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News


8 Jul 2020

Amendments on the SGI FX Forwards Index Rules

The Index Rules of the following indices have been amended in order to improve the definitions:

 

  • SGIXFAUU
  • SGIXFCAU
  • SGIXFCHU
  • SGIXFEUU
  • SGIXFGBU
  • SGIXFJPU
  • SGIXFNOU
  • SGIXFNZU
  • SGIXFSEU

 

A revised version of the Index Rules is available upon request to the Index Sponsor.


7 Jul 2020

News on ERP Indices

We amended the index rules (typos correction) of all ERP indices, below the impact:

 

  • Tie Breaker: use of ADV instead of the spot (all indices)
  • Momentum Formula: Momentum Indices
  • Merton Score: (All Quality + EU Value Quality)

 

The published index levels are good (rebalancing script is correct).


29 May 2020

Index Rules Amendments (SGI BOSS)

The Index Rules of the SGI BOSS family have been amended to stay in line with the SGI Bond family regarding the rates used in the optimization program. Default inputs, as well as fallback inputs have been defined. Revised version of the Index Rules are available upon request to the Index Sponsor.


6 May 2020

Index Rules Amendments - [SGCOL18E]

On 6 May 2020, the ticker concerned has its Index Rules modified. This change is effective starting 6th of May 2020.


6 May 2020

Index Rules Amendments - [SGCOL38E]

On 6 May 2020, the ticker concerned has its Index Rules modified. This change is effective starting 6 th of May 2020.


8 Apr 2020

Use of a second data source

Due to recent dividend cuts announced by companies following the recent markets drawdowns, we used a second data source to cross-check dividends used for April rebalancing. Therefore, any company that cancelled its next dividend according to this second data source was excluded from the selection process.


6 Apr 2020

Index Rules Amendments (SGI Bond)

The Index Rules of the SGI Bond family have been amended to reflect the addition of fallback tickers in the curve stripping methodology, in case the tickers from the default source are unavailable on a given date. In addition, the fixing time for the JPY indices has been moved to 15pm Tokyo time, in order to benefit from a better liquidity as this corresponds to the fixing time for JPY swaptions.


6 Apr 2020

Correction of Index Rules - IND1LAR3

The Index Rules of the Lutetia Absolute Return Risk Premia (IND1LAR3 Index) have been amended to correct a manifest error in the reset mechanism definition. The past index levels are not modified and the correction of Index Rules will be implemented starting from and including 6 th April 2020.

A revised version of the Index Rules is available upon request to the Index Sponsor.


12 Mar 2020

News on SGEPMLEL and SGEPMLEU

For March rebalancing, NMC LN should exit the index.

We noticed that NMC LN is suspended since February 27 th, so we can’t remove it from the index.

Therefore, it will kept in the index with its old weight. The index will include 101 stocks instead of 100 until the next rebalancing.

SGEPMLEL levels since March 5 th will be republished to take into account the above treatment.

SGEPMLEU is impacted too.


11 Mar 2020

News on SGBVMI and SGBVMI2

Following a Fund Extraordinary Event, as defined in the SGI Global Methodology, Societe Generale, as Index Sponsor of the Multi Asset Funds Momentum 3.5% VT Index (SGBVMI <Index>) and Multi Asset Funds Momentum 2% VT Index (SGBVMI2 <Index>), decided to replace the Gam Star Credit Opportunities EUR Fund (GAMSCOE ID <Equity>) with the Swisscanto (LU) Bond Fund COCO (COCOHEB LX <Equity>). This change will be effective as of March 11th, 2020 for both indices.


31 Dec 2019

Index Disruption Event on SGBVVRRE, SGBVVR02 and SGIXE10S

On 31 December 2019, a deterioration of the liquidity on the EUR swap rates market impaired the ability of the market participants to effect transactions on the EUR swap rates market.

