NYSE US Treasury Futures Indexes NYSE US 2 Year Treasury Futures Index (USTTWO / USTTWOT) NYSE US 5 Year Treasury Futures Index (USTFIV / USTFIVT) NYSE US 10 Year Treasury Futures Index (USTTEN / USTTENT) NYSE US Long Bond Treasury Futures Index (USTLBD / USTLBDT) Version 2.0 Valid from October 12, 2015
- 1 - Index summary Factsheet NYSE US Treasury Futures Indexes Full Names Index Type Eligible Constituents Number of Constituents Weighting NYSE US 2 Year Treasury Futures Index (USTTWO) NYSE US 5 Year Treasury Futures Index (USTFIV) NYSE US 10 Year Treasury Futures Index (USTTEN) NYSE US Long Bond Treasury Futures Index (USTLBD) NYSE US 2 Year Treasury Futures Index (USTTWOT) NYSE US 5 Year Treasury Futures Index (USTTWOT) NYSE US 10 Year Treasury Futures Index (USTTWOT) NYSE US Long Bond Year Treasury Futures Index (USTTWOT) Current US Treasury Futures Indexes (Fixed Divisor); Current US Treasury Futures Total Return Indexes (Fixed Divisor) CBOT US Treasury Futures Contracts with Eligible Maturity (2-Year, 5-Year, 10-Year, & US Treasury Bond Futures) 1 Futures Contract 100% Weighting in Selected Futures Contract Rebalance & Roll Frequency Quarterly Rebalance & Roll Effective Date of the Rebalance Effective for Last Trading Day of the Month Prior to that in which the Near Month Futures Contract Expires Calculation Frequency Price Return: 15 Seconds between 00:30 & 20:15 ET Gross Return: Once-a-day between 15:00 & 20:15 ET Base date Price Return: February 26, 1999 Total Return: February 26, 1999 Base level Price Return: 100.00 Total Return: 100.00 Historic data available since Price Return: 1999 Total Return: 2015; Backtested Data: 1999 Derivatives and Linked products Mnemonic code Bloomberg code Reuters code Price Return: USTTWO / USTFIV / USTTEN / USTLBD Total Return: USTTWOT / USTFIVT / USTTENT / USTLBDT Price Return: USTTWO / USTFIV / USTTEN / USTLBD <INDEX> Total Return: USTTWOT / USTFIVT / USTTENT / USTLBDT <INDEX> Price Return:.USTTWO /.USTFIV /.USTTEN /.USTLBD Total Return:.USTTWOT /.USTFIVT /.USTTENT /.USTLBDT Launch date Price Return: August 11, 2010 Total Return: October 16, 2015
- 2 - Index Description NYSE US 2 Year Treasury Futures Index (USTTWO / USTTWOT) The NYSE US 2 Year Treasury Futures Index (USTTWO) is a one-security futures index that aims to replicate the returns of maintaining a continuous rolling long position in CBOT 2-Year US Treasury Futures. At any given time, the index consists of a single CBOT 2-Year US Treasury Futures Contract that is either the contract closest to expiration ( Near Month Futures Contract ) or the contract that is scheduled to expire immediately following the Near Month Futures Contract ( Far Month Futures Contract ). The index was created to yield a benchmark value of 100.00 at the close of trading on February 26, 1999. The Total Return Index (USTTWOT) incorporates the total return between t-1 to t including the risk free rate (91-day US Treasury bills auction rate) effective on the preceding day. NYSE US 5 Year Treasury Futures Index (USTFIV / USTFIVT) The NYSE US 5 Year Treasury Futures Index (USTFIV) is a one-security futures index that aims to replicate the returns of maintaining a continuous rolling long position in CBOT 5-Year US Treasury Futures. At any given time, the index consists of a single CBOT 5-Year US Treasury Futures Contract that is either the contract closest to expiration ( Near Month Futures Contract ) or the contract that is scheduled to expire immediately following the Near Month Futures Contract ( Far Month Futures Contract ). The index was created to yield a benchmark value of 100.00 at the close of trading on February 26, 1999. The Total Return Index (USTFIVT) incorporates the total return between t-1 to t including the risk free rate (91-day US Treasury bills auction rate) effective on the preceding day. NYSE US 10 Year Treasury Futures Index (USTTEN / USTTENT) The NYSE US 10 Year Treasury Futures Index (USTTEN) is a one-security futures index that aims to replicate the returns of maintaining a continuous rolling long position in CBOT 10-Year US Treasury Futures. At any given time, the index consists of a single CBOT 10-Year US Treasury Futures Contract that is either the contract closest to expiration ( Near Month Futures Contract ) or the contract that is scheduled to expire immediately following the Near Month Futures Contract ( Far Month Futures Contract ). The index was created to yield a benchmark value of 100.00 at the close of trading on February 26, 1999. The Total Return Index (USTTENT) incorporates the total return between t-1 to t including the risk free rate (91-day US Treasury bills auction rate) effective on the preceding day. NYSE US Long Bond Treasury Futures Index (USTLBD / USTLBDT) The NYSE US Long Bond