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Dow Jones CBOT Treasury Index

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The Dow Jones CBOT Treasury Index is a fixed-income index. The Dow Jones CBOT Treasury Index measures the performance of three Treasury futures contracts traded on CBOT. The Dow Jones CBOT Treasury Index is a benchmark for longer term fixed-income markets. The Dow Jones CBOT Treasury Index includes the price of the front-month future contracts for 5-year and 10-year notes, and T-Bonds trading on the CBOT. The prices used in the Dow Jones CBOT Treasury Index are weighted by duration (i.e modified Macaulay duration) so that both the coupon and maturity of the underlying Dow Jones CBOT Treasury Index components are taken into account. As a result, the Dow Jones CBOT Treasury index allows investors to easily compare return of U.S. Treasuries over time. A divisor is also applied to the Dow Jones CBOT Treasury Index in an effort to maintain continuity of returns during each contract roll period. The Dow Jones CBOT Treasury Index is calculated and published in real time during trading hours for CBOT Treasury futures. The Dow Jones CBOT Treasury Index is updated each quarter. The weights and divisor are recalculated using the closing prices of the December, March, June, and September Dow Jones CBOT Treasury Index underlying future contracts at 2 PM Central Standard Time (i.e. Chicago) on the last trading day of August, November, February, and May respectively. The Dow Jones CBOT Treasury Index was introduced in April 2004. The base value of the Dow Jones CBOT Treasury Index is 100, set as of November 30, 1999.



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