Compelo Banking is using cookies

We use them to give you the best experience. If you continue using our website, we'll assume that you are happy to receive all cookies on this website.

ContinueLearn More
Close
Dismiss

Barclays Capital Unveils Emerging Markets Asia Swap Index Family

To replicate the performance of nominal interest rate swaps in the Asian emerging markets

Barclays Capital, the investment banking division of Barclays Bank, has launched Barclays Capital Emerging Markets Asia Swap Index Family (BCEMASIF), investable indices designed to replicate the performance of nominal interest rate swaps in the Asian emerging markets.

The markets covered by the BCEMASIF include SGD, HKD, KRW, THB and TWD. Each index tracks the return of a nominal par coupon interest rate swap of a specific tenor, rebalancing to par every month end. Core spot indices covering the 1-10 year tenor range are supplemented with 1 year forward 1 year indices for each market. The company has said that the excess return of each index is driven by the net present value of each underlying swap and this is marked-to-market using transparent and publicly available swap rate data.

Norman Tweeboom, head of index, portfolio & risk solutions Asia at Barclays Capital, said: “The Emerging Markets Asia Swap Index Family complements the already successful Barclays Capital swap index families launched in 2007, further leveraging our expertise in this area. It also adds to our global index platform, which spans beta, enhanced beta and alpha strategies.”

Amit Agarwal, head of rates structuring Asia at Barclays Capital, said: “Institutional investors, insurance companies, pension funds and corporates can use these transparently priced indices as duration access tools, systematic hedging tools and as benchmarks. The indices may also be used as components in strategy index products.”