Difference between revisions of "Bloomberg Barclays US Aggregate Bond Index"

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{{Bond indexing sidebar}}
The '''Barclays US Aggregate Bond Index''' (formerly the Lehman Aggregate Bond Index) was created in 1986, with backdated history going back to 1976. The index is a predominate index benchmark for US bond investors, and is a benchmark index for many US index funds.
+
The ''' Bloomberg Barclays US Aggregate Bond Index''' (ticker: LBUSTRUU), formerly known as the Lehman Aggregate Bond Index and the Barclays US Aggregate Index, was created in 1986 with backdated history going back to 1976. The index has been maintained by Bloomberg L.P. since August 24th 2016. <ref> {{Cite web|title=Bloomberg Completes Acquisition of Barclays Risk Analytics and Index Solutions Business |url=https://www.bloomberg.com/company/announcements/bloomberg-acquisition-barclays-brais/|publisher=Bloomberg|date=August 24, 2016}}</ref>The index is a predominant index benchmark for US bond investors, and is a benchmark index for many US index funds.  
  
 
==Overview==
 
==Overview==
The Index is a composite of four major subindexes: US Government Index; US Credit Index; US Mortgage Backed Securities Index (1986); and (beginning in 1992) US Asset Backed Securities Index. The index holds investment quality bonds. The ratings are based on S&P, Moody, and Fitch bond ratings. Table 3 in the appendix provides credit quality breakdowns for the index from 2005-2009.  The index does not include [[High Yield Bonds|high yield bonds]], [[Municipal Bonds |municipal bonds]], [[Treasury Inflation Protected Securities| inflation-indexed bonds]], or foreign currency bonds. In 2010, the index held more than 8,200 bond issues. <ref> [http://us.ishares.com/content/stream.jsp?url=/content/repository/material/fact_sheet/agg.pdf&mimeType=application/pdf Ishares Factsheet] </ref> The time line for the addition and subtraction of asset classes, as well as changes in the minimum issue size and credit quality standards for the index are included in the time line sidebar.
+
The Index is a composite of four major subindices: US Government Index; US Credit Index; US Mortgage Backed Securities Index (1986); and (beginning in 1992) US Asset Backed Securities Index. The index holds investment quality bonds. The ratings are based on S&P, Moody, and Fitch bond ratings. Table 3 in the appendix provides credit quality breakdowns for the index from 2005-2009.  The index does not include [[High yield bonds|high yield bonds]], [[Municipal bonds |municipal bonds]], [[Treasury Inflation Protected Securities| inflation-indexed bonds]], or [[Developed market bonds |foreign currency bonds]]. In 2010, the index held more than 8,200 bond issues. <ref> [https://www.ishares.com/us/literature/fact-sheet/agg-ishares-core-u-s-aggregate-bond-etf-fund-fact-sheet-en-us.pdf Ishares Factsheet] </ref> The time line for the addition and subtraction of asset classes, as well as changes in the minimum issue size and credit quality standards for the index are included in the time line sidebar.
  
 
{{Quote
 
{{Quote
|quote    ='''Milestones in the Evolution of the Barclays  U.S. Aggregate Index'''
+
|quote    ='''Milestones in the Evolution of the Bloomberg Barclays  U.S. Aggregate Index'''
 
*'''1/73''' Inception date for Government/Corporate Index.
 
*'''1/73''' Inception date for Government/Corporate Index.
 
*'''1/86''' Introduction date for the Mortgage-Backed, Yankee, and Aggregate Indices, with returns and statistics calculated back to 12/31/75.
 
*'''1/86''' Introduction date for the Mortgage-Backed, Yankee, and Aggregate Indices, with returns and statistics calculated back to 12/31/75.
Line 26: Line 26:
 
*'''11/08''' Index rebranded as Barclays Capital U.S. Aggregate Index.
 
*'''11/08''' Index rebranded as Barclays Capital U.S. Aggregate Index.
 
*'''10/09'''  U.S. ABS Home Equity Loans removed.
 
*'''10/09'''  U.S. ABS Home Equity Loans removed.
|source    = -- ''[http://www.scribd.com/doc/19601818/Lehman-Brothers-a-Guide-to-the-Lehman-Global-Family-of-Fixed-Inco4/07me-Indices Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices] Figure 7.; [https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays US Aggregate Bond Index Factsheet]''
+
*'''01/11''' Covered bonds become eligible, A1A tranches are removed from the CMBS portion of the index.
 +
*'''05/12''' Issuer eligibility for fixed-rate ABS no longer based on a predefined list of “eligible” issuers.
 +
*'''04/13''' Loan participation notes (LPNs) eligible for the index.
 +
*'''04/14''' Minimum liquidity for US MBS Index constituents raised from USD250mn to USD1bn.
 +
*'''07/14''' US Agency CMBS added to the index.
 +
|source    = -- ''[{{{URL|http://quantlabs.net/academy/download/free_quant_instituitional_books_/%5BLehman%20Brothers%5D%20A%20Guide%20to%20the%20Lehman%20Global%20Family%20of%20Fixed%20Income%20Indices.pdf}}} Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices] Figure 7.; [https://index.barcap.com/indices/action/indexDownload?id=-cd39a682e66c4320a4f351cae1cdbb9&pageId=9 US Aggregate Index Factsheet]''
 
