This table provides information on the underlying index, including:

• Index – Bloomberg ticker of the underlying index
• Index value – the last closing index price
• OAS – option-adjusted spread; a constant spread that, when added to all discount rates from the Treasury curve, equates the theoretical value of all future cash flows to the market price of the index
• OAD – option-adjusted duration; modified duration with respect to the par Treasury yield curve
• OASD – option-adjusted spread duration; modified duration with respect to OAS.

Note that the index value, OAS, OAD and OASD are calculated by Bloomberg daily at 4:00 p.m. ET.

Note that the underlying index of the DHB contract (I30287US Index), does not have an OAD by construction, since it is a duration-hedged index. The DHB Index tab provides further information on how the index uses an index of short positions in Treasury futures across the curve to hedge duration.

This table provides futures risk metrics:

• Contract – identifies the nearest three quarterly contracts that are currently listed
• Notional value – the notional value of one futures contract:

Notional value = contract multiplier x futures price

• Futures DV01 – the estimated P&L given a 1 basis point parallel shift in the par Treasury curve:

Futures DV01 = index OAD x contract multiplier x futures price x 0.0001

• Futures CR01 – the estimated P&L given a 1 basis point change in index OAS:

Futures CR01 = index OASD x contract multiplier x futures price x 0.0001

The futures price used to calculate the above metrics is taken from the fair value and implied financing table. The default futures price is the last daily settlement price. The futures risk metrics will be re-calculated if the futures price is overwritten.

Note that the DV01 for DHB is zero by construction, since it is duration hedged.

This table calculates the futures fair value and implied financing rate, given the provided futures price and financing rate:

• Contract – identifies the nearest three quarterly contracts that are currently listed
• Expiry – the last trade date of the futures contract
• DTE – days to expiry; the number of calendar days between the current date and expiry
• Futures price – defaults to the last daily settlement price and can be overwritten
• Premium/discount – the calculated premium/discount between the futures price and index value:

Premium/discount = futures price - index value/index value

• Financing rate – financing rate between the current date and expiry; calculated using linear interpolation of CME Term SOFR rates and can be overwritten
• Futures fair value – estimated fair value futures price based on the index value, days to expiry, and financing rate:

Futures fair value = index value x (1+financing rate)^DTE/365

• Fair spread – the difference between the futures price and the futures fair value:
  Fair spread=futures price-futures fair value
• Implied financing rate – the theoretical return earned by purchasing the underlying index, selling the futures today, and holding those positions until expiry:

Implied financing rate = (futures price/index value)^365/DTE -1

This table evaluates the richness/cheapness of the nearby roll:

• Contract – identifies the nearby calendar spread contract
• Spread price – defaults to the last daily settlement price and can be overwritten
• Fair value – estimated fair value calendar spread price based on the futures fair value prices of the nearby and deferred legs:

Fair value = nearby futures fair value - deferred futures fair value

• Fair spread – the difference between the spread price and the fair value price:

Fair value = spread price - fair value

• Implied financing rate – the implied financing rate of the nearby roll:

This section allows you to chart any combination of futures daily settlement prices, daily index values and index OAS. Use the “Show on Chart” dropdown at the top of the page to select which series to chart.

Annualized tracking error between futures daily returns and index daily returns is also shown on the right-hand side of the page. Annualized tracking error is calculated as the annualized standard deviation of daily excess returns for futures compared to the underlying index, considering all daily returns since June 17, 2024, (futures first trade date). Tracking error indicates how well the daily futures returns track the daily returns of the underlying indices. A tracking error of zero implies that the history of daily returns are identical.

This section provides information on how the index underlying DHB uses an index of short positions in Treasury futures across the curve to hedge duration. The index is derived by combining the LUACTRUU Index with key-rate duration-matched short positions in Treasury futures across the curve. The Treasury futures hedge is rebalanced on the last business day of each month. For more information, see US Corporate: Mirror Future and Duration Hedged Indices.