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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

24 Nov 2021

SGI Bond 10Y JPY level as of November 22nd 2021

On November 22nd 2021, the data for the JPY 6Y 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 index levels of the index SGIXBJ10


3 Nov 2021

Rules amendment SGMDSENR / SGMDSEPR

The rulebook of SGMDSENR / SGMDSEPR Indices has been updated to explicit the liquidity threshold computation and the relaxing procedure of said threshold.


29 Oct 2021

News about SGKMGR10 Index

An underlying fund (FRESCCE LX Equity) of SGKMGR10 Index has been acquired by PAREECA LX Equity on October 15th, 2021. The acquired underlying has therefore been replaced by the acquiring fund, using a 0.199322 per 1 factor.


29 Oct 2021

Index Rules Amendment linked to transition from JPY 3M LIBOR to Risk Free Rate

Following changes will be made in the index rules of SG Japan Quality Income Beta Adjusted Index (SGQJEBA) and SG Japan Quality Income Premium Index (SGQJEBAP):

  • Rate will be switched from 3-month JPY interbank offered rate (JY0003M) to the unsecured JPY overnight call rate (MUTKCALM) i.e. the risk free rate.
  • The Index Level formula for SG Japan Quality Income Beta Adjusted Index will be updated to adjust to reflect (i) the ISDA official spread for 3M JPY LIBOR v/s the risk free rate, and (ii) the day count fraction of the risk free rate.
  • The Cash Asset Level formula for SG Japan Quality Income Premium Index will be updated to adjust to reflect (i) the ISDA official spread for 3M JPY LIBOR v/s the risk free rate, and (ii) the day count fraction of the risk free rate.

 

Such changes will be effective from 3 rd December 2021 (for the avoidance of doubt, will start to impact index level only from 6 th December 2021)

 

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


21 Oct 2021

SGI Pan Africa Index News - Rebalancing exception

Due to an exceptional holiday in some African Countries, it was decided to use the latest available market cap for stocks impacted by markets closing in the rebalancing process of SGIXPA.


1 Sep 2021

Index Rules Amendment – IND1DBSE

w.e.f. 31-Aug-2021, the transaction cost applicable for buying and selling within IND1DBSE Index (and hence within DBSCIOB Index) for Hong Kong listed stocks has been revised from 0.14% to 0.17%.


22 Jul 2021

News on SGIXPA

Due to an exceptional holiday in some African Countries, it was decided to use the latest available market cap for stocks impacted by markets closing in the rebalancing process of SGIXPA.


19 Jul 2021

Amendment in official closing time of SGI leveraged MSCI Singapore Index Family

Following the inclusion of Sea Ltd (SE UN) in the composition of Underlying Indices (i.e. M7SIMSCI and M8SIMSCI), the Official Closing Time for the ‘SGI Leveraged on MSCI Singapore Index Family’ comprising of SGIXSP5L/SGIXSP5S/SGIXSP7L/SGIXSP7S has been updated from ‘11:40pm SGT’ to ‘2 hours after the official close time of the Underlying Index’ w.e.f. 28-May-2021 close.


8 Jul 2021

Index Rules Amendment linked to the discontinuation of EONIA

On 31 May 2019, the European Money Markets Institute (EMMI) announced that the Euro Overnight Index Average (EONIA) will be discontinued on 3 January 2022 The Working Group on Euro Risk-free Rates (Euro RFR WG) has recommended that the Euro Short-Term Rate (€STR) be adopted as EONIA’s replacement prior to EONIA’s discontinuation.  The Euro RFR WG’s statements can be found at

https://www.ecb.europa.eu/press/pr/date/2019/html/ecb.pr190314_1~af10eb740e.en.html.

In accordance with the Euro RFR WG’s recommendation and to maintain the economic characteristics of the following indices, Société Générale, as Index Sponsor, will adjust the Index Rules and direct the Index Calculation Agents to replace the use of EONIA by €STR plus a fixed spread of 8.5 basis points. Such change will be effective on July 12 th, 2021 (included).

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

 

Scope of indices:

SGIXMOE2

SGIXFMBL

SGMDIDCB

SGIXFIRM


8 Jul 2021

Index Rules Amendment linked to the discontinuation of EONIA

On 31 May 2019, the European Money Markets Institute (EMMI) announced that the Euro Overnight Index Average (EONIA) will be discontinued on 3 January 2022. The Working Group on Euro Risk-free Rates (Euro RFR WG) has recommended that the Euro Short-Term Rate (€STR) be adopted as EONIA’s replacement prior to EONIA’s discontinuation. The Euro RFR WG’s statements can be found at

https://www.ecb.europa.eu/press/pr/date/2019/html/ecb.pr190314_1~af10eb740e.en.html.

In accordance with the Euro RFR WG’s recommendation and to maintain the economic characteristics of the following indices, Société Générale, as Index Sponsor, will adjust the Index Rules and direct the Index Calculation Agents to replace the use of EONIA by €STR. Such change will be effective on July 12 th, 2021 (included).

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

 

Scope of indices:

SGIMCESP

SGMDCESP

SGIXCEIG

SGIXCEXO

SGIXB6EE

SGIXS6EE

 


5 Jul 2021

News on European and World Equity Risk Premia Indices

Following the announcement of the CDOR administrator that the 6 Months CIDOR rate will no longer be published, it has been decided that the 3 Month CIDOR rate will be used to compute Merton Distance to Default scores of Canadian Stocks in all Europe and World equity risk premia indices.


25 Jun 2021

Index Rules Amendment for SGKMSC16 and SGKMALPO

The Rules of SGKMSC16 and SGKMALPO indices have been amended. 


16 Jun 2021

News on SGIXWC

The systematic optimization for SGIXWC for the June Rebalancing did not yield a result satisfying all constraints stated in the rules. Two shares were assigned a weight exceeding 10%. Therefore it was decided to redistribute equally the excess weights on all other components to respect the index guidelines.


7 May 2021

Index Rules Amendment for SGIXFLJP

The Index Rules of SGIXFLJP Index have been amended to add a fallback to the settlement price in case the bid and/or ask prices are not available on a given Calculation Date. A revised version of the Index Rules is available upon request to the Index Sponsor.