}}
 
}}
  
 
+
The current bond asset classes that compose the index: <ref> Richard A. Ferri, ''All About Index Funds''; p. 182. ISBN 0-07-148492-2 </ref>
The current bond asset classes comprise the index: <ref> Richard A. Ferri, ''All About Index Funds''; p. 182. ISBN 0-07-148492-2 </ref>
 
 
 
 
#Government
 
#Government
 
##[[Treasury bonds |Treasury bills, notes, and bonds]]
 
##[[Treasury bonds |Treasury bills, notes, and bonds]]
 
##[[Government agency bonds|Agency bonds]]
 
##[[Government agency bonds|Agency bonds]]
#[[Corporate Bonds|Credit]]
+
#[[Corporate bonds|Credit]]
 
##Industrial
 
##Industrial
 
##Finance
 
##Finance
Line 49: Line 52:
 
##Home equity loans
 
##Home equity loans
  
 +
The relative weighting of asset classes within the index changes over time as new asset classes are added to the index, as issuance of bonds grows and ebbs, and as market security values fluctuate. The following table shows the index sector allocation over the period 1973-2013. A breakdown of mortgage backed securities (GNMA, FHLMC, FNMA) in the index from 1978-2001 is included in the notes.
  
The relative weighting of asset classes within the index changes over time as new asset classes are added to the index, as issuance of bonds grows and ebbs, and as market security values fluctuate. The following table shows the index sector allocation over the period 1973-2009. A breakdown of mortgage backed securities (GNMA, FHLMC, FNMA) in the index from 1978-2001 is included in Table 4. of the appendix. In June 2009, as a result of the 2008 financial crisis, Barclay's announced the creation of the US Aggregate Float Adjusted Index that excludes Treasuries, agencies and MBS held in Federal Reserve accounts.<ref> [http://www.barcap.com/About+Barclays+Capital/Press+Office/News+releases/News,1454,Barclays+Capital+Announces+the+Creation+of+the+US+Aggregate+Float+Adjusted+Index Barclays press release, July 30, 2009)] </ref>
+
In June 2009, as a result of the 2008 financial crisis, Barclay's announced the creation of the US Aggregate Float Adjusted Index that excludes Treasuries, agencies and MBS held in Federal Reserve accounts.<ref> [http://www.marketwired.com/press-release/barclays-capital-announces-the-creation-of-the-us-aggregate-float-adjusted-index-1214078.htm Barclays press release, July 30, 2009] </ref>
 
 
<br>
 
<br>
 
  
 
<center>
 
<center>
 
{| class=wikitable style="text-align:center"  width=700px
 
{| class=wikitable style="text-align:center"  width=700px
|+ Table 1. Barclays US Aggregate Bond Index Sector Allocation <ref>[http://www.scribd.com/doc/19601818/Lehman-Brothers-a-Guide-to-the-Lehman-Global-Family-of-Fixed-Income-Indices Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices] 1973-2001</ref>  <ref>[https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital U.S. Aggregate Factsheet] 2005-2009</ref>  
+
|+ Table. Bloomberg Barclays US Aggregate Bond Index Sector Allocation<br>Trailing 5 years<ref>[http://www.scribd.com/doc/19601818/Lehman-Brothers-a-Guide-to-the-Lehman-Global-Family-of-Fixed-Income-Indices Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices] 1973-2001</ref>  <ref>[https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital U.S. Aggregate Factsheet] 2005-2009, 2014-2016; [https://www.bbhub.io/indices/sites/2/2016/08/2017-02-08-Factsheet-US-Aggregate.pdf. Bloomberg Barclays U.S Aggregate Factsheet], 2017. </ref>  
 
| align="center" style="background:#f0f0f0;"|'''Year'''
 
| align="center" style="background:#f0f0f0;"|'''Year'''
 
| align="center" style="background:#f0f0f0;"|'''Government'''
 
| align="center" style="background:#f0f0f0;"|'''Government'''
Line 89: Line 90:
 
|-
 
|-
 
|2010 || 45.8% || 18.8% || 32.7% || 2.8%
 
|2010 || 45.8% || 18.8% || 32.7% || 2.8%
 +
|-
 +
|2011 || 46.0% || 19.9% || 34.1% || -
 +
|-
 +
|2012 || 46.7% || 21.5% || 31.8% || -
 +
|-
 +
|2013 || 45.7% || 22.3% || 32.0% || -
 +
|-
 +
| 2014 || 45.3%|| 23.3%||  31.4% ||-
 +
|-
 +
| 2015 || 45.8% || 24.2%|| 31.0%|| -
 +
|-
 +
| 2016 || 44.7% || 25.4%|| 30.0%||-
 +
|-
 +
| 2017 || 44.0% || 25.8%|| 30.3%||-
 
