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.
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.