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SGI 5Y US Treasury Index

Index level: 986.42 as of 22/11/2017

Main characteristics

Bloomberg Code SGIXFV
Inception Date 01/02/2016
Return Type Excess Return
Currency USD
CALCULATED_BY Standard & Poor's

Objective

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.

Mechanism

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.


The SGI 5Y US Treasury 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 calculate the Index. S&P® is a registered trademark 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” and its related stylized mark(s) have been licensed for use by [SG].  Neither S&P Dow Jones Indices, SPFS, Dow Jones, nor any of their affiliates sponsor and promote the Index and none shall be liable for any errors or omissions in calculating the Index.”
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