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SGI 10Y US Treasury Note Index

Index level: 1035.37 as of 10/19/2017

Main characteristics

Bloomberg code SGIXTY10
Inception date 05/01/2013
Return type Excess Return
Currency USD

Objective

The SGI 10Y US Treasury Note Index (the Index) aims to replicate the performance of a long position on the first 10Y US Treasury Note future contract. The objective is to provide clients with a simple way to access the return generated over the time from a long position in 10Y US Treasury Note futures contracts.

Mechanism

The Index is hypothetically exposed to the performance of a notional position in the 1st nearest 10Y US Treasury Note futures contract. The underlying of this contract is a synthetic Note with a 6.5 to 10-year maturity and a 6% coupon issued by the US government. The exposure of the Index in the 10Y US Treasury Note futures contracts is synthetically rolled every 3 months through the CBOT market.


The SGI 10Y US Treasury Note Index began publishing on May 1, 2013. Therefore, all data for the Index for the period prior to May 1, 2013 represent S&P Dow Jones ("S&P DJ"s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to May 1, 2013 consistent with the Index methodology. Results prior to May 1, 2013 may have been different had the Index actually been in existence. The SGI 10Y US Treasury Note 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.
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