SIX Licenses New SMI Rolling Futures Total Return Decrement Indices to Bank of America

SIX has launched a set of SMI Rolling Futures and SMI Rolling Futures Decrement indices to measure the total return performance of the underlying the SMI futures contracts. The added Decrement index then subtracts a pro-rated constant (decrement). This extends the existing index offering of the SMI, IBEX 35 and SXI Switzerland Sustainability 25 Decrement indices and, for first time offer a Rolling Futures strategy based on the SMI futures.

The Rolling Futures Total Return index replicates the performance of a long position in the SMI futures, plus a remuneration of the cash exposure at SARON rate. SMI futures contracts have a quarterly expiry schedule, on the 3^rd Friday of March, June, September and December. Shortly before the current contract’s expiry, the position is rolled into the following one over a period of three days.

The historical values of the indices are available starting 31.12.2014 with a base value of 100.

“Bank of America and SIX partnership combines the financial engineering expertise from our team with SIX leadership and brand recognition in Switzerland.

Rolling futures and Decrement Indices are a ‘best of both world’ solution as they lead to more attractive economics for end investors while reducing the risk for dealers issuing the product.” says Bank of America Raphael Cyna, Global Head of Payoff Structuring.