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20 May 2022

Index Rules amendment of SGIXTFCY Index

Following a periodic review, and in light of the recent disruptions on the nickel market traded on the London Metals Exchange (LME), Societe Generale as Index Sponsor has amended the Index Rules of the SGI Commodity Trend Following Index <SGIXTFCY Index> to handle rebalancings on underlying index components affected by a Commodity Disruption Event. In line with market practice, the amendment will ensure the index keeps the quantity rebalanced on affected components unchanged from the previous day, with no further impact on unaffected components. The change is implemented on a going-forward basis, effective Monday 23 May 2022. 


28 Apr 2022

Amendments on the SGCOCRSX Index Rules

Following a periodic review, and in light of the recent disruptions on the nickel market traded on the London Metals Exchange (LME), Societe Generale as Index Sponsor has amended the Index Rules of the <SGCOCRSX Index> to align the treatment of the March 2022 Commodity Disruption Events on nickel in the index to that of its Benchmark Index, the BCOM Roll Select <BCOMRS Index>. The amendment specifically seeks to reference the Applied Roll Percentages (ARP) of the Benchmark Index rather than recompute them, such as to avoid future tracking errors.


26 Apr 2022

Rules amendment for SGCOS14E Index

Following a periodic review, Societe Generale as Index Sponsor has amended the Index Rules of the <SGCOS14E Index> to disambiguate the monthly implementation of the Commodity Index Multipliers along with the monthly futures’ roll. This amendment has no impact on historical or future index levels. 


21 Apr 2022

Holiday Settlement Price

Societe Generale as Index Sponsor has decided to amend the index rules of the below indices (the “Indices”) to fix an ambiguity on the Contract Settlement Levels to use for a commodity when its exchange was closed on a Calculation Date for the Index. The Index will use the last published Contract Settlement Level for this commodity.

Impacted indices: SGCOP04T, SGCOA1CE, SGCOM11S, SGCOK26S, SGCOL36S


13 Apr 2022

SGIXPA Index methodology update

Societe Generale as Index Sponsor has decided to update the methodology of SGIXPA Index to reference explicitly the optimization program used in the rebalancing process. The Index Level will be determined based on this new version of the Index Rules from April 18th, 2022 (included) onwards and will not affect past composition.


7 Apr 2022

Commodity Disruption Event

The London Metals Exchange (LME) suspended trading in nickel contracts on 8 March 2022. While the exchange reopened the nickel market on 16 March, the LME introduced new daily up and down price limits. Since reopening, and as of writing, the nickel market settled at these limits for 6 days. Finally, trading activity (measured by traded volumes) across the nickel curve has fallen significantly (<45% of the 2021 average) in the days immediately following the reopening.

In light of these market conditions, and in its capacity as Index Sponsor, Societe Generale as Index Sponsor has instructed the Calculation Agent of the below indices to consider the nickel market as being exceptionally affected by a Commodity Disruption, with effect starting on 31 March 2022. As such, and in line with the SGI Global Methodology, Societe Generale has also instructed the Calculation Agent of the below indices directly affected by the Commodity Disruption Event to suspend further rolls on nickel, and where applicable, rebalancings on nickel components.

Societe Generale has determined that the nickel market will need to settle unaffected by a price limit for 4 (four) consecutive days, and for the daily volume on the 3m forward LME contract (LMNIDS03 LME Comdty) to exceed 10,000 lots for each of those days prior to lifting the Commodity Disruption Event. Should these conditions fail to materialize by 18 April 2022, Societe Generale will host a new committee to reassess the situation. 