|}
 
|}
 
</center>
 
</center>
 +
The modified adjusted [[duration]] of the U.S. Aggregate index is 5.51 years (as of 30-Aug-2016).<ref>[https://index.barcap.com/Benchmark_Indices/Aggregate/Bond_Indices Barclays - Index Products], viewed August 31, 2016.</ref>
 +
 +
All bonds have a final maturity of at least one year. Subindices based on ''intermediate'' maturity bands range from 1 to 9.999 years; ''long'' maturity bands include maturity bands of 10 years or greater.<ref>[https://index.barcap.com/indices/action/indexDownload?id=-4dc127143d5fed8061d77026cd51ffdd US Aggregate Index Fact Sheet], viewed August 31, 2016.</ref>
  
==Index Returns==
+
==Credit quality==
 +
The table below shows the annual distribution of credit quality holdings in the index.<ref group="note"> Breakdown of mortgage backed securities in the index.
 +
{| class=wikitable style="text-align:center"  width=700px
 +
|+ Table. Bloomberg Barclays US Aggregate Bond Index Mortgage Backed Securities 2010 forward
 +
| align="center" style="background:#f0f0f0;"|'''Year'''
 +
| align="center" style="background:#f0f0f0;"|'''GNMA'''
 +
| align="center" style="background:#f0f0f0;"|'''FHLMC'''
 +
| align="center" style="background:#f0f0f0;"|'''FNMA'''
 +
|-
 +
|2013 || 26.7%|| 26.9% || 40.6%
 +
|-
 +
|2012 || 25.7% || 22.9% ||46.5%
 +
|-
 +
|2011 || 23.5% || 30.3% ||46.2%
 +
|-
 +
|2010 || 20.4% || 32.2% || 47.4%
 +
|}
 +
from [https://ecommerce.barcap.com/indices/Home/Guides_and_Factsheets Barclays bond index guides]
  
The following table provides return data for the index.
+
{| class=wikitable style="text-align:center"  width=700px
 +
|+ Table. Bloomberg Barclays US Aggregate Bond Index Mortgage Backed Securities 1978 - 2001 
 +
| align="center" style="background:#f0f0f0;"|'''Year'''
 +
| align="center" style="background:#f0f0f0;"|'''GNMA'''
 +
| align="center" style="background:#f0f0f0;"|'''FHLMC'''
 +
| align="center" style="background:#f0f0f0;"|'''FNMA'''
 +
|-
 +
|1978 || 89%|| 11% || 0%
 +
|-
 +
|1983 || 69% || 22% || 9%
 +
|-
 +
|1988 || 50% || 30% || 20%
 +
|-
 +
|1993 || 32% || 33% || 35%
 +
|-
 +
|1998 || 26% || 34% || 40%
 +
|-
 +
|1999 || 25% || 34% || 41%
 +
|-
 +
|2000 || 24% || 34% || 42%
 +
|-
 +
|2001 || 21% || 35% || 44%
 +
|}
 +
from [http://www.scribd.com/doc/19601818/Lehman-Brothers-a-Guide-to-the-Lehman-Global-Family-of-Fixed-Income-Indices Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices] 1973-2001</ref> All four designations (AAA to Baa} are considered investment quality, with specific distinctions:
 +
*Aaa rating: highest quality
 +
*Aa rating: high quality
 +
*A rating: strong
 +
*Baa rating: medium grade
  
