Barclays today launched the Mirror Futures and Duration Hedged Indices, a new family of index products that use liquid Treasury futures contracts to replicate the interest rate duration exposure of a Barclays fixed income index. These new indices are expected to be used by both active and passive investors for a variety of portfolio applications including index replication, interest rate hedging, and as benchmarks for investors who want duration exposure that differs from their existing benchmark.
“By continuing to invest in new index technology and developing new and innovative index products, Barclays is able to offer debt investors a full suite of index and portfolio risk solutions truly tailored to their strategic market perspective,” said Brian Upbin, Head of Benchmark Index Research at Barclays.
“Movements in interest rates represent the largest driver of returns for fixed income investments,” said Ajay Rajadhyaksha, Co-Head of FICC Research at Barclays. “Investors seeking to adjust the duration of their fixed income portfolios in expectation of rising rates will now have an independent and rules-based benchmark alternative that scales the duration exposure to a desired level, while preserving the broad coverage and diversification of their existing fixed income investment set.”
Barclays is offering two types of indices for duration management, for both single-currency and multi-currency fixed income investors:
- Barclays Mirror Futures Indices (MFI) are indices whose return reflects a funded set of Treasury futures contracts, weighted to match closely the beginning-of-the-month option adjusted duration (OAD) profile of an underlying standard Barclays bond index such as the US Aggregate or Global Aggregate.
- Barclays Duration Hedged Indices (DHI) are funded indices that reflect the return of a Barclays fixed income index with its interest rate duration hedged (fully or partially) using its associated Mirror Futures Index.
Barclays Mirror Futures and Duration Hedged Indices will be available for a number of existing flagship Barclays indices but can also be customized for client-specific benchmarks.