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Long Forward Rates Vol Index (USD - Total Return)

Index level: 1195.12 as of 29/05/2020

Main characteristics

Bloomberg Code IND1LFRV
Inception Date 16/01/2020
Return Type Total Return
Currency USD
Calculated By Solactive

Objective

The Long Forward Rates Vol Index is a systematic, rules-based strategy that aims to generate a systematic positive carry from the USD swaption volatility term structure.

 

Mechanism

The Index is composed of 104 Sub Indices. Each Sub Index contains 3 swaption straddles with various expiries and maturities and a delta hedging swap.


The Long Forward Rates Vol Index is the exclusive property of Societe Generale. Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any expresst. or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Level at any time or in any other respect.

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