New benchmark for this highly anticipated fixed income security type
Barclays today announced plans to launch a US Treasury Floating Rate Index, a standalone index that will measure the performance of a new Treasury security type with coupons that reset in between quarterly payment dates. The inception date of this index will be February 1, 2014, but statistics will be available when the first $15 billion 2-year note is issued under this program in late January.
“Demand for these short duration securities should rise as investors position for an eventual hiking cycle. This independent and rules-based benchmark will be a valuable tool for the portfolio management process”
“The issuance of floating rate securities by the US Department of the Treasury is a significant and highly anticipated event for bond investors. Barclays is pleased to be offering a benchmark tracking this new fixed income asset class for investors that will be including these securities in their portfolios,” said Brian Upbin, Head of Benchmark Index Research.
Due to their variable coupon resets, US Treasury Floating Rate securities will not be eligible for existing flagship indices such as the US Aggregate, Global Aggregate, and US Treasury Indices that include fixed-rate securities only. Custom indices that include both fixed rate and floating-rate securities are available upon request.
“Demand for these short duration securities should rise as investors position for an eventual hiking cycle. This independent and rules-based benchmark will be a valuable tool for the portfolio management process,” said Ajay Rajadhyaksha, Co-Head of FICC Research.
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.
Since the introduction of the US Government and US Corporate indices in 1973, and the US Aggregate in 1986, the Barclays Index, Portfolio & Risk Solutions (IPRS) business has grown into the industry-leading global provider of indices and portfolio analytics. Today the business comprises a broad offering of thousands of standard and bespoke indices spanning developed and emerging debt markets, investment grade and high yield bonds, fixed- and floating-rate debt, nominal and inflation-linked securities and the taxable and tax-exempt markets. In more recent years, Barclays has introduced a range of alternative weight indices including fiscal strength and GDP-weighted indices, a new family of LDI benchmarks, and environmental, social, and governance (ESG) themed fixed income indices. Barclays is recognized as the top-ranked bond market index provider in the US and Europe by Institutional Investor magazine and has placed first in the US survey every year since the category was first tracked in 1997.