Barclays has 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 US$15 billion 2-year note is issued under this program in late January.
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Brian Upbin, head of Benchmark Index Research, Barclays, said: "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."
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.
Ajay Rajadhyaksha, Co-Head of FICC Research, said: "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."
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.
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