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SGI 10Y US Treasury Note Index

Index level: 1194.18 as of 23/09/2020
Rules Factsheet DOCUMENTATION

Main characteristics

Bloomberg Code SGIXTY10
Inception Date 01/05/2013
Return Type Excess Return
Currency USD
Calculated By S&P Dow Jones

Objective

The SGI 10Y US Treasury Note Index aims to replicate the performance of a long strategy rolling the first 10Y US Treasury Note future contract. Every 3 months, the strategy rolls the long position of the older contract in to the new one in order to keep the exposure. The underlying of this contract is a synthetic Note with a 6.5 to 10-year maturity and 6% coupon.

Mechanism

The SGI 10Y US Treasury Note Index is designed to track the performance of a notional position in the 10Y US Treasury Note futures contract whose price depends on the interest rate proposed by the US for a 6.5 to 10-year maturity. The exposure of the Index is achieved through a systematic roll of the 1st nearest 10 US Treasury Note future contract every 3 months on the CBOT market. The notional in the CBOT 10Y US Treasury Note future contract is revised every day to take into account the most recent past performance of the Index.

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 trademarks 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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