3. For more detail on these market dynamics, see Matthew Tucker and Stephen Laipply, “Understanding Bond ETF Premiums and Discounts: A Conceptual Framework,” Journal of Indexes (September/October 2010), pp. 40–48.

4. A timing effect may also arise, given that fixed income markets close at 3:00 p.m. ET while equity markets continue to trade until 4:00 p.m. ET. The timing effect is excluded from this discussion as it distorts the measurement of the premium but is not a driver of its level.