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Main characteristics

Bloomberg Code SGIXCN
Inception Date 03/09/2013
Return Type Excess Return
Currency CAD
CALCULATED_BY S&P Dow Jones

Objective

The SGI Canada Bond Index aims to replicate the performance of a long strategy rolling the first 10Y Canada Bond 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 Note with 6% coupon and a 8 to 10.5-year maturity issued by the Canadian government.

Mechanism

The SGI Canada Bond Index is designed to track the performance of a notional position in the 10Y Canada Bond futures contract whose price depends on the interest rate proposed by Canada for a 8 to 10.5-year maturity. The exposure of the Index is achieved through a systematic roll of the 1st nearest 10Y Canada Bond future contract every 3 months on the Montréal Exchange (MX). The notional in the MX 10Y Canada Bond future contract is revised every day to take into account the most recent past performance of the Index.


The SGI Canada Bond Index (The “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.
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