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SGI Credit North America IG 125

Index level: 1183.41 as of 04/10/2017

Main characteristics

Bloomberg code SGIXCAIG
Inception date 03/29/2009
Return type Excess Return
Currency USD
Calculated by Markit

Objective

The SGI Credit North America Investment Grade 125 Index (the Index) aims to replicate a self-financed and non-leveraged notional position of protection seller with respect to the latest launched series of the CDX NA IG 5Y Index, which exposes investors to the credit risk of 125 investment grade North American corporate names.

Mechanism

The Index isolates the returns of a long position in the CDX North American Investment Grade Index. By selling protection, the Index will receive a premium based on the average credit risk of a diversified portfolio of 125 names, experience a negative correlation to the CDX NA IG spread, and replicate the default risk of these 125 names. Every six months, the position in the Credit Default Swap is rolled into the newly launched series of the CDX NA IG Index. The SGI Credit Index always holds a position in the most current series of the CDX Index.


The SGI Credit NA IG 125 Index began publishing on March 29, 2009. Therefore, all data for the Index for the period prior to March 29, 2009 represent Markit’s application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to March 29, 2009 consistent with the Index methodology. Results prior to March 29, 2009 may have been different had the Index actually been in existence. The SGI Credit NA IG 125 Index (the “Index”) is the property of SG, which has contracted with Markit to maintain and calculate the Index. For more information, see www.markit.com. Markit makes no representation and expressly disclaims all warranties of accuracy, merchantability or fitness for a particular purpose or use with respect to the "Index" or any data included therein, or any data from which it is based or as to results to be obtained from the use of the "Index”. Markit does not sponsor, endorse, sell, or promote any investment fund or other vehicle that is offered by Société Générale or third parties and that seeks to provide an investment return based on the returns of the "Index".
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