The Dow Jones CBOT Treasury Index is a benchmark index of the default-free returns available in the intermediate and long dated sectors of the U.S. Treasury market. It is calculated using CBOT 5-year note, 10-year note and long bond Treasury futures contracts. The index, which is updated every 15 seconds, is weighted quarterly using modified duration. An index divisor maintains returns continuity over contract roll periods.

The Chicago Board of Trade licenses the Treasury Index for use in investment products through Dow Jones Indexes. For enquiries about licensing the Index, please contact Dow Jones: http://www.djindexes.com/mdsidx/?event=showIndexProductsLicensees.

• Calculating Dow Jones^SM CBOT^® Treasury Index™ Returns
• Modeling Index Price Sensitivity
• Tracking the Market with the Dow Jones CBOT Treasury Index
• Dow Jones CBOT Treasury Index Overview (Powerpoint Presentation)
• Fact Sheet
• Index & Weights
• Dow Jones Treasury Index Calibration Calendar
• Dow Jones CBOT Treasury Index: Index Methodology

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For further information, please contact:

Fred Sturm
Senior Economist
CBOT
312.347.5235