This constitutes an Index Disruption Event pursuant to the Index Rules of the indices SGBVVRRE, SGBVVR02 and SGIXE10S

Accordingly, no index level has been published for these indices for 31 December 2019.


31 Dec 2019

Index Disruption Event on SGIXH10S

On 31 December 2019, a deterioration of the liquidity on the CHF swap rates market impaired the ability of the market participants to effect transactions on the CHF swap rates market.

This constitutes an Index Disruption Event pursuant to the Index Rules of the index SGIXH10S

Accordingly, no index level has been published for this index for 31 December 2019.


24 Dec 2019

Index Disruption Event on SGBVVRRE, SGBVVR02 and SGIXE10S

On 24 December 2019, a deterioration of the liquidity on the EUR swap rates market impaired the ability of the market participants to effect transactions on the EUR swap rates market.

This constitutes an Index Disruption Event pursuant to the Index Rules of the indices SGBVVRRE, SGBVVR02 and SGIXE10S

Accordingly, no index level has been published for these indices for 24 December 2019.


24 Dec 2019

Index Disruption Event on SGIXH10S

On 24 December 2019, a deterioration of the liquidity on the CHF swap rates market impaired the ability of the market participants to effect transactions on the CHF swap rates market.

This constitutes an Index Disruption Event pursuant to the Index Rules of the index SGIXH10S

Accordingly, no index level has been published for this index for 24 December 2019.


2 Dec 2019

Amendment of the Index Rules of SGIXBC6E and SGIXB6EE

Due to a change of methodology to compute zero coupon yield, the corresponding tickers have been amended in the Index Rules. This change is effective from 2 nd December 2019 onwards. A revised version of the Index Rules is available upon request to the Index Sponsor


25 Nov 2019

New Global Methodology

The SGI Global Methodology (Version dated 25 November 2019) has been published under the Methodology section of this website and applies to each SGI Index whose rules refer to it or to any prior version of the SGI Global Methodology as updated, revised and/or replaced from time to time.


23 Sep 2019

Correction on 3 Indices Index Rules

The Index Rules of the three following indices have been amended to correct a typo in the constraints of the optimization program:

  • SGIXBE3E
  • SGIXBS3E
  • SGIXBHE3

 

A revised version of the Index Rules is available upon request to the Index Sponsor


29 Jul 2019

Amendment of the Index Rules of SGIXBHU1 and SGIXBHE5

Due to the cessation of the quotation of the ticker of JPY Swap Fixing for a 10y maturity, the Index Rules of SGIXBHU1 and SGIXBHE5 have been amended to reflect the use of another ticker. This change is effective from 25 th July 2019 onwards.


19 Jul 2019

Changes in the Index rules of the World Water and World Alternative Energy indices since July 19, 2019

SG has established a new methodology that now includes in the selection process of its components the SG Group exclusion filters : "Full Global Components Exclusion List" and "Environmental and Social Exclusion List". The involved indices are:

 

-              World Water Total Return Index in EUR (WOWAX)

-              World Water Price Index in EUR (WOWAXP)

-              World Water Total Return Index in EUR Market Cap Adjusted (WOWAXC)

-              World Water Price Index in EUR Market Cap Adjusted (WOWAXPC)

 

-              World Water Total Return Index in USD (WOWAXD)

-              World Water Price Index in USD (WOWAXPD)

-              World Water Total Return Index in USD Market Cap Adjusted (WOWAXDC)

-              World Water Price Index in USD  Market Cap Adjusted (WOWAXPDC)

 

-              World Alternative Energy Total Return Index in EUR (WAEX)

-              World Alternative Energy Price Index in EUR (WAEXP)

-              World Alternative Energy Total Return Index in EUR Market Cap Adjusted (WAEXC)

-              World Alternative Energy Price Index in EUR Market Cap Adjusted (WAEXPC)

-             

-              World Alternative Energy Total Return Index in USD (WAEXTD)

