This family of indexes measures the market’s expectation of the future rate of U.S. inflation. The indexes are intended to serve as the underlying basis of financial products such as exchange traded funds, swaps, and structured products.
According to the announcement, the main index in the family is the Dow Jones Long-Term Inflation Index, which tracks the difference in returns of long-term Treasury Inflation Protected Securities (TIPS) and the long-term Ultra Treasury Bond futures contract listed at the Chicago Board of Trade. Two sub-indexes individually track returns of the component instruments.
The index methodology was developed in the New York office of Credit Suisse Group AG.
The Dow Jones Long-Term Inflation Index measures the difference in returns of the on-the-run 30-year TIPS bond – which pays a fixed coupon and, at maturity, a principle amount linked to the inflation rate as measured by the Consumer Price Index – and the Ultra Treasury Bond futures contract. The 30-year TIPS bond is the longest maturity of this security available in the market, and it has liquid and transparent pricing, the announcement said.
The Dow Jones Long-Term Treasury Index reflects the performance of a theoretical investment in futures contracts for the longest-maturing U.S. Treasury bonds. The index combines the performance of an Ultra Treasury Bond futures contract with a theoretical investment in a money market instrument paying the Federal Funds rate.
The Dow Jones Long-Term Inflation Indexes are calculated in U.S. dollars during U.S. trading days as defined by the Bond Market Association holiday calendar, and are published at the end of each trading day based on the 3:00 p.m. close of the U.S. Treasury bond market. The indexes are reviewed monthly at the close on the last business day of the month.
More information is at http://www.djindexes.com.