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S&P US Treasury Indices

Published in Fixed Income Indices

The S&P/BGCantor U.S. Treasury Indices use end of day U.S. Treasury bond pricing from BGCantor Market Data, and are maintained and published by S&P Indices. The joint effort results in U.S. Treasury Indices designed to meet custom requirements, liability driven investing and portfolio building strategies.

  • The S&P/BGCantor U.S. Treasury Bill Index is a broad, comprehensive, market-value weighted index that seeks to measure the performance of the U.S. Treasury Bill market.
  • The S&P U.S. TIPS Index is a broad, comprehensive, market value-weighted index that seeks to measure the performance of the U.S. Treasury Inflation-Protected Securities (TIPS) market. This index seeks to track TIPS with a maturity between 0 and 10 years.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 1160 bonds and 95 indices. Index coverage includes U.S. Treasury Bill Indices, U.S. Treasury Bond Indices, and U.S. Treasury TIPS.

Some of the data items available include:

  • Bond Items: Accrued Interest, Clean Price, Country Code, Coupon, Currency Code, Daily Price Return, Date of Portfolio, Dirty Price, Effective Maturity Date, Investable Weight in Index (Source), Market Value, Maturity Date, Modified Duration, Notional Outstanding, Opening Market Value, Yield, Yield to Worst, etc.
  • Index Items: Average Coupon, Average Life, Average Modified Duration, Average Price, Average Yield, Average Yield to Worst, Market Capitalization in US Dollars, Notional Outstanding in US Dollars, Number of Constituents, Price Index in US Dollars, Total Return in US Dollars, etc.

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