S&P Indices has launched the S&P/BGCantor U.S. TIPS Index, which it says is the only index in the market to use pricing exclusively from BGC Market Data LP. According to the announcement, the S&P/BGCantor U.S. Treasury Inflation Protected Security 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”.
TIPS, of course, is an acronym for Treasury Inflation Protected Securities, marketable Treasury securities whose principal is adjusted according to changes in the Consumer Price Index (CPI). TIPS are designed to provide protection against inflation, with the principal of the security increasing with inflation and decreasing with deflation, as measured by the CPI.
S&P Indices also announced that it is now publishing the S&P/BGCantor U.S. Treasury Bond and Treasury Bill Indices on an intraday basis. The S&P/BGCantor U.S. Treasury Index family is a market-value weighted family of indices that seeks to measure the performance of the U.S. Treasury market.
According to the Securities Industry and Financial Markets Association (SIFMA), the market value for TIPS outstanding as of end of March 2011 is $640.8 billion.
BGC Partners describes itself as a global broker servicing the wholesale financial markets, specializing in the brokering of a broad range of financial products, including fixed income securities, interest rate swaps, foreign exchange, equities, equity derivatives, credit derivatives, commodities, futures, structured products and other instruments.
According to the announcement, index weights are based, in part, on outstanding Par Amounts for securities. BGC Market Data LP provides the inflation adjusted price of each bond in the Index. The prices used in the Index calculation add the accrued interest to the market price of each security reported by BGC Market Data LP each day. According to a press release, the Index is rules driven, “the hallmark of which is transparency and predictability”.
More information about the S&P/BGCantor U.S. TIPS Index is available at http://www.fixedincomeindices.standardandpoors.com.