Treasury Futures Index (USTLBD) is a one-security futures index that aims to replicate the returns of maintaining a continuous rolling long position in CBOT US Treasury Bond Futures. At any given time, the index consists of a single CBOT US Treasury Bond Futures Contract that is either the contract closest to expiration ( Near Month Futures Contract ) or the contract that is scheduled to expire immediately following the Near Month Futures Contract ( Far Month Futures Contract ). The index was created to yield a benchmark value of 100.00 at the close of trading on February 26, 1999. The Total Return Index (USTLBDT) incorporates the total return between t-1 to t including the risk free rate (91-day US Treasury bills auction rate) effective on the preceding day.
- 3 - Calculation & Publication Calculation of the Index The indexes is calculated on a price return and total return basis basis. The price return calculation is based on the current index capitalization divided by the divisor. The current index capitalization is equal to the last trade or settlement price of the relevant futures contract multiplied by the number of contracts held in the index. The divisor was determined on the initial capitalization base of the index and the base level. The divisor is fixed for the life of the index. The number of contracts held of the Near Month Futures Contract is subject to change through quarterly rebalances and rolls. The total return calculation incorporates the total return between t-1 to t including the risk free rate (91-day US Treasury bills auction rate) effective on the preceding day. Opening The opening price return index level is calculated using the current last trade of the futures contract held in the index or in the case of futures contracts that have a non-traded status, the previous day s settlement price. The opening index level will be the first published index level for the day. The total return index is published once a day. Intraday Dissemination The indexes are calculated and maintained by NYSE Arca and are published to the US Consolidated Tape B under the corresponding index symbols between the hours of 8:00 AM and 6:00 PM ET each trading day that the CBOT is open for trading in its regular session. The intraday real-time calculation of the index only utilizes executed trades in the underlying CBOT Futures Contract. The index is not calculated on days that either A) the CBOT is closed for regular session trading or B) the NYSE is closed for equity trading. On days that the CBOT is closed and the NYSE open, the exchange publishes out a static previous index close during equity trading hours. Closing Level NYSE Arca calculates and publishes an official closing index value on each trading day between approximately 3:00 PM and 4:00 PM ET. The index is fixed at that official close (to two decimal places) for the remainder of the day. The official index close is calculated based off of the relevant CBOT Futures Contract s settlement price which is determined and disseminated shortly after the end of the core trading session at 3 PM ET. Exceptional Market Conditions and Corrections NYSE Arca retains the right to delay the publication of the opening levels of the indexes. Furthermore, NYSE Arca retains the right to suspend the publication of the level of the index if it believes that circumstances prevent the proper calculation of the index. These circumstances include, but are not limited to, the CBOT being closed for US Treasury Futures trading or the relevant index-held futures contract being in a suspended or halted state. If trades or futures settlement prices are cancelled or revised, the index will be recalculated at the discretion of NYSE Arca.
- 4 - Announcement Policy Announcement Policy General Changes to the index, its component futures contract or its rules will be announced by an index announcement which will be distributed via e mail and/or the website of NYSE Arca. As a rule the announcement periods that are mentioned underneath will be applied. However, urgent treatments or late notices may require the NYSE Arca to deviate from the standard timing. Inclusion of a New Futures Contract (Rebalance / Roll) The inclusion of a new Futures Contract through a Rebalance or Roll will be announced at least 3 trading days before the actual inclusion or effective date. Corporate Actions There are no corporate actions or any other changes that are needed to these futures-based indexes between the quarterly rebalances or rolls. Rule Changes Barring exception, a period of at least three months should pass between the date a proposed change is published and the date this comes into effect. Exceptions can be made if the change is not in conflict with the interests of an affected party.
