The SGI Euro Bobl Index (EUR – ER) aims to replicate the performance of a long strategy rolling the first Bobl 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 Bobl with a 5-year maturity and 6% coupon.
The SGI Euro Bobl Index is designed to track the performance of a notional position in the Bobl futures contract whose price depends on the interest rate proposed by Germany for a 5-year maturity. The exposure of the Index is achieved through a systematic roll of the 1st nearby Bobl future contract every 3 months on the EUREX market. The notional in the EUREX Bobl future contract is revised every day to take into account the most recent past performance of the Index.