Created by the Chicago Board of Trade and Dow Jones, Inc., the Dow Jones CBOT Treasury Index is a benchmark of U.S. default-free capital market returns. It provides investors in the bond markets with a tool that equity investors have long enjoyed: a real-time, transparent, broad-based indicator of market performance.

Composed of 30-Year T-Bond, 10-Year T-Note and 5-Year T-Note futures contracts, the Dow Jones CBOT Treasury Index is duration-weighted with each element making an equal contribution to performance. And since the components are priced on actual transactions in the futures market, index valuation is continuous, transparent, and in real time.

Dow Jones CBOT Treasury Index Design
The Dow Jones CBOT Treasury Index accurately and efficiently replicates the performance of the U.S. Treasury bond market. It is weighted by the modified duration of CBOT 30-Year T-Bond, 10-Year T-Note, and 5-Year T-Note futures contracts; its calculation thus produces an unbiased measure of market performance. No single maturity dominates; each component’s contribution to index valuation is consistent with its position along the risk-reward curve.

The Index is rebalanced quarterly to adjust for relative changes in duration attributable to changes in market rates. Continuity is maintained at the time of recalibration with a divisor that equalizes index values between the old index and the recalibrated index. Therefore, quarterly index calibrations are determined only by market prices and expected returns.

The Dow Jones CBOT Treasury Index provides a consistent measure of U.S. default-free capital market returns. Because the index components remain constant, returns over time are comparable and easy to calculate. The Index thus provides a benchmark for assessing both the consistency and the quality of portfolio risks and returns. Moreover, the methodology creates a bond market index with intra-day prices, including a high, low, and close.

To view Dow Jones CBOT Treasury Index values on Bloomberg enter:
DJCBTI <INDEX>GO

Benefits of the Dow Jones CBOT Treasury Index
The Dow Jones CBOT Treasury Index presents several key benefits for institutional investors seeking a tool for bond market portfolio management.

• Accuracy - The index valuations are based on actual U.S. Treasury futures market transactions, not mark-to-market pricing matrices.
• Transparency - Prices of the components are readily accessible and easily observable.
• Simplicity - The index methodology is simple and easy to replicate.
• Timeliness - The Dow Jones CBOT Treasury Index is disseminated every 15 seconds, reflecting the most recent prices of the underlying futures contracts.

Uses of the Dow Jones CBOT Treasury Index
Because the Dow Jones CBOT Treasury Index accurately and efficiently replicates the performance of the U.S. Treasury bond market, it provides many applications for those involved in portfolio management.

Benchmarking - Investors and portfolio managers can measure their own returns against those generated by the Dow Jones CBOT Treasury Index.

Asset Allocation - Investors and portfolio managers can use the Dow Jones CBOT Treasury Index in combination with other indices (e.g., the Dow Jones Industrials) to analyze capital allocation across competing asset classes.

Portfolio Decomposition - The Dow Jones CBOT Treasury Index can be used to separate returns attributable to the money markets from returns attributable to the capital markets in a bond portfolio.

Resources
Dow Jones CBOT Treasury Index Weights and Divisors
Dow Jones CBOT Treasury Index Methodology
Additional information available on the Dow Jones Indexes website