-              World Alternative Energy Price Index in USD (WAEXPD)

-              World Alternative Energy Total Return Index in USD Market Cap Adjusted (WAEXDC)

-              World Alternative Energy Price Index in USD Market Cap Adjusted (WAEXPDC)


18 Jan 2019

Changes in the Index rules of the World Water and World Alternative Energy indices since January 18, 2019

The number of stocks has been increased for the World Water and World Aleternative Energy Indices :

 

-              30 for the World Water indices

-              40 for the World Alternative Energy indices

 

Also, SG has established a new methodology that smoothes the rebalancing of the following indices on 5 business days. The involved indices are:

 

-              World Water Total Return Index in EUR (WOWAX)

-              World Water Price Index in EUR (WOWAXP)

-              World Water Total Return Index in EUR Market Cap Adjusted (WOWAXC)

-              World Water Price Index in EUR Market Cap Adjusted (WOWAXPC)

 

-              World Water Total Return Index in USD (WOWAXD)

-              World Water Price Index in USD (WOWAXPD)

-              World Water Total Return Index in USD Market Cap Adjusted (WOWAXDC)

-              World Water Price Index in USD  Market Cap Adjusted (WOWAXPDC)

 

-              World Alternative Energy Total Return Index in EUR (WAEX)

-              World Alternative Energy Price Index in EUR (WAEXP)

-              World Alternative Energy Total Return Index in EUR Market Cap Adjusted (WAEXC)

-              World Alternative Energy Price Index in EUR Market Cap Adjusted (WAEXPC)

-             

-              World Alternative Energy Total Return Index in USD (WAEXTD)

-              World Alternative Energy Price Index in USD (WAEXPD)

-              World Alternative Energy Total Return Index in USD Market Cap Adjusted (WAEXDC)

-              World Alternative Energy Price Index in USD Market Cap Adjusted (WAEXPDC)


18 Dec 2018

Rebalancing date for the World Water and World Alternative Energy indices will be postponed from December 21, 2018 to January 18, 2019.

 

SG prepares a new methodology that smoothes the rebalancing of the following indices on 5 business days. Due to the low liquidity on Equity markets during the end of the year, SG is unable to perform the rebalancing initially planned on December 21, 2018.

The next rebalancing for these indices is scheduled for January 18, 2019. The involved indices are:

 

-              World Water Total Return Index in EUR (WOWAX)

-              World Water Price Index in EUR (WOWAXP)

-              World Water Total Return Index in EUR Market Cap Adjusted (WOWAXC)

-              World Water Price Index in EUR Market Cap Adjusted (WOWAXPC)

 

-              World Water Total Return Index in USD (WOWAXD)

-              World Water Price Index in USD (WOWAXPD)

-              World Water Total Return Index in USD Market Cap Adjusted (WOWAXDC)

-              World Water Price Index in USD  Market Cap Adjusted (WOWAXPDC)

 

-              World Alternative Energy Total Return Index in EUR (WAEX)

-              World Alternative Energy Price Index in EUR (WAEXP)

-              World Alternative Energy Total Return Index in EUR Market Cap Adjusted (WAEXC)

-              World Alternative Energy Price Index in EUR Market Cap Adjusted (WAEXPC)

-             

-              World Alternative Energy Total Return Index in USD (WAEXTD)

-              World Alternative Energy Price Index in USD (WAEXPD)

-              World Alternative Energy Total Return Index in USD Market Cap Adjusted (WAEXDC)

-              World Alternative Energy Price Index in USD Market Cap Adjusted (WAEXPDC)


5 Dec 2018

Index Disruption Event on 2 Credit Indices

On 5 December 2018 (national day of mourning for former President George H.W. Bush), a deterioration of the liquidity of the Credit Default Swap market impaired the ability of the market participants to effect transactions on the Credit Default Swap market.