{| class="wikitable collapsible sortable collapsed" border="1" style="text-align:center"  width=250px
+
{| class="wikitable sortable" style="text-align:center"  width=700px
|+ Table 2. Barclays US Aggregate Bond Index Annual Returns <ref> '''Data Sources''':[https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital US Aggregate Bond Index Factsheet 1976-1983]; [http://www.pacadvisory.com/new/pacadvisory/Callan_Chart.pdf Callan Chart 1984-2004]; [http://us.ishares.com/product_info/fund/performance/AGG.htm Ishares Performance 2004-2010]</ref>
+
|+ Table. Bloomberg Barclays US Aggregate Bond Index Credit Quality<br>Trailing 5 years<ref>[https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital U.S. Aggregate Factsheet] 2005-2009, [https://ecommerce.barcap.com/indices/Home/Guides_and_Factsheets US Aggregate Index Factsheet], 2004-2014, [https://index.barcap.com/index.dxml?pageId=9 Aggregate/Broad Market Indices] (US Aggregate Index), 2015-2016; [https://www.bbhub.io/indices/sites/2/2016/08/2017-02-08-Factsheet-US-Aggregate.pdf. Bloomberg Barclays U.S Aggregate Factsheet], 2017. </ref>
 +
| align="center" style="background:#f0f0f0;"|'''Year'''
 +
| align="center" style="background:#f0f0f0;"|'''Aaa'''
 +
| align="center" style="background:#f0f0f0;"|'''Aa'''
 +
| align="center" style="background:#f0f0f0;"|'''A'''
 +
| align="center" style="background:#f0f0f0;"|'''Baa'''
 +
|-
 +
|2005 || 78.6% || 4.7% || 8.8% || 7.8%
 +
|-
 +
|2006 || 78.9% || 5.0% || 8.7% || 7.5%
 +
|-
 +
|2007 || 79.2% || 5.4% || 8.2% || 7.2%
 +
|-
 +
|2008 || 80.9% || 3.1% || 9.3% || 6.7%
 +
|-
 +
|2009 || 78.1% || 4.1% || 9.7% || 8.1%
 +
|-
 +
|2010 || 77.7% || 4.5% || 9.7% || 8.1%
 +
|-
 +
|2011 || 75.1% || 5.1% ||10.7% || 9.1%
 +
|-
 +
|2012 || 73.1% || 5.1% || 11.0%|| 10.8%
 +
|-
 +
|2013 || 72.4%|| 4.9% || 11.1%|| 11.6%
 +
|-
 +
| 2014 || 71.8% || 4.6% || 11.8% || 11.9%
 +
|-
 +
| 2015 || 71.5% || 4.4% || 11.4% || 12.7%
 +
|-
 +
| 2016 || 70.8% || 4.4% || 11.3% || 13.5%
 +
|-
 +
| 2017 || 70.9% || 4.8% || 10.6% || 13.8%
 +
|}
 +
 
 +
==Index returns==
 +
 
 +
The following expandable table provides return data for the index. The annual returns of the index from 1976 to date have ranged between -2.92% in 1994 to 32.60% in 1982. 
 +
 
 +
{| class="wikitable mw-collapsible sortable mw-collapsed" border="1" style="text-align:center"  width=250px
 +
|+ Table.Annual Returns <ref> '''Data Sources''':[https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital US Aggregate Bond Index Factsheet 1976-1983]; [http://www.pacadvisory.com/new/pacadvisory/Callan_Chart.pdf Callan Chart 1984-2004]; [https://www.ishares.com/us/products/239458/ishares-core-total-us-bond-market-etf Ishares Performance 2004-2010];  [https://ecommerce.barcap.com/indices/Home/Guides_and_Factsheets US Aggregate Index Factsheet 2004-2013]</ref><ref>{{cite web|url=https://docs.google.com/spreadsheets/d/1c72c7eGVqpujiVzrF9qG9cW7Did1LGyDRP0PLLLcUVg/pubhtml|title=Source of chart}} google drive</ref>
 
! scope="col" |'''Year'''
 
! scope="col" |'''Year'''
 
! scope="col"|'''Total Return'''
 
! scope="col"|'''Total Return'''
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|-
 
|-
 
| 2010||6.54%
 
| 2010||6.54%
|}
 
 
==Index Funds==
 
The Barclays US Aggregate Bond Index was formulated as a market benchmark and contains thousands of illiquid bonds. Index fund managers therefore use sampling strategies when attempting to construct index funds tracking the index. Bond holdings range from approximately 280 to 350 bonds for Ishares and SPDR ETFs; and from approximately 530 bonds (TIAA-CREF) to 4500 bonds (Vanguard) for bond index mutual funds. The Vanguard Bond Market ETF is a share class of the Vanguard bond market index fund.
 
 
{|border="2" cellspacing="0" cellpadding="3"
 
|align="center"|
 
''' Barclays Aggregate '''<br>
 
''' US Bond Market Funds '''<br>
 
[[Image:Stock Market Index.jpeg|link=Category:Indexing|100px]]<br>
 
''' Low Cost Funds'''
 
|
 
*[https://public.dreyfus.com/product/0310/overview Dreyfus Bond Market Index Fund]
 
*[http://www3.troweprice.com/fb2/fbkweb/snapshot.do?ticker=PBDIX T Rowe Price US Bond Index Fund]
 
*[http://www.tiaa-cref.org/public/performance/mutual_funds/profiles/92.html TIAA-CREF Bond Index]
 
*[https://personal.vanguard.com/us/funds/snapshot?FundId=0084&FundIntExt=INT Vanguard Total Bond Market Index Fund](Float-Adjusted)
 
 
|align="center"|
 
''' ETFs'''
 
|
 
*[http://us.ishares.com/product_info/fund/overview/AGG.htm Ishares Barclays Aggregate Bond Fund]
 
*[https://www.spdrs.com/product/fund.seam?ticker=LAG SPDR Barclays Capital Aggregate Bond ETF]
 
