S&P, BGCantor launch two indexes that weigh U.S. Treasury new issues

By Devika Patel

Knoxville, Tenn., March 24 - Standard & Poor's and BGCantor Market Data, LP said they have created the S&P/BGCantor U.S. Treasury Bill index and the S&P/BGCantor U.S. Treasury Bond index, which aim to capture and reflect new issues faster than any available U.S. Treasury indexes.

The two new indexes will be part of the S&P/BGCantor U.S. Treasury Bond index family. The companies said the indexes were launched on the heels of a recent agreement by S&P Indices and BGCantor Market Data to develop a series of U.S. Treasury indexes that would better replicate the current trend toward more frequent borrowing by fixed-income issuers.

Both of the new indexes use pricing from BGCantor Market Data and are maintained and published by S&P Indices.

The S&P/BGCantor U.S. Treasury Bill index is a broad, comprehensive, market value-weighted index designed to measure the performance of the U.S. Treasury bill market. Unlike others available in the marketplace, the index undergoes a weekly review and rebalancing in order to keep the index current. The index is rules-based and is comprised of sub-indexes that are differentiated by the range of maturities of its constituents.

The S&P/BGCantor U.S. Treasury Bond index is a broad, comprehensive, market value-weighted index that seeks to measure the performance of the U.S. Treasury bond and note market. The index undergoes a semimonthly review and rebalancing. This index is also rules-based and comprised of sub-indexes that are differentiated by the range of maturities of its constituents.

"As the market changes, so does the need for its benchmarks to change. These indices are designed to capture the nuances of the U.S. Treasury market by incorporating the newer issues into the indices in a more timely fashion," S&P Indices vice president J.R. Rieger said in a press release.

As part of this rollout, S&P Indices and BGCantor Market Data also intend to launch a U.S. Treasury Inflation-Protected Securities index during the second quarter of 2010.

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