This constitutes an Index Disruption Event pursuant to the Index Rules of the following indices:

• SGIXCAHY

• SGIXCAIG

Accordingly, no index level has been published for those indices for 5 December 2018.


3 Dec 2018

Amendments on 8 Indices Index Rules

On 6 June 2018, the European Money Markets Institute – EMMI announced the cessation of the 2 week, 2 month and 9 month EURIBOR tenors as of 3 December 2018.

Accordingly, in order to avoid referencing a EURIBOR rate that will no longer exist on or after 3 December 2018 whilst maintaining the economic characteristics of the Index, Société Générale as Index Sponsor will adjust the Index Rules of the following indices:

SGIFXSER, SGIXCCSE, SGIXBE3E, SGIXBE5E, SGIXBS1U, SGIXBS3E, SGIXBS3U, SGIXBS5E


26 Nov 2018

Amendment on 5 Credit Indices Index Rules

SGI announces that it is switching its calculation agent for the following 5 Credit Indices from S&P Dow Jones to Markit: SGIXGCM, SGIXCAHM, SGIXCAIM, SGIXCEIM, SGIXCEXM.

It is also changing the FX source used for SGIXGCM, from ECB to WM/Reuters and the CDS Spread source for the 4 other indices, from:

  • ITRXEXE CBIL Index to ITRXEXE MKIT Index for SGIXCEXM
  • ITRXEBE CBIL Index to ITRXEBE MKIT Index for SGIXCEIM
  • IBOXUMAE CBIN Index to IBOXUMAE MKIT Index for SGIXCAIM
  • IBOXHYSE CBIN Index to IBOXHYSE MKIT Index for SGIXCAHM

The change is effective on December 13 th 2018.


15 Nov 2018

Amendment of the Objective Pricing Methodology

As envisaged in the relevant index rules, the Objective Pricing Methodology has been amended on October 19th 2018 for technical enhancements’ purposes.

The amended version shall apply to the relevant indices referring to the Objective Pricing Methodology and will take effect as of and including October 19th 2018


20 Oct 2018

Amendments on the Apollo Absolute Return Index (SGMDAAR) - Apollo Absolute Return USD Index (SGMDAARU) - Apollo Absolute Return EUR Index (SGMDAARE)

Following the merger of Threadneedle Focus Investment – Credit Opportunities Fund (BBG ticker: THCOINA LN Equity) with Threadneedle Lux – Credit Opportunites Class 8GH GBP (BBG ticker: TCO8GHG LX Equity) on October 20th, 2018, the composition of the Indices has been changed to reflect such Corporate Action.


27 Aug 2018

Amendement on the SG Rise of the Robots VT9 Index Rules

The following amendment has been made on the Rise of Robots VT9 Index Rules:

- The section 1.4 of the index methodology have been changed to take into account the update of the SGI Global Methodology.

This is effective on June 21st 2018.


15 Jun 2018

Amendment on the SGI Commodities Optimix B Series ER Rules

The following amendment has been made on the SGI Commodities Optimix B Series ER Rules:

- Modification of part 3.5.1 Generic Methodology: the commodity ticker for Copper has been corrected from LP to HG in the Dynamic Contract Strip Table page 13.

This is effective on June 15 th 2018.


7 May 2018

Amendments on the SGI Tactical Neutral, SGI Market Timing and SGI Tactical Short Index Rules

The following amendment has been made on the SGI Tactical Neutral, SGI Market Timing and SGI Tactical Short Index Rules:

- The Indices are now based on a universe composed of the 50 largest companies in terms of free float market capitalization of the SPEU index (50 largest companies in terms of market capitalization previously).

This is effective on May 3rd 2018.


7 May 2018

Amendments on the SGI Commodities Optimix B Series ER Index Rules

The following amendment has been made on the SGI Commodities Optimix B Series ER Index Rules:

- Modification of parts 1.1. Index Description and 1.3. Yearly Review to clarify the methodology of the index.

This is effective on May 2nd 2018.