Triple 3 publishes bond volatility index through Bloomberg


By Wouter Klijn

T3Index, a subsidiary of Triple 3 Partners, will begin disseminating its indices that track the volatility of global bonds through Bloomberg.

The first indices to be published are those that track the volatility of the 10-year US Treasury Note and the 10-year German Bund.

These indices, called YLDVOL, will allow institutional investors to trade volatility as if it was an asset class, much in the same way investors can trade the volatility of equities through the VIX index and its associated derivatives.

“Interest rate derivatives represent the world’s largest over-the-counter derivatives market by a wide margin, however, it is a market for which listed volatility derivatives have not yet been fully developed”, T3Index chief executive Simon Ho said.

“YLDVOL Bund represents the first tractable benchmark for European interest rate volatility,” he said.

These indices would have been particularly practical in the recent crisis around the Greek debt negotiations, Ho said.

“We saw recently, when Greece teetered on the brink, what an important role such an innovation could play in hedging interest rate exposures,” he said.

YLDVOL Bund reached a high of 119.14 on 15 June compared to a current level of around 65 index points.

The publication of the indices through Bloomberg is mainly a reporting exercise.

There are currently no products yet that are derived from the index, but theinstoreport understands that Triple 3 is in discussions with a European exchange about product development.

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