- 5 - Index Rebalance & Roll Index Rebalance / Roll The NYSE US Treasury Futures Indexes maintain a continuous rolling long position in the relevant maturity CBOT US Treasury Futures by undergoing a roll from the Near Month Futures Contract into the Far Month Futures Contract each quarter: Near Month Futures Contract = CBOT US Treasury Futures Contract that is closest to expiration [of the relevant maturity] Far Month Futures Contract = the CBOT US Treasury Futures Contract that is scheduled to expire immediately following the Near Month Futures Contract [of the relevant maturity] The roll takes place through a rebalance that is effective for the last trading day of the month prior to that in which the Near Month Futures Contract expires. The index rebalance consists of the notional value of the Near Month Futures Contract being reinvested into the Far Month Futures Contract. The roll occurs at the settlement prices of both the Near and Far Month Futures Contracts on the second to last trading day of the month prior to that of the Near Month Futures Contract s expiration. Rebalance Example The rebalance that involves the index rolling from the September 2010 to December 2010 Futures Contract will take place effective for the last trading day of August 2010 [August 31, 2010], which is the month before that of the expiration of the Near Month Futures Contract [September 2010]. The index will reinvest the September 2010 futures contracts previously held into an equivalent notional value of December 2010 futures contracts at the close of August 30, 2010. The roll will be carried out utilizing the settlement prices of the CBOT US Treasury Futures that are determined after the end of the regular trading session on that day [August 30].
- 6 - Index Calculation & Rebalance Formulas Price Return Index Calculation Formula The index is calculated using the following formula: Where: I t = [ NM N NM P ] D I t Index Level on Day T t Day of Calculation NM N Number of Contracts of the Near Month Futures in the Index NM P For an Intraday Calculation, the Last Trade of the Futures Contract For a Closing Calculation, the Settlement Price of the Futures Contract D Index Divisor (Fixed at 1,000,000) Index Rebalance/Roll Formula The index is rebalanced and rolled into the Far Month Futures Contract using the following formula: Where: FM N = [ NM N NM P FM P ] FM N Number of New Far Month Futures Contracts to be held in the index Post-Rebalance NM N Number of Existing Near Month Futures Contracts held in the index Pre-Rebalance NM P Settlement Price of the Near Month Futures Contract on the Trading Day Preceding the Rebalance Effective Date FM P Settlement Price of the Far Month Futures Contract on the Trading Day Preceding the Rebalance Effective Date Total Return Index Calculation Formula The index total return between dates t-1 and t includes risk-free return for applied to the price return: Where: Total Return t = Excess Return t + Risk Free Rate t Excess Return t : Return on the price return index between t-1 and t Risk Free Rate t : Daily compounding Treasury Bill rate; the calculation is as follows
- 7 - Risk Free Rate t = [ 1 1 91 360 T Bill Auction Rate t 1 Where: t : number of calendar days between current and previous business days T Bill Auction Rate t 1 : most recent weekly high discount rate for 91-day US Treasury bills effective on the preceeding business day. The rates are generally announced on the Monday of every week. If the Monday is a bank holiday, Friday s rates are applicable. ] t 91
- 8 - Disclaimer Cases Not Covered in Rules In cases which are not expressly covered in these rules, operational adjustments will take place along the lines of the aim of the index. Operational adjustments may also take place if, in the opinion of NYSE Arca, it is desirable to do so to maintain a fair and orderly market in derivatives on this index and/or this is in the best interests of the investors in products based on the index and/or the proper functioning of the markets. Rule Book Changes These rules may be supplemented, amended in whole or in part, revised or withdrawn at anytime. Supplements, amendments, revisions and withdrawals may also lead to changes in the way the index is compiled or calculated or affect the index in another way. Liability NYSE Arca, nor its subsidiaries are liable for any losses resulting from supplementing, amending, revising or withdrawing the Rules for the index. The NYSE Arca will do everything within its power to ensure the accuracy of the composition, calculation, publication and adjustment of the index in accordance with relevant rules. However, NYSE Arca or its subsidiaries are not liable for any inaccuracy in component prices, calculations and the publication of the index, the information used for making adjustments to the index and the actual adjustments. Furthermore, NYSE Arca does not guarantee the continuity of the composition of the index, or the continuity of the calculation of the index, or the continuity of the dissemination of the index levels, or the continuity of the calculation of the index. Ownership and Trademarks NYSE Arca owns of all intellectual and other property rights to the index, including the name, the composition and the calculation of the index.