*[https://personal.vanguard.com/us/funds/snapshot?FundId=0928&FundIntExt=INT Vanguard Total Bond Market ETF] (Float-Adjusted)
 
|}
 
 
==Appendix==
 
 
 
{| class="wikitable sortable" style="text-align:center"  width=700px
 
|+ Table 3. Barclays US Aggregate Bond Index Credit Quality  <ref>[https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital U.S. Aggregate Factsheet] 2005-2009</ref>
 
| align="center" style="background:#f0f0f0;"|'''Year'''
 
| align="center" style="background:#f0f0f0;"|'''AAA'''
 
| align="center" style="background:#f0f0f0;"|'''AA'''
 
| align="center" style="background:#f0f0f0;"|'''A'''
 
| align="center" style="background:#f0f0f0;"|'''Baa'''
 
 
|-
 
|-
|2005 || 78.6%|| 4.7% || 8.8% ||  7.8%
+
| 2011||7.84%
 
|-
 
|-
|2006 || 78.9% || 5.0% || 8.7% || 7.5%
+
| 2012||4.21%
 
|-
 
|-
|2007 || 79.2% || 5.4% || 8.2% ||  7.2%
+
| 2013||-2.02%
 
|-
 
|-
|2008 || 80.9% || 3.1% || 9.3% || 6.7%
+
| 2014|| 5.97%
 
|-
 
|-
|2009 || 78.1% || 4.1% || 9.7% ||  8.1%
+
| 2015|| 0.55%
 
|-
 
|-
|2010 || 77.7% || 4.5% || 9.7% ||  8.1%
+
|2016|| 2.65%
|}
 
 
 
{| class=wikitable style="text-align:center"  width=700px
 
|+ Table 4. Barclays US Aggregate Bond Index Mortgage Backed Securities  <ref>[http://www.scribd.com/doc/19601818/Lehman-Brothers-a-Guide-to-the-Lehman-Global-Family-of-Fixed-Income-Indices Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices] 1973-2001</ref>
 
| align="center" style="background:#f0f0f0;"|'''Year'''
 
| align="center" style="background:#f0f0f0;"|'''GNMA'''
 
| align="center" style="background:#f0f0f0;"|'''FHLMC'''
 
| align="center" style="background:#f0f0f0;"|'''FNMA'''
 
 
|-
 
|-
|1978 || 89%|| 11% || 0%  
+
|2017|| 3.54%
 
|-
 
|-
|1983 || 69% || 22% || 9%  
+
|2018|| 0.01%
 
|-
 
|-
|1988 || 50% || 30% || 20%
+
|2019|| 8.72%
 +
|}
 +
{{#widget:Google Spreadsheet
 +
|key=1c72c7eGVqpujiVzrF9qG9cW7Did1LGyDRP0PLLLcUVg
 +
|width=600
 +
|height=450
 +
}}
 +
 
 +
==Index funds==
 +
The  Bloomberg Barclays US Aggregate Bond Index was formulated as a market benchmark and contains thousands of illiquid bonds. Index fund managers therefore use sampling strategies when attempting to construct index funds tracking the index. Bond holdings range from approximately 800 to 1600 bonds for  SPDR and Ishares  ETFs; and from approximately 930 bonds (TRowePrice) to 5200 bonds (Vanguard) for bond index mutual funds. The Vanguard Bond Market ETF is a share class of the Vanguard bond market index fund. 
 +
 
 +
{| class="wikitable"
 +
|+ Index funds tracking Bloomberg Barclays US Aggregate Bond Index
 
|-
 
|-
|1993 || 32% || 33% || 35%
+
! Fund !! Link !! ETF!! Link
 
|-
 
|-
|1998 || 26% || 34% || 40%
+
| Dreyfus Bond Market Index Fund || {{MStarFundLink|DBMIX}} || Ishares Barclays Aggregate Bond ETF||  {{MStarFundLink|AGG}}
 
|-
 
|-
|1999 || 25% || 34% || 41%
+
| T Rowe Price US Bond Index Fund || {{MStarFundLink|PBDIX}} ||SPDR Barclays Aggregate Bond ETFE || {{MStarFundLink|BNDS}}
 
|-
 
|-
|2000 || 24% || 34% || 42%
+
| TIAA-CREF Bond Index || {{MStarFundLink|TRILX}}|| Vanguard Total Bond Market ETF(Float-Adjusted ||  {{MStarFundLink|BND}}
 
|-
 
|-
|2001 || 21% || 35% || 44%
+
| Vanguard Total Bond Market Index Fund](Float-Adjusted)|| {{MStarFundLink|VBTLX}}|| ||
 
|}
 
|}
  
  
'''Rules for Inclusion''' <ref>[https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital U.S. Aggregate Factsheet] 2005-2009</ref>
+
==Notes==
 
+
<references group="note"/>
'''Amount Outstanding/Minimum Issue Size'''
 
*For Treasury, government-related, and corporate securities, USD250mn minimum par amount outstanding. U.S. Treasuries held in the Federal Reserve SOMA account (both purchases at issuance and net secondary market transactions) are deducted from the total amount outstanding. New issuance bought at auction by the Federal Reserve does not enter the index. Net secondary market purchases/sales are adjusted at each month-end with a one-month lag.
 
