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SGI has constructed an Excess Return index of the credit market index that isolated the returns of a long credit position in the on-the-run CDX NA IG 5-year CDS Index. The SGI Credit North America IG 125 Index gives direct exposure to the credit spread evolution of North American investment grade corporate names (from AAA to BBB-).
The SGI Credit North America IG 125 Index offers an optimised construction with an equivalent coupon level yielding the credit risk premiums. In addition the Index offers a pure exposure to the credit without interest rates duration sensitivity. The exposure to the 5-year CDX NA IG CDS is rolled over every six months in order to remain exposed with a close to 5-year target duration. Thanks to this transparent construction and highly liquid components, the SGI Credit North America IG 125 strategy offers an easy access to the credit market.
The SGI Credit North America IG 125 Index offers an optimised construction with an equivalent coupon level yielding the credit risk premiums. In addition the Index offers a pure exposure to the credit without interest rates duration sensitivity. The exposure to the 5-year CDX NA IG CDS is rolled over every six months in order to remain exposed with a close to 5-year target duration. Thanks to this transparent construction and highly liquid components, the SGI Credit North America IG 125 index offers an easy access to the credit market.