SGI has constructed an Excess Return index of the credit market index that isolated the returns of a long credit position in the on-the-run CDX NA HY 5-year CDS Index. The SGI Credit North America HY 100 Index gives direct exposure to the credit spread evolution of North American High Yield corporate names (below BBB-).
The SGI Credit North America HY 100 Index offers an optimised construction with an equivalent coupon level yielding the credit risk premiums. In addition the Index offers a pure exposure to the credit without interest rates duration sensitivity. The exposure to the 5-year CDX NA HY CDS is rolled over every six months in order to remain exposed with a close to 5-year target duration. Thanks to this transparent construction and highly liquid components, the SGI Credit North America HY 100 Index offers an easy access to the credit market.