Markit has launched the Markit iBoxx Liquid Ultrashort indices, the first global cash bond indices to provide a balanced representation of the ultrashort investment grade credit universe.
The ultrashort market carries interest rate duration risk of one year or less.
These indices have been licensed to BlackRock for the launch of three exchange traded funds (ETFs) under its iShares brand.
This new index set, which includes three indices covering the USD, EUR and GBP markets respectively, benefits from a comprehensive construction approach that ensures diversified investment grade credit exposure. This exposure is obtained by holding a combination of investment grade corporate bonds with a time to maturity of between zero and one year as well as floating rate securities with a time to maturity of between zero and three years.
Pricing is based on Markit’s bond pricing service, which uses multiple observable price sources for pricing accuracy and provides detailed information on the inputs used in the evaluation process.
Armins Rusis, managing director and global head of Information at Markit, says: “We are pleased to be launching these innovative indices. Our in-depth knowledge of the fixed income market coupled with our index construction expertise have enabled us to index the ultrashort duration space, a global first for this market segment. Our index calculation capabilities and experience in providing extensive pricing services were a cornerstone of this effort.
“This development illustrates our ongoing commitment to extending the Markit iBoxx family of indices globally. We are delighted that BlackRock selected our indices to serve as the basis for three of their ETFs.”
In addition, Markit separately launched a range of investment grade and high yield short duration indices, which hold securities denominated in dollars and maturing between zero and five years.