RBC Launches Daily-Rebalanced Treasury Index

RBC Capital Markets has introduced a benchmark index for investors in U.S. Treasuries with bonds rebalanced on a daily basis.

The company says the RBC Total Return U.S. Treasury (TRUST) Index is the only U.S. Treasury Index that is updated daily, while other indexes are rebalanced on a monthly or quarterly basis. Additionally, RBC TRUST has nine different sub-indexes and is the only index that covers all points across the yield curve, with issues entering on auction day and exiting daily, the company said.

The RBC TRUST indexes include:

  • overall market (contains all maturities across the yield curve)
  • 1 to 3 year
  • 3 to 5 year
  • 5 year and up
  • 5 to 7 year
  • 5 to 10 year
  • 10 year and up
  • 15 year and up
  • 20 year and up.

“By rebalancing daily, the RBC Index … provides a much more accurate and real-time performance measure across the full spectrum of U.S.-issued government bonds,” said Ira Jersey, RBC Capital Markets’ head of U.S. Interest Rate Strategy, in a press release. “The index will be of great benefit to institutional money managers across the globe who track U.S. Treasuries, as it allows them to update their portfolios daily, and is also very appealing from a research perspective.”