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 iTraxx Crossover 5-year CDS Index. The SGI Credit Europe Crossover Index gives direct exposure to the credit spread evolution of European High Yield corporate names (below BBB-).
The SGI Credit Europe Crossover 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 iTraxx Crossover 5-year 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 Europe Crossover Index offers an easy access to the credit market.
The SGI Credit Europe XO Index are administered and calculated by Markit. For more information, see www.markit.com