Launch of US Treasuries market index imminent, futures contract to follow

The index – which tracks the $3.7 trillion US Treasury market - will be calculated by Dow Jones Indexes and offered for initial licensing on April 28. It will be composed of the CBOT US Treasury bond, and 10-year note and five-year note futures contracts, and will give a measure of the performance of long-dated US Treasuries.

The planned Dow Jones CBOT Treasury Index futures contract will settle for cash and have a notional value equal to $1,000 multiplied by the underlying Dow Jones CBOT Treasury Index.

The index should become an important benchmark for investors in US Treasuries, including fixed-income portfolio managers and bank risk managers.

Separately, the CBOT reported that its first-quarter revenues rose by 24% to $100.9 million, from $81.5 million in the corresponding period of 2003, with a record quarterly trading volume contributing to revenue growth.

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