The indices directly affected by this Commodity Disruption Event include:

-              SGCOCOC2

-              SGCOCOC5

-              SGCOCOC7

-              SGCOCOEX

-              SGCOCOIM

-              SGCOA1CE

-              SGCOS14E

-              SGCORDNI

-              SGCORBDL

-              SGCORADL

-              SGCORBXL

 

The indices indirectly affected by this Commodity Disruption Event, include, amongst others:

-              SGICCODA

-              SGCODALS

-              SGCODALX

-              SGICODA6

-              SGICODAF

-              SGICODA5

-              SGCORBD

-              SGCORAD

-              SGCORBD5

-              SGCOS19E

-              SGCORBX

 


7 Apr 2022

Treatment on SGI Wall Street VT 8 ER Index

The publication of the NAV of an underlying fund of SGKMWDGA Index (the “Index”) was halted on 25 th February 2022 and has not resumed on April 6 th. As per the rulebook and the SGI Global Methodology referenced in it, Société Générale as Index Sponsor has considered the event as a Fund Disruption Event and has instructed the Index Calculation Agent to apply the below treatment:

  • The Index is not calculated;
  • Après la suspension de 5 jours consécutifs du calcul de l’Indice, le calcul de l’Indice reprend le 8 mars 2022, en utilisant la dernière NAV publiée du fonds pour le fonds suspendu. 

4 Apr 2022

Switch of interest rates inputs for Credit Market Access Indices

As announced by ISDA, rates inputs in EUR and USD, used in the ISDA CDS Standard Model, migrated to RFR (SOFR for USD, €STR for EUR) on 4 th April 2022.

This change applies to the following indices:

 

  • SGIXCEIG
  • SGIXCEXO
  • SGIXCAIG
  • SGIXCAHY

9 Mar 2022

Restatement of the SGIXI10 index by Solactive AG

Following an operational issue, Societe Generale, as Index Sponsor, has instructed Solactive AG, as Index Calculation Agent, to restate the index levels of the Investir 10 - Grandes Valeurs from March 1st 2022 to March 8th 2022 included.For any question, feel free to reach out to the Index Sponsor at sgindex@sgcib.com.


21 Feb 2022

SGI Leveraged MSCI Singapore Family: Index Rules Amendment linked to discontinuation of SOR

To be in line with the industry-wide interest rate benchmark transition from Singapore Dollar Swap Offer Rate (SOR) to Singapore Overnight Rate Average (SORA) following the Monetary Authority of Singapore recognizing that SOR would be discontinued together with USD LIBOR at the end of 2021, Société Générale, as the Index Sponsor, will make the following changes in the Index Rules of the SGI Leveraged on MSCI Singapore Index Family (SGIXSP5L/SGIXSP5S/SGIXSP7L/SGIXSP7S):

1)Financing Rate i.e. Rate(t) will be to SORA(t-2) instead of SOR(t).

2)For the +5x and +7x Leveraged Indices (SGIXSP5L /SGIXSP7L), the Financing Spread will be fixed to 0.23%.

3)The SGI Global Methodology incorporated by reference will be updated to latest available version i.e. as of 20 July 2020. The SGI Global Methodology notable includes important events applicable in respect of the relevant Index Components.

 

Such changes will be effective on 7 th March 2022.

 

An updated version of the Index Rules is available upon request to the Index Sponsor.  


14 Feb 2022

SGMDMAP and SGMDMAPD rulebook update

The rulebooks for SGMDMAP and SGMDMAPD indices have been updated.


14 Feb 2022

SGMDEMER rulebook update

The rulebook of SGMDEMER was updated to reflect a switch from EONIA to ESTER + ISDA official spread in the computation of the liquidity trigger.


14 Feb 2022

Maturity change for SGMDPRM3

The maturity of SGMDPRM3 was extended to the 4 th May 2022 and publication will resume.


26 Jan 2022

29 Dec 2021

Index Rules Amendment linked to the discontinuation of LIBOR – SGI BOSS Indices

In anticipation of the cessation or the non-representativeness of the LIBOR settings, Société Générale as Index Sponsor has decided to modify the Index Rules and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agents to replace the current underlying SGI Indices that were using CHF LIBOR, EURIBOR, GBP LIBOR, JPY LIBOR and USD LIBOR and their related swaps by substitute underlying SGI Indices, with equivalent economic characteristics, that aren’t referencing CHF LIBOR, EURIBOR, GBP LIBOR, JPY LIBOR and USD LIBOR. Such change will be effective on December 29th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition ( https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition/). If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

An updated version of the Index Rules is available upon request to the Index Sponsor.

