The SGI Long GILT Index aims to replicate the performance of a long strategy rolling the first 10-year GILT future contract. Every 3 months, the strategy rolls the long position of the older contract into the new one in order to keep the exposure. The underlying of this contract is a synthetic Note with a 8 years and 9 months to 13-year maturity and 4% coupon issued by the UK government.
The SGI Long GILT Index is designed to track the performance of a notional position in the 10-year GILT futures contract whose price depends on the interest rate proposed by the UK for a 8 years and 9 months to 13-year maturity. The exposure of the Index is achieved through a systematic roll of the nearest 10-year GILT future contract every 3 months on the LIFFE-NYSE market. The notional in the LIFFE-NYSE 10-year GILT future contract is revised every day to take into account the most recent past performance of the Index.