The SGI 10Y JGB Index aims to replicate the performance of a long strategy rolling the first 10Y JGB future contract. Every 3 months, the strategy rolls the first 10-year JGB future contract to the new one in order to keep the exposure. The underlying of this contract is a synthetic Note with a 7 to 11-year maturity and 6% coupon issued by the Japanese government.
The SGI 10Y JGB Index is designed to track the performance of a notional position in the 10-year JGB futures contract whose price depends on the interest rate proposed by Japan for a 7 to 11-year maturity. The exposure of the Index is achieved through a systematic roll of the 1st nearest 10-year future contract every 3 months on the Tokyo Stock Exchange market. The notional in the TSE 10-year JGB future contract is revised every day to take into account the most recent past performance of the Index.