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Bloomberg currently only publishes end-of-day prices for these indices. Risk metrics including option-adjusted spread (OAS), option-adjusted duration (OAD) and option-adjusted spread duration (OASD) are also published at end-of-day on the Security Description (DES) and Fair Value Monitor (FAIR) pages on the Bloomberg terminal.

Bloomberg also publishes tradeable tracker indices, which are calculated in real-time during U.S. corporate bond market trading hours based on a liquid subset of the broader index. See Question 1 for the associated Bloomberg tickers.

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The duration-hedged indices (I30287US Index underlying DHB and I39131US Index underlying DHY) are constructed by hedging the parent total return indices (LUACTRUU underlying IQB and LHVLTRUU underlying HYB) with key rate duration-matched short positions in U.S. Treasury futures across the curve. Therefore, the OASD of a duration-hedged index is equivalent to that of the parent index. While the total return indices have a given option-adjusted duration (OAD), the duration-hedged indices are designed to have an OAD of zero. 

The duration-hedged indices tab in the Credit Futures Analytics tool shows the approximate number of Treasury futures contracts used to hedge the OAD for a $10 million index position. Note that the Treasury futures hedge is rebalanced monthly on the index rebalance date (the last business day of the month). 

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The DV01 of a Credit futures contract can be estimated using the option-adjusted duration (OAD) of the underlying index:

For example, to estimate the DV01 of the IQB contract, assume that the OAD of the underlying LUACTRUU Index is 6.97 and that the current futures price is 3,285.50. The contract multiplier for IQB is $30. Then the estimated DV01 = 6.97 x 3,285.50 x 30 x 0.0001 = $68.70.

Note that the above estimation assumes that Index OAD is equal to futures OAD. This poses two potential issues, such as:

• In reality, the OAD of the futures contract is also affected by the sensitivity of the basis between the futures price and the index price to risk-free rates. This basis is sensitive to risk-free rates due to financing (as shown in the futures fair value calculation in Question 7).
• While the futures price changes throughout the trading day, Bloomberg currently only publishes the end-of-day OAD for the underlying indices. End-of-day OAD may not be an accurate representation of the true OAD at the time of the observed futures price.

DV01 values for Investment Grade and High Yield Credit futures is available on CME Group’s Credit Futures Analytics and Bloomberg’s Fair Value Monitor (FAIR).

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CR01 is calculated in a similar manner to DV01 (see Question 4), except the OASD of the underlying index is used instead of the OAD:

To calculate CR01 of DHB or DHY, the OASD of LUACTRUU or LHVLTRUU is used (see Question 3).

CR01 values for all of our Credit futures are available on CME Group’s Credit Futures Analytics and Bloomberg’s Fair Value Monitor (FAIR).

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Over short periods of time, a 1% rise in the credit spread embedded in a duration-hedged index would result in a percentage fall in the index price equal to the OASD. The OASD of the total return indices (LUACTRUU Index and LHVLTRUU Index) represents the sensitivity of the duration-hedged indices to credit spreads (see Question 3).

For example, if the OASD of the LUACTRUU is 6.87, then a 1% rise in the credit spread would result in a 6.87% fall in DHB price. Thus, a -0.15% change in price corresponds to an increase in the credit spread by -(-0.15%) / 6.87 = 0.022% or 2.2 basis points.

Over longer periods of time, returns from the constituent bonds' coupon payments being reinvested become significant. As a result, to isolate the change in credit spreads from an observed price change, returns made through coupon reinvestments must first be removed. 

For example,  if the LUACTRUU has a yield-to-worst of 5.15% and an OASD of 6.87, then over a year, the carry would contribute to a 5.15% increase in price, while a 1% increase in the credit spread would lead to a 6.87% decrease in price. Combining these effects, the DHB price would ultimately fall by 1.72% (5.15% - 6.87%). Thus a -0.15% change in price over one year corresponds to an increase in the credit spread by -(-0.15% - 5.15%) / 6.87 = 0.684%.

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The fair value of a Credit futures contract is based on the spot value of the underlying index and financing:

Assuming an annual compounding rate and an Actual/365 day count convention:

Where R is the prevailing short-term money market rate. Note that Bloomberg currently only publishes end-of-day prices for the underlying indices (see Question 2).

This fair value calculation is based on a no-arbitrage relationship between the futures contract and the underlying index. Since the futures contract is cash settled to the prevailing spot index at expiry, an arbitrageur can purchase the index before expiry (or more specifically the portfolio that makes up the index), finance that purchase at the relevant prevailing interest rate and simultaneously short a futures contract. If the total price to purchase and finance the index differs from the futures price, arbitrageurs would arbitrage the spot and futures markets until the futures price reflects its fair value.

The fair value futures price, available on CME Group’s Credit Futures Analytics and Bloomberg’s Fair Value Monitor (FAIR), can be compared with an observed futures price to evaluate the richness or cheapness of the futures market.

