, the Mid-Month Coupon Change, and End-of-Month Reports, may be accessed on the terminal at {INP <GO>}.

Bloomberg provides an independent, transparent approach to indexing for customers across the globe. For more information on changes to Bloomberg’s fixed income indices and the planned implementation dates, please visit bloombergindices.com.

 

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