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Administration May 6, 2004
Lehman Shakes Up Bond Indices
June 17, 2003 (PLANSPONSOR.com) - The Lehman
Brothers US Aggregate Bond Index will be sans smaller bonds
issues as part of sweeping changes scheduled for October 1 to
the most widely used US bond indexes .
Reported by Eric Hazard
In addition to dropping smaller issues, Lehman will also begin requiring a Standard & Poor’s rating for a bond to be included in its investment-grade indexes. Any bonds rated below investment grade by Moody’s Investors Service or Standard & Poor’s will fall into high yield indexes, according to a Reuters report.
The changes to the Aggregate Index will reduce the number of bonds in the index by 13%, or 970 securities and the market value of the index will decline 2%, or $170 billion, following the changes. The reduction will take place because Lehman is increasing the liquidity constraint for Treasury, agency, corporate bonds and mortgage-backed securities to $200 million from $150 million.