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SGI Credit North America IG 125

Index level: 1187.98 as of 23/06/2017

Main characteristics

Bloomberg Code SGIXCAIG
Inception Date 29/03/2009
Return Type Excess Return
Currency USD
CALCULATED_BY Markit

Objective

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 IG 5-year CDS Index. The SGI Credit North America IG 125 Index gives direct exposure to the credit spread evolution of North American investment grade corporate names (from AAA to BBB-).

The SGI Credit North America IG 125 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 IG 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 IG 125 strategy offers an easy access to the credit market.

Mechanism

The SGI Credit North America IG 125 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 IG 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 IG 125 index offers an easy access to the credit market.


The SGI Credit North America IG 125 is administered and calculated by Markit. For more information, see www.markit.com. Markit makes no representation and expressly disclaims all warranties of accuracy, merchantability or fitness for a particular purpose or use with respect to SGI Credit North America IG 125 or any data included therein, or any data from which it is based or as to results to be obtained from the use of the SGI Credit North America IG 125. Markit does not sponsor, endorse, sell, or promote any investment fund or other vehicle that is offered by Societe Generale or third parties and that seeks to provide an investment return based on the returns of the SGI Credit North America IG 125.
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