T3Index will begin disseminating its proprietary global bond indices which track the volatility of the 10 year US Treasury Note and the 10 year German Bund via Bloomberg (Tickers: YLDVUST and YLDVBUND).
The indices, known as YLDVOL™ (short for Yield Volatility) have been designed in consultation with industry to most accurately reflect the conventions and requirements of the market.
“Interest rate derivatives represent the world’s largest OTC derivatives market by a wide margin, however it is a market for which listed volatility derivatives have not yet been fully developed”, said T3Index CEO, Mr Simon Ho. “YLDVOL™ Bund represents the first tractable benchmark for European interest rate volatility”.
“Our YLDVOL™ index is highly intuitive, simple for investors to understand and the design accords with the nomenclature of the market.”
“We saw recently, when Greece teetered on the brink, what an important role such an innovation could play in hedging interest rate exposures. YLDVOL™ Bund reached a high of 119.14 on June 15th compared to the mid-60s today,” Mr Ho said.
The Yield Volatility Index is a measure of expected annualized movement in the yield of the 10-Year US Treasury Note or the German Bund. It represents the constant maturity 30-day implied volatility, expressed in annualized basis-points terms. . For example, an index value of 80 points roughly translates to the expected movement in the ten year yield of +/- 80 basis points from its present level over the coming year (an option’s implied 68% confidence interval – or 1 standard deviation).