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.
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.