Nasdaq OMX Group and a unit of Canada’s TMX Group said they are developing a family of capital markets indices based on U.S. Treasury instruments that will be rebalanced daily, instead of monthly.
Nasdaq OMX’s partner is PC-Bond, a TMX Group subsidiary and long-time provider of benchmarks for Canadian fixed income investments. The TMX Group operates the Toronto and Montreal exchanges.
The series will be called the RBC Insight Total Return U.S. Treasury Indexes. RBC stands for Royal Bank of Canada.
The indices are designed to be measures of the market for U.S. Treasury notes and bonds. The daily rebalancing will contrast with month-end rebalancing for other U.S. and European bond indexes.
Treasury indexes that rebalance daily offer the advantages of reduced tracking errors when rebalancing portfolios and provide a more accurate reflection of current market conditions, said John Jacobs, Executive Vice President, Nasdaq OMX Global Indexes.
The RBC Insight Total Return U.S. Treasury (TRUST) Indexes have history dating back to December 31, 1998.
Twenty-two indexes will begin publishing values Tuesday through Nasdaq OMX Global Index WatchSM.
This U.S. Treasury series becomes part of the Nasdaq OMX Global Index Group's global benchmark portfolio.
PC-Bond markets an analytical system for fixed-income portfolio management in Canada.
-- This article first appeared on Securities Technology Monitor.