Main characteristics

Bloomberg Code SGIXRX
Inception Date 20/08/2013
Return Type Excess Return
Currency EUR
Calculated By S&P Dow Jones


The SGI Euro Bund Index aims to replicate the performance of a long strategy rolling the first Bund 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 Bond with a 10-year maturity and 6% coupon.


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

The SGI Euro Bund 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.
Login to add this product to your favorites