Scope of indices:

SGIXBE3E

SGIXBE5E

SGIXBHE3

SGIXBHE5

SGIXBHU1

SGIXBS1U

SGIXBS3E

 


29 Dec 2021

Index Rules Amendment linked to the discontinuation of LIBOR – FX Value 3D Index

In anticipation of the cessation or the non-representativeness of the LIBOR settings, Société Générale as Index Sponsor has decided to modify the Index Rules and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agent to replace CHF LIBOR, GBP LIBOR, JPY LIBOR and USD LIBOR swaps by CHF, GBP, JPY and USD RFR swaps for the computation of the indices below. Such change will be effective on December 29 th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition ( https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition/). If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

An updated version of the Index Rules is available upon request to the Index Sponsor.

Scope of indices:

SGIX3FVE

SGIX3FVT


24 Dec 2021

Notice on SGI website

As request by the sole client invested in the following indices, SG95CARI and SGMDCMA2, the 24 th Dec 2021 was deemed to be a calculation date for both mentioned indices and the respective rulebooks were amended to reflect this change. The sole client motivated his request by a need for his fund calendar to be aligned with the index calendar.


17 Dec 2021

Index Rules Amendment linked to the discontinuation of LIBOR – SGI Swaps Indices

In anticipation of the cessation or the non-representativeness of the LIBOR settings, Société Générale as Index Sponsor has decided to modify the Index Rules and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agent to replace CHF, GBP, JPY and USD LIBOR and LIBOR swaps by CHF, GBP, JPY and USD RFR and RFR swaps for the computation of the indices below. Such change will be effective on December 17 th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition ( https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition/). If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

An updated version of the Index Rules is available upon request to the Index Sponsor.

Scope of indices:

  • SGIXG05S
  • SGIXG10S
  • SGIXG20S
  • SGIXH05S
  • SGIXH10S
  • SGIXH20S
  • SGIXJ05S
  • SGIXJ10S
  • SGIXJ20S
  • SGIXU05S
  • SGIXU07S
  • SGIXU10S
  • SGIXU15S
  • SGIXU20S
  • SGIXU30S

 


17 Dec 2021

Index Rules Amendment linked to the discontinuation of LIBOR – SGI Swap Carry Indices and SGI ORB Index

In anticipation of the cessation or the non-representativeness of the LIBOR settings, Société Générale as Index Sponsor has decided to modify the Index Rules and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agent to replace CHF, GBP, JPY and USD LIBOR and LIBOR swaps by CHF, GBP, JPY and USD RFR and RFR swaps for the computation of the indices below. Such change will be effective on December 17 th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition ( https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition/). If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

An updated version of the Index Rules is available upon request to the Index Sponsor.

Scope of indices:

  • SGIXS6EE
  • SGIXSC6E
  • SGIXSC8E
  • SGIXO18E

13 Dec 2021

Index Rules Amendment linked to the discontinuation of LIBOR – SGI BOND USD Indices

In anticipation of the cessation or the non-representativeness of the LIBOR settings, Société Générale as Index Sponsor has decided to modify the Index Rules and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agent to remove USD LIBOR 2M for the computation of the indices below. Such change will be effective on December 13 th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition ( https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition/). If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

An updated version of the Index Rules is available upon request to the Index Sponsor.

Scope of indices:

  • SGIXBU10
  • SGIXBU5
  • SGIXBU3M

13 Dec 2021

Index Rules Amendment linked to the discontinuation of LIBOR – SGI BOSS Indices

In anticipation of the cessation or the non-representativeness of the LIBOR settings, Société Générale as Index Sponsor has decided to modify the Index Rules and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agent to replace USD LIBOR 2M by USD LIBOR 1M and USD LIBOR 3M for the computation of the indices below. Such change will be effective on December 13 th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition ( https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition/). If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

An updated version of the Index Rules is available upon request to the Index Sponsor.