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The table below shows the underlying indices associated with the four different Credit futures contracts, along with the associated tradeable trackers. While the underlying indices are priced daily at 3:00 p.m. Central Time (CT), tradeable trackers are real-time indices calculated during U.S. corporate bond market trading hours based on liquid subsets of the related indices. Tradeable trackers are currently only available for indices underlying IQB and HYB.

Start with the fair value equation from Question 7. Substitute the fair value futures price with the observed futures price and R with the implied funding rate:

Then rearrange to make Implied Funding Rate the subject of the equation:

The implied funding rate, which is available on CME Group’s Credit Futures Analytics and Bloomberg’s Fair Value Monitor (FAIR), is the theoretical return you would earn if you bought the underlying index, sold futures short against it and held the position until expiry when the futures contract is cash settled to the spot price of the index. To evaluate the richness or cheapness of the implied rate/return, compare it to a relevant prevailing short-term financing rate.

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The price of the roll is equal to the spread between the nearby and deferred futures contracts:

Note that Credit futures calendar spreads consist of one long position in the nearby contract month and one short position in the deferred contract month. The fair value equation from Question 7 can also be used to calculate the fair value of the roll.

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Roll analysis with information on fair roll and fair spread values is available on CME Group’s Credit Futures Analytics and Bloomberg’s Fair Value Monitor (FAIR).

To evaluate the richness or cheapness of the roll, compare the implied funding rate of the roll with the prevailing funding rate.

The implied funding rate of the roll can be derived from the fair value equation in Question 9.

To determine richness or cheapness:

• If roll implied funding rate < prevailing rate → roll is “cheap”
• If roll implied funding rate > prevailing rate → roll is “rich”

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Our Credit futures are designed to closely follow their underlying Bloomberg corporate bond indices. Annualized tracking errors for all of our Credit futures are available on CME Group’s Credit Futures Analytics.

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BTIC allows market participants to trade Credit futures at a fixed spread, or basis, relative to the official closing value of the underlying index. Instead of agreeing on a specific futures price, two parties agree on a basis to the index close. Once the underlying index's closing level is published, the futures are transacted at a price equal to the closing level plus the basis. BTIC contracts are available for both IQB and HYB and can be traded on Globex or as blocks.

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Our Credit futures offer greater flexibility and more efficient exposure to the U.S. corporate bond markets compared to ETFs. 

Unlike ETFs, Credit futures do not have high borrowing costs and recall risks, which are common issues when attempting to establish short ETF positions. These factors can make shorting ETFs difficult or expensive. 

ETFs are fully funded securities, whereas Credit futures are unfunded instruments, requiring only a fraction of the contract’s notional value (initial margin). While ETFs can be purchased on margin, the typical 50% margin requirement is significantly higher than that for Credit futures. As a result, futures offer greater leverage and capital efficiency.

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CDX indices are tradeable indices based on a portfolio of credit default swaps (CDS) for selected issuers. CDX offers pure credit risk exposure (no interest rate risk), akin to Duration-Hedged Credit futures contracts. However, there are some key advantages to using Credit futures over CDX, including:

• Issuers. CDX NA IG covers 125 North American non-financial IG issuers and CDX HY covers 100 North American HY issuers. In contrast, the Bloomberg indices underlying Credit futures cover a much broader set of issuers and are more representative of the U.S. corporate bond market. LUACTRUU covers more than 8,400 USD corporate bond issuers and LHVLTRUU covers more than 1,000 (as of September 2025). These issuers are not just North American issuers and also include financials, which is the largest issuer sector in the USD IG corporate bond market. This means Credit futures have lower tracking error when compared to broad-based USD corporate bond indices that are typically used as benchmarks.
• Issuer weightings. CDX indices are equally weighted among issuers, while the indices underlying Credit futures are market value-weighted.
• Rebalancing. CDX indices are rebalanced semi-annually, while the indices underlying Credit futures are rebalanced monthly. More frequent rebalancing means that Credit futures are quicker to reflect new issuances and changes in issuer credit ratings.

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Participants agree on a futures reference of 3470 against LQD reference of 100. Participants also agree on a hedge ratio of 0.81 = 6.8 / 8.4, reflecting the duration difference between IQB futures (6.8 years) and LQD (8.4 years).

Participants agree on a hedging method and window for the reference hedge: a TWAP from 11:00 a.m. - 12:00 p.m. Eastern Time (ET).

A liquidity provider conducts their hedging transactions in the related market and determines the TWAP to be 101.

Because the TWAP is 1% higher than the reference price, the futures price will be adjusted by that amount, multiplied by the agreed hedge ratio.

Result:

FuturesRef x [1+ [(TWAP/Ref -1) x AdjustmentFactor]
= 3470 x [1+ (101/100 - 1) x 0.81]
= 3470 x 1.0081
= 3,498.11 (rounded to the nearest 0.01 Index Points)

Find answers to frequently asked questions about derived blocks.

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