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RBC Capital Markets launches first U.S. Treasury Index to be rebalanced daily

Total Return U.S. Treasury (RBC TRUST) Index provides investors globally with accurate view of the U.S. Treasury

NEW YORK, March 4, 2010— RBC Capital Markets today introduced the RBC Total Return U.S. Treasury (TRUST) Index, a benchmark index for investors in U.S. Treasuries with bonds rebalanced on a daily basis.

RBC TRUST is the only U.S. Treasury Index that is updated daily, while other indices are rebalanced on a monthly or quarterly basis. The results provide portfolio managers, mutual fund managers and investors around the world with a comprehensive, real-time and accurate view of the U.S. Treasury. Additionally, RBC TRUST has nine different sub-indices and is the only index that covers all points across the yield curve, with issues entering on auction day and exiting daily.

The RBC TRUST indices include:

  • Overall market (contains all maturities across the yield curve)
  • 1 to 3 year
  • 3 to 5 year
  • 5 year and up
  • 5 to 7 year
  • 5 to 10 year
  • 10 year and up
  • 15 year and up
  • 20 year and up

"By rebalancing daily, the RBC Index differs vastly from existing indices that are rebalanced once per month, and provides a much more accurate and real-time performance measure across the full spectrum of U.S.-issued government bonds," said Ira Jersey, RBC Capital Markets' head of U.S. Interest Rate Strategy. "The index will be of great benefit to institutional money managers across the globe who track U.S. Treasuries, as it allows them to update their portfolios daily, and is also very appealing from a research perspective."

The RBC TRUST Index is another example of RBC Capital Markets' growing U.S. dollar capabilities and a logical extension of the firm's global rates franchise. In July 2009, RBC Capital Markets was designated a Primary Dealer by the Federal Reserve Bank of New York, and the firm has made several senior hires over the last year across its U.S. Treasuries platform.

About RBC Capital Markets
RBC Capital Markets is the corporate and investment banking arm of RBC and is active globally in debt origination, sales and trading, foreign exchange, infrastructure finance, structured products, metals and mining, and energy. Its North American platform includes a significant U.S. investment banking franchise and leading equity, underwriting, sales, trading and research businesses.

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For further information, please contact:

Kait Conetta, RBC, (212) 428-6902, kait.conetta@rbc.com

Loretta Healy, The Hubbell Group, (781) 878-8882, lhealy@hubbellgroup.com