Scope of indices:

  • SGIXBE3E
  • SGIXBE5E
  • SGIXBS3E
  • SGIXBS1U

13 Dec 2021

Index Rules Amendment linked to the discontinuation of LIBOR - SGI Forex Trend Following Index

In anticipation of the cessation or the non-representativeness of the LIBOR settings, Société Générale as Index Sponsor has decided to modify the Index Rules and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agents to replace the current Underlying SGI Indices that were using USD LIBOR to substitute Underlying SGI Indices, with equivalent economic characteristics, that aren’t referencing USD LIBOR. Such change will be effective on December 14th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition [ https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition ]. If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

An updated version of the Index Rules is available upon request to the Index Sponsor.

Scope of indices:

SGIXTFFX


13 Dec 2021

Index Rules Amendment linked to the discontinuation of LIBOR – FX Smile Premium Indices

In anticipation of the cessation or the non-representativeness of the LIBOR settings, Société Générale as Index Sponsor has decided to modify the Index Rules and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agent to replace GBP LIBOR, EURIBOR, JPY LIBOR and USD LIBOR by GBP, EUR, JPY and USD RFR and RFR swaps for the computation of the indices below. Such change will be effective on December 13 th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition ( https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition/).

If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

 

An updated version of the Index Rules is available upon request to the Index Sponsor.

 

Scope of indices:

 

  • SGIFXSER
  • SGIFXSGP
  • SGIFXSJY

13 Dec 2021

Index Rules Amendment linked to the discontinuation of LIBOR – FX Master Indices

In anticipation of the cessation or the non-representativeness of the LIBOR settings, Société Générale as Index Sponsor has decided to modify the Index Rules and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agents to replace the current Underlying SGI Indices that were using USD LIBOR to substitute Underlying SGI Indices, with equivalent economic characteristics, that aren’t referencing USD LIBOR. Such change will be effective on December 17th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition [ https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition ]. If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

An updated version of the Index Rules is available upon request to the Index Sponsor.

Scope of indices:

  • SGIFXBSU
  • SGIFXC10
  • SGIFXM10
  • SGIFXMEU
  • SGIXFC01

10 Dec 2021

Notice for BOR transition

On the close of the 27 th December, the below changes will apply to the following indices SGEPSBSB, SGEPSBSH, IND1STMA, SGMDSMAI, SGMDV15, SGMDCNTP and SGIXQMA2 :

  • Replacement of US0003M Index by SOFRRATE Index + 0.26% as a Basket Component Rate, due to future decommission of USD Libor and in accordance with the Joint Statement on Managing the LIBOR Transition, dated October 20, 2021, by the Board of Governors of the Federal Reserve System, the Consumer Financial Protection, the Federal Deposit Insurance Corporation, the National Credit Union Administration, the Office of the Comptroller of the Currency, and the States Bank and Credit Union Regulators
  • Replacement of GBP Libor 3M by SONIO/N + 0.1193%
  • Replacement of JPY Libor 3M by MUTKCALM Index + 0.00835%
  • Replacement of CHF Libor 3M by SRFXON3Index + 0.0031%
  • Replacement of EONIA by ESTRON + 0.085%.

10 Dec 2021

Amendments for SGMDBPEA Index

An underlying fund (LBPAMEE FP Equity) of SGMDBPEA Index has been acquired by VALCXTP FP Equity on October 15th, 2021. The acquired underlying has therefore been replaced by the acquiring fund, using a 0.247102 per 1 factor.


7 Dec 2021

SGI Bond JPY levels as of December 7th 2021

On December 7th 2021, the data for the JPY swap rates for maturities 3y, 4y, 7y, 8y, 9y and 10y from the BGN source was unavailable at or after the Index Fixing Time, as a result the BLC source was used to compute the levels for the following indices:

  • SGIXBJ10
  • SGIXBJ5
  • SGIXBJ2

6 Dec 2021

Index Rules Amendments for SGMDMAP and SGMDMAPD

On the close of the 15 th December, the rulebooks of SGMDMAP and SGMDMAPD will be amended to reflect the below changes :

  • Replacement of US0003M Index by SOFRRATE Index + 0.26161% as a Basket Component Rate, due to future decommission of USD Libor and in accordance with the Joint Statement on Managing the LIBOR Transition, dated October 20, 2021, by the Board of Governors of the Federal Reserve System, the Consumer Financial Protection, the Federal Deposit Insurance Corporation, the National Credit Union Administration, the Office of the Comptroller of the Currency, and the States Bank and Credit Union Regulators
  • Replacement of GBP Libor 3M by SONIO/N + 0.1193%
  • Replacement of JPY Libor 3M by MUTKCALM Index + 0.00835%

Replacement of SGIXBU5S Index and SGIXBE5S Index by SGIXU05S Index and SGIXE05S Index respectively.