* For MBS securities, pool aggregates with USD250mn minimum amount outstanding.
 
* For ABS securities, USD 500mn minimum deal size and USD25mn tranche size for specific ABS issuers for which Barclays Capital can accurately price the securities. The list of index-eligible issuers is available on Barclays Capital Live.
 
*For CMBS securities, USD500mn minimum original deal size, with at least USD300mn amount outstanding remaining in the deal; USD25mn minimum tranche size.
 
 
 
'''Quality'''
 
*Rated investment-grade (Baa3/BBB-/BBB-) or higher using the middle rating of Moody’s, S&P, and Fitch after dropping the highest and lowest available ratings. When a rating from only two agencies is available, the lower (“more conservative”) is used. When a rating from only one agency is available, that is used to determine index eligibility.
 
* Expected ratings at issuance may be used when there are other index-eligible bonds from the same issuer that hold the same actual rating as the expected rating.
 
 
 
'''Maturity'''
 
* At least one year until final maturity, regardless of optionality. For securities with coupon that converts from fixed to floating rate, at least one year until the conversion date.
 
* MBS must have a weighted average maturity of at least 1 year; CMBS and ABS must have a remaining average life of at least 1 year.
 
* Fixed-to-floating perpetual securities are included in the index. These are included until one year before their first call date, providing they meet all other index criteria.
 
* Subindices based on maturity are inclusive of lower bounds. Intermediate maturity bands include bonds with maturities of 1 to 9.9999 years. Long maturity bands include maturities 10 years and greater.
 
 
 
[additional rules are available on the [https://ecommerce.barcap.com/indices/index.dxml?pageId=9 Barclays Capital U.S. Aggregate Factsheet]]
 
  
 
==References==
 
==References==
<references/>
+
{{Reflist|30em}}
  
{{Footer}}
+
==External links==
 +
*[https://www.bloomberg.com/professional/product/indices/bloomberg-barclays-indices-fact-sheets-publications/ Bloomberg Barclays Index Factsheets]
  
 
[[Category:Bonds]]
 
[[Category:Bonds]]
 
[[Category:Indexing]]
 
[[Category:Indexing]]

Latest revision as of 14:45, 26 December 2020

The Bloomberg Barclays US Aggregate Bond Index (ticker: LBUSTRUU), formerly known as the Lehman Aggregate Bond Index and the Barclays US Aggregate Index, was created in 1986 with backdated history going back to 1976. The index has been maintained by Bloomberg L.P. since August 24th 2016. [1]The index is a predominant index benchmark for US bond investors, and is a benchmark index for many US index funds.

Overview

The Index is a composite of four major subindices: US Government Index; US Credit Index; US Mortgage Backed Securities Index (1986); and (beginning in 1992) US Asset Backed Securities Index. The index holds investment quality bonds. The ratings are based on S&P, Moody, and Fitch bond ratings. Table 3 in the appendix provides credit quality breakdowns for the index from 2005-2009. The index does not include high yield bonds, municipal bonds, inflation-indexed bonds, or foreign currency bonds. In 2010, the index held more than 8,200 bond issues. [2] The time line for the addition and subtraction of asset classes, as well as changes in the minimum issue size and credit quality standards for the index are included in the time line sidebar.

