Define: Dow Jones CBOT Treasury Index

UK Accounting Glossary

Definition: Dow Jones CBOT Treasury Index



Advertisement



Full Definition of Dow Jones CBOT Treasury Index


The Dow Jones CBOT Treasury Index is a fixed-income index. The Dow Jones CBOT Treasury Index measures the performance of three Treasury futures contracts traded on CBOT. The Dow Jones CBOT Treasury Index is a benchmark for longer-term fixed-income markets. The Dow Jones CBOT Treasury Index includes the price of the front-month future contracts for 5-year and 10-year notes, and T-Bonds trading on the CBOT. The prices used in the Dow Jones CBOT Treasury Index are weighted by duration (i.e modified Macaulay duration) so that both the coupon and maturity of the underlying Dow Jones CBOT Treasury Index components are taken into account. As a result, the Dow Jones CBOT Treasury index allows investors to easily compare the return of U.S. Treasuries over time. A divisor is also applied to the Dow Jones CBOT Treasury Index in an effort to maintain continuity of returns during each contract roll period. The Dow Jones CBOT Treasury Index is calculated and published in real-time during trading hours for CBOT Treasury futures. The Dow Jones CBOT Treasury Index is updated each quarter. The weights and divisor are recalculated using the closing prices of the December, March, June, and September Dow Jones CBOT Treasury Index underlying future contracts at 2 PM Central Standard Time (i.e. Chicago) on the last trading day of August, November, February, and May respectively. The Dow Jones CBOT Treasury Index was introduced in April 2004. The base value of the Dow Jones CBOT Treasury Index is 100, set as of November 30, 1999.


Advertisement




Cite Term


To help you cite our definitions in your bibliography, here is the proper citation layout for the three major formatting styles, with all of the relevant information filled in.

Page URL
https://payrollheaven.com/define/dow-jones-cbot-treasury-index/
Modern Language Association (MLA):
Dow Jones CBOT Treasury Index. PayrollHeaven.com. Payroll & Accounting Heaven Ltd. April 02, 2020 https://payrollheaven.com/define/dow-jones-cbot-treasury-index/.
Chicago Manual of Style (CMS):
Dow Jones CBOT Treasury Index. PayrollHeaven.com. Payroll & Accounting Heaven Ltd. https://payrollheaven.com/define/dow-jones-cbot-treasury-index/ (accessed: April 02, 2020).
American Psychological Association (APA):
Dow Jones CBOT Treasury Index. PayrollHeaven.com. Retrieved April 02, 2020, from PayrollHeaven.com website: https://payrollheaven.com/define/dow-jones-cbot-treasury-index/

Definition Sources


Definitions for Dow Jones CBOT Treasury Index are sourced/syndicated and enhanced from:

  • A Dictionary of Economics (Oxford Quick Reference)
  • Oxford Dictionary Of Accounting
  • Oxford Dictionary Of Business & Management

This glossary post was last updated: 9th February 2020.