Bloomberg U.S. Corporate Investment Grade Duration Hedged Index futures were designed to allow participants to efficiently focus on only the credit component of the investment grade bond market.
When used in conjunction with Investment Grade or High Yield credit futures, or via ICS or other spread trading strategies, these contracts allow for new hedging and risk management solutions in the world of credit, giving participants an additional tool for expressing tactical views, implementing relative value trades, hedging or improving liquidity management strategies.
Features and benefits
Focused credit exposure
The same benchmark as IQB, but with interest rate risk neutralized.
Capture spread carry
Isolate the spread by focusing on credit, allowing for new trading opportunities.
More effective duration hedge
Less slippage when compared to using a long IG and short UST position.
All-to-all electronic liquidity
Anonymous trading over the CLOB for improved price transparency.
New relative value trading possibilities
Capture arbitrage opportunities through relative value trading across bond index derivatives.
Simplified credit-only access
Treasury hedges require more positions and maintenance with less precision.
Explore this product in depth
CME Globex:
Sunday 5:00 p.m. – Friday – 4:00 p.m. CT with a daily maintenance period from 4:00 p.m. – 5:00 p.m. CT
About the underlying index
The contracts track the Bloomberg U.S. Corporate Investment Grade Duration Hedged Index, which is a duration-hedged version of the Bloomberg U.S. Corporate Bond Index, a broad benchmark of investment grade, fixed rate, taxable bonds.
Duration is hedged by employing a Mirror Futures Index (MFI) whereby the return reflects a funded set of Treasury futures contracts, weighted to match closely the month option-adjusted duration (OAD) profile of the underlying index. The benchmark will take the return on the underlying cash index along with its OAD exposure hedged using its MFI, plus the MFI funding component to arrive at the final return of the duration hedged index.
Courses
Take self-guided courses on U.S. Treasury futures and options products.
If you're new to futures, the courses below can help you quickly understand the U.S. Treasury market and start trading.
Get updates on Credit futures
Subscribe to receive the latest news and product updates about Credit futures.