The ICE U.S. Treasury Index Series was developed as a broad representation of the U.S. Treasury market and includes a number of maturity sub-Indices ranging from one month to thirty years. All ICE U.S. Treasury Indices are market value weighted and designed to measure the performance of the U.S. dollar-denominated, fixed and floating rate U.S. Treasury market. The U.S. Treasury Index Series has an inception date of December 31, 2015. Index history is available back to December 31, 2004 for select Indices, all other Indices have history available back to December 31, 2005.
Key Features and Coverage on RIMES
For this data source, RIMES hosts approximately 560 bonds and 9 U.S. Treasury Bond Indices. Some of the data items available include:
- Bond Items – Accrued Interest, Amount Outstanding, Benchmark Spread, Breakeven Inflation, Cash, Composite Rating, Convexity, Country Code, Coupon, Coupon Date, Coupon Frequency, Coupon Type, Currency Code, Daily Price/Total Return, Day Count, Days to Maturity, Duration, Fitch Rating, Industry Code, Industry Description, Inflation Factor, Issue Date, Issuer Description, Macaulay Duration, Market Value, Maturity Date, Modified Duration, Moody’s Rating, Next Call Date/Price, OAS Swap, OAS Treasury, Par Amount, Price, Price Return/Total Return, Rating, Real Yield, Reset Date, Reset Frequency, S&P Rating, Sector Classification, SOMA Amount/Date, Spread Duration, Weight, Years to Maturity, Yield Beta, Yield to Worst, etc.
- Index Items – Breakeven Inflation, Days to Maturity, Effective Convexity, Effective Duration, Factor Return Index Level, Income Return. Inflation Return, Macaulay Duration, Market Capitalization, Modified Duration, Number of Constituents, OAS Swap, OAS Treasury, Price Index, Price Return, Real Yield, Since Inception Total Return, Spread Duration, Total Return, Yield to Maturity, Yield to Worst, etc.
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