Launch of New U.S. Treasury Covered Call Index Expands Bloomberg Indices' Multi-Asset Offerings

Rhea-AI Summary

Bloomberg has launched the Bloomberg U.S. Treasury 20+ Year 12% Premium Covered Call 2.0 Index, expanding its Multi-Asset Indices offerings. The new index aims to generate consistent income through treasury holdings and weekly option premiums, targeting a 12% theoretical yield while maintaining exposure to potential long-term bond market gains.

The index has been selected as the benchmark for the new Amplify Bloomberg U.S. Treasury Target High Income ETF (TLTP). This follows Amplify ETFs' recent adoption of a Bloomberg equity index for their AI Value Chain ETF (AIVC). The strategy differentiates itself by modifying the ratio of call sales and implementing weekly options, potentially offering both steady income and enhanced total returns in uncertain interest rate environments.

Positive

• Introduction of new index targeting 12% theoretical yield
• Strategic positioning for potential interest rate decline benefits
• Secured licensing agreement with Amplify ETFs for new ETF product
• Enhanced flexibility through weekly options vs traditional monthly options

Negative

• None.

News Market Reaction

-3.16%

1 alert

-3.16% News Effect

On the day this news was published, AIVC declined 3.16%, reflecting a moderate negative market reaction.

Data tracked by StockTitan Argus on the day of publication.

Index selected as benchmark for new Amplify Bloomberg U.S. Treasury Target High Income ETF (TLTP)

NEW YORK, Dec. 10, 2024 /PRNewswire/ -- Bloomberg today announced the launch of the Bloomberg U.S. Treasury 20+ Year 12% Premium Covered Call 2.0 Index. An expansion of Bloomberg Multi-Asset Indices and covered call benchmarks, the new Index aims to replicate a strategy designed to generate reliable income from option premiums, while strategically investing in long-term U.S. bonds in preparation for an anticipated decline in interest rates.

With a goal of achieving a consistent 12% theoretical yield, the Index is constructed to measure the accumulation of income through the holding of treasury and the receipt of option premiums on a weekly basis. The Index is designed to benefit from long-term US bond market profits through reduced proportion of call option sales.

"Many current covered call strategies exhibit limitations of the upside potential due to the complete sale of monthly call options. By modifying the ratio of call sales and permitting the sale of weekly options, this new index may offer a consistent income stream while aiming to enhance the total return performance in a market environment characterized by uncertainty on interest rate levels," said Emanuele Di Stefano, Head of Index Product Development, Bloomberg Index Services Limited. "This launch demonstrates Bloomberg's continued commitment to providing our partners and clients with index solutions that target their varied, and often complex, investment goals."

The index has been licensed by Amplify ETFs as the underlying benchmark for the new Amplify Bloomberg U.S. Treasury Target High Income ETF (CBOE: TLTP). This follows the firm's recent adoption of a Bloomberg equity index for the Amplify Bloomberg AI Value Chain ETF (NYSE: AIVC).

The Bloomberg Multi-Asset Indices are designed to provide broad measures of cross-asset market performance across the globe. These multi-asset benchmarks are comprised of Bloomberg Indices across major asset classes, with each index constructed as a composite of at least one fixed-income index and one equity index.

Bloomberg provides an independent, transparent approach to indexing for customers across the globe. Bloomberg clients can access the index on the Bloomberg Terminal at {BTSICTTT Index <GO>} and all research and methodology for the indices are available at Bloombergindices.com.

About Bloomberg Index Services Limited
Bloomberg's index team has a proven track record in creating industry-leading and bespoke indices across asset classes, including their flagship fixed income, commodity and equity indices. Bloomberg Index Services Limited (BISL) takes an innovative approach to delivering strategic benchmarks that help market participants address their evolving investment needs. The indices, which are seamlessly integrated with other Bloomberg solutions, draw on a comprehensive range of trusted data and reliable technology for calculations, analytics and workflow automation, along with distribution capabilities that can help amplify the visibility of our customers' products.

About Bloomberg
Bloomberg is a global leader in business and financial information, delivering trusted data, news, and insights that bring transparency, efficiency, and fairness to markets. The company helps connect influential communities across the global financial ecosystem via reliable technology solutions that enable our customers to make more informed decisions and foster better collaboration. For more information, visit Bloomberg.com/company or request a demo.

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SOURCE Bloomberg L.P.

FAQ

What is the target yield of Bloomberg's new U.S. Treasury Covered Call Index?

The Bloomberg U.S. Treasury 20+ Year 12% Premium Covered Call 2.0 Index targets a 12% theoretical yield through treasury holdings and weekly option premiums.

Which ETF has adopted the new Bloomberg Treasury Covered Call Index as its benchmark?

The Amplify Bloomberg U.S. Treasury Target High Income ETF (TLTP) has adopted the index as its benchmark.

How does the new Bloomberg Treasury Index differ from traditional covered call strategies?

The new index modifies the ratio of call sales and uses weekly options instead of complete monthly call option sales, aiming to provide consistent income while maintaining upside potential.