SOURCE: Barclays Capital

Barclays Capital

June 10, 2009 16:15 ET

Barclays Capital Announces Decision to Maintain Index Rules Relating to Treatment of Federal Reserve Purchases of MBS Securities and Other Quantitative Easing Programs by the Bank of England and European Central Bank in Its Aggregate Fixed Income Indices

NEW YORK, NY--(Marketwire - June 10, 2009) - Barclays Capital, the investment banking division of Barclays Bank PLC and publisher of leading broad market bond benchmarks such as the Global Aggregate, US Aggregate, Pan-European Aggregate, and Asian-Pacific Aggregate Indices, today announced that current index rules will remain in effect with regard to recently announced government programs such as the Federal Reserve purchase of agency mortgage backed securities (MBS) and quantitative easing in other markets. In addition, Barclays Capital has announced several other index rule changes to its family of fixed income benchmark indices effective later in 2009.

All these decisions were made after careful consideration of the evolving fixed income landscape, and of the perspectives of a diverse set of global investors that use Barclays Capital indices either as portfolio benchmarks or as measures of broad fixed income market returns. These decisions allow Barclays Capital indices to continue to serve as both an effective and comprehensive measure of the fixed income markets.

Purchases of agency MBS by Federal Reserve and US Treasury:

--  Federal Reserve and US Treasury purchases of fixed-rate agency MBS
    securities will not be excluded from the standard Barclays Capital US
    Aggregate and US MBS Indices, as well as other macro indices such as the
    Global Aggregate.  This is in line with current index rules.

Purchases of agency debentures by Federal Reserve:

--  US agency debenture purchases by the Federal Reserve will also not be
    excluded from the US Aggregate and US Agency Indices. This is in line with
    current index rules.

Quantitative Easing and Purchases by the Bank of England, European Central Bank, and other governments:

--  The Global Aggregate, Euro Aggregate and Sterling Aggregate Indices
    will not be adjusted for quantitative easing programs that have been
    announced, including those of the Bank of England and the European Central

US Treasury securities held in US government accounts:

--  Current US Treasury Index rules that exclude holdings of US Treasuries
    in US government accounts will remain in effect.  Historically, this index
    has excluded both direct issuance into the Federal Reserve System Open
    Market Account (SOMA) at the time of auction and subsequent net changes
    from other open market operations.  Preserving the current set of index
    rules will avoid a large and unwarranted index rebalancing that would
    otherwise add back over $450 billion of Treasuries that are currently
    excluded from the index.

By adhering to current rules, Aggregate index composition will neither be dramatically altered nor subject to the timeliness and availability of reported data on government holdings which is non-uniform across markets and sectors.

Barclays Capital plans to offer alternate versions of its major indices and sub-indices that will use available data to estimate and exclude government purchases and quantitative easings. More details on this initiative will be provided in the near term.

The Barclays Capital Index Products Group will continue to monitor the scale and scope of announced quantitative easings and other government purchase programs and their effect on the markets measured by its benchmark indices.

Other announced rules changes:

--  On January 1, 2010, Swiss franc-denominated debt will become eligible
    for the Global Aggregate and Pan-European Aggregate Indices.  Already
    measured by the existing standalone Swiss Franc Aggregate Index, this new
    addition will represent the 23rd local currency tracked in the Global
    Aggregate Index (6th-largest in the index by market value) and will be the
    first added since January 2006.
--  On October 1, 2009, euro-denominated corporate bonds that have been
    issued primarily for retail investors will be removed from the Barclays
    Capital Euro Aggregate Index.
--  On October 1, 2009, retained ABS bonds will be removed from the
    standalone Pan Euro ABS Floating Rate Note Index.  This includes both euro
    and sterling denominated ABS securities.
--  On October 1, 2009, home equity loan (HEL) asset-backed securities
    (ABS) will be removed from the fixed rate US ABS and US Aggregate Indices
    due to their low liquidity, lack of recent issuance, small weight in the US
    Aggregate, and difficulty in pricing this sector.
--  On October 1, 2009, pay-in-kind (PIK) securities will be eligible for
    the Global High Yield, Pan-European High Yield and US High Yield indices.

About Barclays Capital Indices

Barclays Capital bond market indices are the most widely accepted benchmarks in the asset management industry, used by over 90 percent of US institutional investors, a majority of large European investors, and a growing share of Asia-Pacific managers.

About Barclays Capital

Barclays Capital is the investment banking division of Barclays Bank PLC. With a distinctive business model, Barclays Capital provides large corporate, government and institutional clients with a full spectrum of solutions to their strategic advisory, financing and risk management needs. Barclays Capital has offices around the world, employs 20,000 people and has the global reach, advisory services and distribution power to meet the needs of issuers and investors worldwide. For further information about Barclays Capital, please visit our website

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