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BondAdviser Additional Tier 1 Capital Instrument Index Launches…

Please find below details and links to documents regarding the launch of BondAdviser’s Additional Tier 1 (AT1) Capital Instrument Index.

This index series is designed to accurately reflect the performance of the ASX-listed AT1 hybrid market.  The main parent index is the BondAdviser Additional Tier 1 Capital Instrument Index.  From this, two sub-indices are derived, namely the Major Bank Additional Tier 1 Capital Instrument Index and the Non-Major Bank Additional Tier 1 Capital Instrument Hybrid Index.

The main market index aims to track the broad AT1 instrument universe while sub-indices have also been created to reflect common subdivisions of the asset class by both income measurement and issuer type.

Our data set commences in July 2004 and as shown below, each index and sub-index will additionally be available as an Accumulation or Non-Accumulation variant and each of these on a franked (gross) and unfranked (net) basis with further dissemination available on request (i.e. specific issuer(s), targeted term to redemption or Basel-III eligibility, for example).

The below chart displays accumulated franked (gross) and unfranked (net) returns for the Main, Major Bank and Non-Major Bank AT1 indices between the end of December 2016 and early 2018.

We aim to distribute a monthly review of index performance to users in a similar fashion and format to our popular Term Deposit Review.  In time we additionally plan to create a Corporate series of indices.

Whilst our indices are not investable directly, they are relevant and useful for benchmarking purposes.  Please contact us if you would like our assistance in this.

We have produced a 16-page initial report ‘Primer’ which covers the rationale behind the index creation, scope, performance, key themes, a data pack, an instrument tracker and a relative value monitor.

The index construction mechanics and logic are explained in detail in the BondAdviser ASX-Listed Additional Tier 1 Capital Instrument Index Methodology which includes security selection criteria, rebalancing and reweighting rules, data policy and index calculation etc.

We hope you enjoy the latest addition to our content and please feel free to pass on any comments you may have.

Regards

The BondAdviser Team