The SGI - 5y US Treasury Index (USD - ER) aims to replicate the performance of a long strategy rolling the first CBOT – US 5-Year Note Futures Contracts. 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 4 years and 2 months to 5 years and 3 months maturity and 6% coupon.
The SGI - 5y US Treasury Index is designed to track the performance of a notional position in the 5Y US Treasury Note futures contract whose price depends on the interest rate proposed by the US for a 4 years and 2 months to 5 years and 3 months-maturity. The exposure of the Index is achieved through a systematic roll of the 1st nearest US 5Y Note future contract every 3 months on the CBOT market. The notional in the CBOT 5Y US Treasury Note future contract is revised every day to take into account the most recent past performance of the Index.