1 Dec 2021

Index Rules Amendments linked to JPY, EUR and GBP LIBOR cessation.

In light of imminent cessation of JPY, EUR and GBP LIBORs, below mentioned changes will be made in the following list of indices. For the avoidance of doubt, one index may be affected by only one or more changes depending on the rates used in the respective methodology. For more specific inquiries and updated version of specific index rules, please feel free to reach out to the Index Sponsor.

  1. JPY 3month LIBOR (JY0003M):
    1. Where used as a Basket Component Rate: is replaced by the sum of (i) Day Count Fraction adjusted unsecured JPY overnight call rate (MUTKCALM) i.e. risk-free rate; and (ii) the ISDA official spread for 3M JPY Libor i.e. 0.00835%.
    2. Where not used as a Basket Component Rate: is replaced by the sum of (i) unsecured JPY overnight call rate (MUTKCALM) i.e. risk-free rate; and (ii) the ISDA official spread for 3M JPY Libor i.e. 0.00835%.
  2. JPY 1month LIBOR (JY0001M):
    1. Where used as a Basket Component Rate: is replaced by the sum of (i) Day Count Fraction adjusted unsecured JPY overnight call rate (MUTKCALM) i.e. risk-free rate; and (ii) the ISDA official spread for 1M JPY Libor i.e. -0.02923%.
    2. Where not used as a Basket Component Rate: is replaced by the sum of (i) unsecured JPY overnight call rate (MUTKCALM) i.e. risk-free rate; and (ii) the ISDA official spread for 1M i.e. -0.02923%.
  3. EUR 3month LIBOR (EE0003M): is replaced by the sum of (i) EUR rate for overnight deposits (ESTRON); and (ii) the ISDA official spread for 3M EUR Libor i.e. 0.0962%.
  4. EUR 1month LIBOR (EE0001M): is replaced by the sum of (i) EUR rate for overnight deposits (ESTRON); and (ii) the ISDA official spread for 1M EUR Libor i.e. 0.0456%.
  5. JPY 5Y index Swap Rate (JYSW5): is replaced by the sum of (i) the 5 year overnight index swap rate for JPY (JYSO5); and (ii) the ISDA official spread for 6M JPY Libor i.e. 0.05809%
  6. JPY 10Y index Swap Rate (JYSW10): is replaced by the sum of (i) the 10 year overnight index swap rate for JPY (JYSO10); and (ii) the ISDA official spread for 6M JPY Libor i.e. 0.05809%
  7. GBP 3month LIBOR (BP0003M): is replaced by the sum of (i) Sterling Overnight Index Average (SONIA); and (ii) the ISDA official spread for 3M GBP Libor i.e. 0.1193%.                      

List of Indices:

SGIXDF02, SGMD1312, SGMD1403, SGMD1406, SGMD1409, SGMD1412, SGMD1503, SGIXDF04, SGIXDF05, SGIXDF06, SGIXDF07, SGDFRESJ, SGDFVAAU, SGDFVANZ, SGDFVAUS, SGDFWLJY, SGMDVA10, SGMDVA15, SGIXMS03, SGIXMY1A, SGIXMY2A, SGMDCALA, SGMDCALU, SGFI5AU, SGFI5US, SGMDBJCI, SGMDBWCI.

Such changes are effective as of the close of 3rd December 2021.


29 Nov 2021

SGI Bond JPY levels as of November 29th 2021

On November 29th 2021, the data for the JPY 2Y swap rate from the BGN source was unavailable at or after the Index Fixing Time, as a result the BLC source was used to compute the levels for the following indices:

  • SGIXBJ10
  • SGIXBJ5
  • SGIXBJ2