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ICAP Information Services launches the ICAP Bond Correlated Call US Treasury Index

ICAP plc, a leading markets operator and provider of post trade risk mitigation and information services, today announced that ICAP Information Services (IIS) has launched the ICAP Bond Correlated Call (BCC) US Treasury Index. A fixed income strategy index, it represents the enhanced income received on physical bond holdings when a product on the index is launched.

Basis of ICAP BCC Index

The ICAP BCC Index is based on the ICAP US Treasury 5-10 Year Maturity Index, developed by IIS three years ago using trade-backed data from ICAP’s leading electronic fixed income platform, BrokerTec. A buy-write option strategy, the ICAP BCC Index measures the performance of holding US Treasury bonds and systematically writing call options on 10yr US Treasury note futures contracts which are related to the underlying bonds.

The index represents a strategy that aims to outperform the US Treasury market in a rising or stable interest rate environment. With bond yields at long-term lows, products on the ICAP BCC Index will position bond investors positively for a rise in rates.

ICAP Bond Correlated Call US Treasury Index

Source & Copyright©2015 - ICAP 

Rolling annual excess returns of ICAP BCC US Treasury Index over underlying index versus annual change in yield (Feb 1993 to Dec 2014). Calculated daily at 3pm New York Time, the ICAP BCC Index can be found on Bloomberg under ticker IDXBCTN3.

Jan de Smedt, Global Head of Indices, IIS, said: “With yields at historically low levels and an anticipated rise in US interest rates, products tracking the ICAP BCC Index aim to provide investors with higher returns for their fixed income portfolios without reducing diversification or increasing risk.  The ICAP BCC Index is built upon the ICAP US Treasury 5-10 Year Maturity Index, a highly transparent index, including only publicly held US Treasuries.”

ISS Background

IIS is the benchmark administrator of nine indices and delivers independent data solutions to financial professionals for real-time, end-of-day and historical products.  ICAP’s data is the intelligence behind algorithmic trading, research models, risk and compliance applications and portfolio pricing and management.  With volume traded by ICAP from over 30 countries being fed into our data products, IIS delivers 96,000 instruments generating over 300 million updates per day.

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