Overview

The Dow Jones Credit Suisse Inflation Breakeven Indexes℠ are designed to provide investors with convenient and effective tools for measuring long-term inflation. The indexes leverage a methodology and calculation framework developed by the Fixed Income Index Products group in the New York office of Credit Suisse Group AG.

Unique in their construction, the indexes seek to measure the market's expectation of future U.S. inflation by tracking the returns of instruments that have exposure to both the inflation rate and "real" (inflation-adjusted) interest rates. To achieve this objective, the indexes measure a positive (or "long") return of long-term Treasury Inflation Protected Securities (TIPS) and a negative (or "short") return of Treasury bonds.

These indexes utilize Treasury bonds of the closest maturity to the selected on-the-run TIPS bond. This instrument allows for greater ease of index replication.

Currently available are 10-year and 30-year inflation breakeven indexes, as well as subindexes for the TIPS and Treasury components of each:

Dow Jones Credit Suisse 10-Year Inflation Breakeven Index℠

The Dow Jones Credit Suisse 10-Year Inflation Breakeven Index℠ measures changes in the long-term inflation expectations implied by the U.S. government bond market. The index essentially tracks the difference in returns of on-the-run (OTR) 10-year TIPS bonds and a duration-adjusted position in the closest maturity Treasury to the OTR TIPS.

Dow Jones Credit Suisse 30-Year Inflation Breakeven Index℠

The Dow Jones Credit Suisse 30-Year Inflation Breakeven Index℠ measures changes in the long-term inflation expectations implied by the U.S. government bond market. The index essentially tracks the difference in returns of OTR 30-year TIPS bonds and the closest maturity Treasury to the OTR TIPS.

Dow Jones Credit Suisse 10-Year TIPS Index℠

The Dow Jones Credit Suisse 10-Year TIPS Index℠ measures the performance of a theoretical investment in the 10-year TIPS bond.

Dow Jones Credit Suisse 30-Year TIPS Index℠

The Dow Jones Credit Suisse 30-Year TIPS Index℠ measures the performance of a theoretical investment in the 30-year TIPS bond.

Dow Jones Credit Suisse 10-Year Treasury Index℠

The Dow Jones Credit Suisse 10-Year Treasury Index℠ measures the performance of a theoretical investment in a long-term U.S. Treasury security by tracking the price returns of the 10-year nominal Treasury bond.

Dow Jones Credit Suisse 30-Year Treasury Index℠

The Dow Jones Credit Suisse 30-Year Treasury Index℠ measures the performance of a theoretical investment in a long-term U.S. Treasury security by tracking the price returns of the 10-year nominal Treasury bond.