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Barclays Announces New Contingent Capital (CoCo) Bond Index

New standalone global benchmark for investment-grade and high-yield CoCo securities 

Barclays announced the launch of a new Global Contingent Capital Index, a multi-currency benchmark measuring the performance of investment-grade and high-yield contingent capital (“CoCo”) securities. This standalone benchmark tracks the market of hybrid capital securities that do not qualify for other flagship Barclays Aggregate, High-Yield, Capital Securities, or Convertibles Indices.

“CoCo issuance has steadily grown in recent years and 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. “Though CoCos are not eligible for broad-based bond indices such as the Global Aggregate, there are debt investors who hold these securities as out-of-index investments and need a benchmark of asset class risk and returns.”

The Barclays Global Contingent Capital Index includes hybrid capital securities with explicit equity conversion or writedown loss absorption mechanisms that are based on an issuer’s regulatory capital ratio or other explicit solvency-based triggers. Subindices by currency, country, credit quality, and capital security type are available as part of this family. Bespoke credit and high-yield indices that include traditional hybrid capital as well as contingent capital securities are also now available with this expanded security coverage. The inception date of this index is May 1, 2014, and the index universe contains 65 CoCo issues with a market value of $98bn as of May 31, 2014.

This new index will be available on Barclays Live and fully supported on the Barclays POINT® portfolio analytics platform. The index will also be available through other data distribution platforms that offer Barclays indices. Interactive Data Pricing and Reference Data, LLC is a provider of pricing for this new index.