The SGI 10Y US Treasury Note Index aims to replicate the performance of a long strategy rolling the first 10Y US Treasury Note 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 Note with a 6.5 to 10-year maturity and 6% coupon.
The SGI 10Y US Treasury Note Index is designed to track the performance of a notional position in the 10Y US Treasury Note futures contract whose price depends on the interest rate proposed by the US for a 6.5 to 10-year maturity. The exposure of the Index is achieved through a systematic roll of the 1st nearest 10 US Treasury Note future contract every 3 months on the CBOT market. The notional in the CBOT 10Y US Treasury Note future contract is revised every day to take into account the most recent past performance of the Index.