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Main characteristics

Bloomberg code SGIXBU10
Inception date 08/02/2007
Return type Total Return
Currency USD

Objective

The SGI Bond USD is a range of indices designed to track the performance of hypothetical bonds that pay coupons semiannually and principal at maturity. Unlike standard bond indices, SGI Bond USD Indices seek to replicate the exposure to bonds through derivative instruments. To maintain constant maturity, the Indices are rolled-over on a monthly basis and reinvested at the corresponding swap rate to match the targeted duration.

Mechanism

The Indices are calculated on each business day (each, a Calculation Date) and attempt to replicate bond performance through the use of certain LIBOR-based swap and deposit fixing rates. No bonds actually underlie the Indices.

The relevant interest rate or Coupon Rate on the Hypothetical Bond is determined on the first Calculation Date of each month (each, a Roll Date) as the mid-market swap fixing rate at which financial institutions could obtain fixed semiannual payments in U.S. Dollars in exchange for floating rate payments at 3-Month USD LIBOR. Once a Coupon Rate has been established, the Index Sponsor calculates the Index level on each Calculation Date during the relevant month using two references: the Coupon Rate for the Hypothetical Bond and the Index level on the previous Roll Date. The Index methodology employs an algorithm to approximate the present value of the accrued coupon on the Hypothetical Bond and the change in the mark-to-market value of the Hypothetical Bond.

The Index level is adjusted upward or downward on each Calculation Date to account for these changes. These changes may be positive or negative and, as such, the Index level will fluctuate.


The SGI Bond 10Y USD began publishing on August 2, 2007. Therefore, all data for the Indices for the period prior to August 2, 2007 represent Standard & Poor's ("S&P"’s) application of the Index methodologies in order to reconstruct hypothetical historical data. Results during the period prior to August 2, 2007 may have been different had the Indices actually been in existence. The SGI Bond 10Y USD 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 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 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. The Index is based on a complex algorithm that may not successfully reflect the performance of bonds.
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