Treasury Index

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Treasury Index

An index based on recent auctions of United States Treasury securities. Treasury indices are used as a benchmark for interest rates of some bank accounts and floating-rate mortgages. Each Treasury index is calculated differently, but it usually is based on the yield of some combination of five-year and 10-year Treasury notes and Treasury futures contracts.
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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.
Treasury Indices that would better replicate the current trend toward more frequent borrowing by fixed income issuers.
Treasury indices use pricing from BGCantor Market Data, and are maintained and published by S&P Indices.
The GDP weighting methodology is available for flagship benchmarks such as the Global Aggregate and Global Treasury Indices and other universal benchmarks that include both developed market and emerging markets debt.
Treasury Indices designed to meet custom requirements, liability driven investing and portfolio building strategies.

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