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The SGI North America Investment Grade Index (the Index) aims to replicate the performance of a portfolio of investment grade bonds through a 100% weighting in the SGI Bond 5Y USD Index and a 125% weighting in the SGI Credit NA IG 125 ER Index with a 10% volatility cap. This exposure allows investors to access the US bond market with potentially increased liquidity and potentially lowered replication costs, while also allowing for exposure and sensitivity to interest rates and investment-grade corporate credit.
The Index takes a 100% weighted long position in the SGI Bond 5Y USD Index* and a 125% weighted long position in the SGI Credit NA IG 125 ER Index* *, maintaining a constant 5-Year maturity. Additionally, the Index utilizes a “Volatility Cap Mechanism” that will determine the exposure of the Index by capping maximum volatility at 10%.
* The SGI Bond 5Y USD Index attempts to replicate the performance of hypothetical 5Y bonds issued by a U.S. issuer and that pay semi-annual coupons and principal at maturity. The bond exposure is synthetic and implemented through (1) a deposit in USD and (2) a monthly rolling process of US 5-Year swap rates to maintain a constant 5-Year maturity.
* * The SGI Credit NA IG 125 ER Index isolates the returns of a long credit position in the CDX NA IG (125 names) 5-year Index. By selling protection, the Index will receive a premium based on the average credit risk of a diversified portfolio of 125 names and replicate the default risk of these names.