Milestones in the Evolution of the Bloomberg Barclays U.S. Aggregate Index
  • 1/73 Inception date for Government/Corporate Index.
  • 1/86 Introduction date for the Mortgage-Backed, Yankee, and Aggregate Indices, with returns and statistics calculated back to 12/31/75.
  • 8/88 Liquidity constraint increased from $1 million to $25 million for corporate issues. Yankee Index absorbed into the Government/Corporate Index.
  • 1/89 Published durations changed from Macaulay duration to maturity to duration to worst. Published yields changed from yield to maturity to yield to worst.
  • 1/90 Liquidity constraint increased from $25 million to $100 million for government issues. Yankee sector absorbed into the Corporate Index. Title XI issues dropped from the Government Index. Asset-backed bullet issues added to the finance sector.
  • 1/92 Asset-Backed Securities Index added to Aggregate Index. Balloon issues added to MBS Index. Liquidity constraint increased from $25 million to $50 million for nongovernment issues. Mobile homes dropped from MBS Index.
  • 1/94 Liquidity constraint increased from $50 million to $100 million for all issues.
  • 1/95 GPMs dropped from the MBS Index. Average coupons par-weighted instead of market-weighted.
  • 12/97 Added stranded cost securities to the Asset-Backed Securities Index.
  • 12/98 Manufactured housing securities added to the ABS Index. Quarter-coupons dropped from MBS Index. All World Bank Issues moved to supranational component of Corporate Index.
  • 7/99 Liquidity constraint raised to $150 million from $100 million. ERISA-eligible CMBS added to the Aggregate Index.
  • 7/00 Renamed Corporate Index to Credit. Absorbed all Yankee Corporates into their respective industry classifications. Changed the liquidity constraint on the ABS Index—old constraint: $150 million per tranche; new constraint: deal must be $500 million, tranche must be $25 million. ERISA-eligible B pieces to be included also.
  • 10/03 Liquidity constraint raised to USD200mn from USD150mn. Started using the most conservative rating of Moody’s and S&P to determine index eligibility instead of Moody’s only for split-rated securities.
  • 7/04 Liquidity constraint raised to USD250mn/USD25mn CMBS tranche size from USD 200mn.
  • 7/05 Fitch ratings added to Moody’s and S&P to determine index eligibility and classification.
  • 4/07 Agency Hybrid Adjustable Rate Mortgage (ARM) securities added to the index, but not eligible for the Global Aggregate.
  • 1/08 U.S. MBS Fixed-Rate Balloons and U.S. ABS Manufactured Housing removed.
  • 11/08 Index rebranded as Barclays Capital U.S. Aggregate Index.
  • 10/09 U.S. ABS Home Equity Loans removed.
  • 01/11 Covered bonds become eligible, A1A tranches are removed from the CMBS portion of the index.
  • 05/12 Issuer eligibility for fixed-rate ABS no longer based on a predefined list of “eligible” issuers.
  • 04/13 Loan participation notes (LPNs) eligible for the index.
  • 04/14 Minimum liquidity for US MBS Index constituents raised from USD250mn to USD1bn.
  • 07/14 US Agency CMBS added to the index.
-- Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices Figure 7.; US Aggregate Index Factsheet


The current bond asset classes that compose the index: [3]

  1. Government
    1. Treasury bills, notes, and bonds
    2. Agency bonds
  2. Credit
    1. Industrial
    2. Finance
    3. Utility
    4. Yankee Bonds
  3. Mortgage Backed
    1. GNMA
    2. FNMA
    3. FHLMC
  4. Asset backed
    1. Credit card receivables
    2. Auto Loans
    3. Home equity loans

The relative weighting of asset classes within the index changes over time as new asset classes are added to the index, as issuance of bonds grows and ebbs, and as market security values fluctuate. The following table shows the index sector allocation over the period 1973-2013. A breakdown of mortgage backed securities (GNMA, FHLMC, FNMA) in the index from 1978-2001 is included in the notes.

In June 2009, as a result of the 2008 financial crisis, Barclay's announced the creation of the US Aggregate Float Adjusted Index that excludes Treasuries, agencies and MBS held in Federal Reserve accounts.[4]

Table. Bloomberg Barclays US Aggregate Bond Index Sector Allocation
Trailing 5 years[5] [6]
Year Government Corporate Mortgage Backed Asset Backed
1973 49.0% 51.0% 0.0% 0.0%
1983 59.0% 24.0% 17.0% 0.0%
1993 53.0% 17.0% 28.0% 2.0%
1998 46.0% 22.0% 31.0% 1.0%
1999 42.0% 21.0% 34.0% 2.0%
2000 38.0% 24.0% 35.0% 4.0%
2001 34.0% 27.0% 35.0% 4.0%
2005 40.2% 19.5% 34.9% 5.3%
2006 39.4% 19.4% 35.1% 6.1%
2007 35.4% 19.6% 38.6% 6.5%
2008 38.6% 17.7% 39.6% 4.1%
2009 40.8% 18.8% 36.8% 3.6%
2010 45.8% 18.8% 32.7% 2.8%
2011 46.0% 19.9% 34.1% -
2012 46.7% 21.5% 31.8% -
2013 45.7% 22.3% 32.0% -
2014 45.3% 23.3% 31.4% -
2015 45.8% 24.2% 31.0% -
2016 44.7% 25.4% 30.0% -
2017 44.0% 25.8% 30.3% -

The modified adjusted duration of the U.S. Aggregate index is 5.51 years (as of 30-Aug-2016).[7]

All bonds have a final maturity of at least one year. Subindices based on intermediate maturity bands range from 1 to 9.999 years; long maturity bands include maturity bands of 10 years or greater.[8]

Credit quality

The table below shows the annual distribution of credit quality holdings in the index.[note 1] All four designations (AAA to Baa} are considered investment quality, with specific distinctions:

