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ICE BofAML CMO Indices

Intercontinental Exchange ( ICE ) acquired Bank of America Merrill Lynch Global Research division’s fixed income index platform, which will become part of ICE Data Services. The acquired indices will be renamed ICE BofAML Indices and will become part of ICE Data Services’ suite of businesses, which provides proprietary indices, and third-party index and ETF calculation services, as well as proprietary market data, pricing and analytics, desktops and connectivity solutions.

ICE BofAML started tracking CMOs to support the increasing number of BookMark indices that it has constructed for insurers in the past. Having established an historical CMO database and benchmarking capability, it was only logical to make it available to traditional total rate of return investors as well. The addition of the CMO index, with its extensive history and supporting analytics, will be an invaluable tool in helping to determine the sector’s performance. The Index is “rules-based,” which means that bonds must meet a defined list of criteria to be included. Qualifying securities should have at least one year remaining term to final maturity, and a fixed coupon schedule. Additionally, qualifying tranches must meet certain minimum size filters. Also, floating rate, inverse floating rate and exchangeable tranches of qualifying deals are excluded from the Index, as are all non-agency and private placement deals.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 64 indices, primarily ICE BofAML US Agency Indices, and 1500 bonds.

Some of the index data items available include:

  • Accrued Interest, Asset Swap, Bond Equivalent Yield to Maturity, Cash, Convexity, Convexity to Worst, Effective Convexity, Effective Duration, Effective Yield, Excess Return, Excess Swap Return, Excess Swap Return Percentage Year to Date, Hedged Total Return, Last Price Date, Macaulay Duration, Market Capitalization, Market Weighted Coupon, Maturity, Modified Duration, Notional Outstanding, Number of Constituents, Option Adjusted Spread, Option Adjusted Spread in US Dollars, Price, Price Return, Price Weighted Coupon, Rating Code, Spread Duration, Spread to Worst, Total Return, Years to Worst, Yield to Maturity, Yield to Worst, etc.


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