The SGI Bund Index aims to replicate the performance of a long strategy rolling the first Bund future contract.
Every 3 months, the strategy rolls the long position of the older contract in to the new one in order to keep the exposure. The underlying of this contract is a synthetic Bond with a 10-year maturity and 6% coupon.
The SGI Bund Index is designed to track the performance of a notional position in the Bund futures contract whose price depends on the interest rate proposed by Germany for a 10-year maturity.
The exposure of the Index is achieved through a systematic roll of the 1st nearby Bund future contract every 3 months on the EUREX market.
The notional in the EUREX Bund future contract is revised every day to take into account the most recent past performance of the Index.