The SGI Credit North America High Yield 100 Index (the Index) aims to replicate a selffinanced and non-leveraged notional position of protection seller with respect to the latest launched series of the CDX NA HY 5Y Index, which exposes investors to the credit risk of 100 high yield North American corporate names.
The Index isolates the returns of a long position in the CDX North American High Yield Index. By selling protection, the Index will receive a premium based on the average
credit risk of a diversified portfolio of 100 names, experience a negative correlation to the CDX NA HY spread, and replicate the default risk of these 100 names. Every six months, the position in the Credit Default Swap is rolled into the newly launched series of the CDX NA HY Index. The SGI Credit Index always holds a position in the most current series of the CDX Index.