MSR British Govt Long Term – Exposure, Dollar Weighted Index
The MSR British Govt Short Term Dollar Weighted Exposure Index shows the total return of being long one LONG GILT futures contract (the “current” contract, which is the most liquid) through time. This is “dollar weighted” because an investor can simply divide the number of dollars they want to invest by the current dollar value of the LONG GILT contract and own that number of contracts for perpetuity. The “cash equivalent” version of this index will simulate the total return an investor could receive from a long position in actual British Government notes (including interest) with a rolling 10 year maturity. LONG GILT futures contracts are denominated in British Pounds, but MSR converts the daily returns to dollar based returns for this index.