Bloomberg changes methodology for AusBond Index

As a result of its global index review, Bloomberg has announced several methodology changes to its AusBond Index family, the main benchmarks for Australia and New Zealand’s fixed income markets.

The changes will take effect in November 2017 and throughout 2018 and include:

• Inclusion of bonds based on issue date rather than settle date
• Removal of the legacy “economic call” requirement to reflect changes to the structures of callable bonds issued since 2014
• Exclusion of bonds with a non-viability trigger
• Identification of public versus private issues
• re-inclusion of Reserve Bank of Australia (RBA) initial take-up no longer held by the RBA
• clarification on the handling of public taps meaning any taps confirmed as public in nature would be considered for inclusion once they reach the minimum size required for the relevant index

Bloomberg said that further changes planned for 2018 would see alignment with the Bloomberg Barclays Indices and sub-index inclusion rules, observation of ex-dividend periods as well as return calculation methodology.

Changes to index calculations, scheduled for November, would see alignment with the Bloomberg Barclays Indices rating methodology, using the middle rating of Moody’s, S&P and Fitch ratings, and modification to settlement conventions to create alignment with the Bloomberg Barclays Indices and Bloomberg’s Evaluated Pricing service (BVAL).