  • Aaa rating: highest quality
  • Aa rating: high quality
  • A rating: strong
  • Baa rating: medium grade
Table. Bloomberg Barclays US Aggregate Bond Index Credit Quality
Trailing 5 years[9]
Year Aaa Aa A Baa
2005 78.6% 4.7% 8.8% 7.8%
2006 78.9% 5.0% 8.7% 7.5%
2007 79.2% 5.4% 8.2% 7.2%
2008 80.9% 3.1% 9.3% 6.7%
2009 78.1% 4.1% 9.7% 8.1%
2010 77.7% 4.5% 9.7% 8.1%
2011 75.1% 5.1% 10.7% 9.1%
2012 73.1% 5.1% 11.0% 10.8%
2013 72.4% 4.9% 11.1% 11.6%
2014 71.8% 4.6% 11.8% 11.9%
2015 71.5% 4.4% 11.4% 12.7%
2016 70.8% 4.4% 11.3% 13.5%
2017 70.9% 4.8% 10.6% 13.8%

Index returns

The following expandable table provides return data for the index. The annual returns of the index from 1976 to date have ranged between -2.92% in 1994 to 32.60% in 1982.

Table.Annual Returns [10][11]
Year Total Return
1976 15.60%
1977 3.00%
1978 1.40%
1979 1.90%
1980 2.70%
1981 6.30%
1982 32.60%
1983 8.40%
1984 15.15%
1985 22.11%
1986 15.26%
1987 2.76%
1988 7.89%
1989 14.53%
1990 8.96%
1991 16.00%
1992 7.40%
1993 9.75%
1994 -2.92%
1995 18.47%
1996 3.63%
1997 9.65%
1998 8.69%
1999 -0.82%
2000 11.63%
2001 8.44%
2002 10.26%
2003 4.10%
2004 4.34%
2005 2.43%
2006 4.33%
2007 6.97%
2008 5.24%
2009 5.93%
2010 6.54%
2011 7.84%
2012 4.21%
2013 -2.02%
2014 5.97%
2015 0.55%
2016 2.65%
2017 3.54%
2018 0.01%
2019 8.72%

Index funds

The Bloomberg Barclays US Aggregate Bond Index was formulated as a market benchmark and contains thousands of illiquid bonds. Index fund managers therefore use sampling strategies when attempting to construct index funds tracking the index. Bond holdings range from approximately 800 to 1600 bonds for SPDR and Ishares ETFs; and from approximately 930 bonds (TRowePrice) to 5200 bonds (Vanguard) for bond index mutual funds. The Vanguard Bond Market ETF is a share class of the Vanguard bond market index fund.

Index funds tracking Bloomberg Barclays US Aggregate Bond Index
Fund Link ETF Link
Dreyfus Bond Market Index Fund DBMIX Ishares Barclays Aggregate Bond ETF AGG
T Rowe Price US Bond Index Fund PBDIX SPDR Barclays Aggregate Bond ETFE BNDS
TIAA-CREF Bond Index TRILX Vanguard Total Bond Market ETF(Float-Adjusted BND
Vanguard Total Bond Market Index Fund](Float-Adjusted) VBTLX


Notes

  1. Breakdown of mortgage backed securities in the index.
    Table. Bloomberg Barclays US Aggregate Bond Index Mortgage Backed Securities 2010 forward
    Year GNMA FHLMC FNMA
    2013 26.7% 26.9% 40.6%
    2012 25.7% 22.9% 46.5%
    2011 23.5% 30.3% 46.2%
    2010 20.4% 32.2% 47.4%

    from Barclays bond index guides

    Table. Bloomberg Barclays US Aggregate Bond Index Mortgage Backed Securities 1978 - 2001
    Year GNMA FHLMC FNMA
    1978 89% 11% 0%
    1983 69% 22% 9%
    1988 50% 30% 20%
    1993 32% 33% 35%
    1998 26% 34% 40%
    1999 25% 34% 41%
    2000 24% 34% 42%
    2001 21% 35% 44%

    from Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices 1973-2001

References

  1. "Bloomberg Completes Acquisition of Barclays Risk Analytics and Index Solutions Business". Bloomberg. August 24, 2016.
  2. Ishares Factsheet
  3. Richard A. Ferri, All About Index Funds; p. 182. ISBN 0-07-148492-2
  4. Barclays press release, July 30, 2009
  5. Lehman Brothers: a Guide to the Lehman Global Family of Fixed Income Indices 1973-2001
  6. Barclays Capital U.S. Aggregate Factsheet 2005-2009, 2014-2016; Bloomberg Barclays U.S Aggregate Factsheet, 2017.
  7. Barclays - Index Products, viewed August 31, 2016.
  8. US Aggregate Index Fact Sheet, viewed August 31, 2016.
  9. Barclays Capital U.S. Aggregate Factsheet 2005-2009, US Aggregate Index Factsheet, 2004-2014, Aggregate/Broad Market Indices (US Aggregate Index), 2015-2016; Bloomberg Barclays U.S Aggregate Factsheet, 2017.
  10. Data Sources:Barclays Capital US Aggregate Bond Index Factsheet 1976-1983; Callan Chart 1984-2004; Ishares Performance 2004-2010; US Aggregate Index Factsheet 2004-2013
  11. "Source of chart". google drive

External links