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SGI Euro Bobl Index

Index level: 1027.32 as of 24/05/2017

Main characteristics

Bloomberg Code SGIXOE
Inception Date 01/02/2016
Return Type Excess Return
Currency EUR
CALCULATED_BY S&P Dow Jones

Objective

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.

Mechanism

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.


SGI Euro Bobl 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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