SGI Australian 10Y Treasury Bond Index
Index level: 1143.39 as of 20/09/2017
Main characteristics
| Bloomberg Code | SGIXXM |
|---|---|
| Inception Date | 02/09/2013 |
| Return Type | Excess Return |
| Currency | AUD |
| CALCULATED_BY |
|
Objective
The SGI Australian 10Y Treasury Bond Index aims to replicate the performance of a long strategy rolling the first 10Y Australian Treasury Bond 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 10-year maturity and 6% coupon issued by the Australian government.
Mechanism
The SGI Australian 10Y Treasury Bond Index is designed to track the performance of a notional position in the 10Y Australian Treasury Bond futures contract whose price depends on the interest rate proposed by Australia for a 10-year maturity. The exposure of the Index is achieved through a systematic roll of the 1st nearest 10Y Australian Treasury Bond future contract every 3 months on the Australian Securities Exchange (ASX) market. The notional in the ASX 10Y Australian Treasury Bond future contract is revised every day to take into account the most recent past performance of the Index.
The SGI Australian 10Y Treasury Bond 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.