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Main characteristics

Bloomberg Code SGIXOAT
Inception Date 11/01/2013
Return Type Excess Return
Currency EUR
CALCULATED_BY S&P Dow Jones

Objective

The SGI 10Y OAT Index aims to replicate the performance of a long strategy rolling the first OAT 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 Bond with a 10-year maturity and 6% coupon.

Mechanism

The SGI 10Y OAT Index is designed to track the performance of a notional position in the OAT futures contract whose price depends on the interest rate proposed by France for a 10-year maturity.

The exposure of the Index is achieved through a systematic roll of the 1st nearby OAT future contract every 3 months on the EUREX market.

The notional in the EUREX OAT future contract is revised every day to take into account the most recent past performance of the Index.

 

 


The SGI 10Y OAT 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 maintain and calculate the Index. S&P® is a registered trademarks 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 Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.
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