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Amendments on the Index Rules of SGBVVRRE and SGBVVR02 and of the Objective Pricing Methodology

21

JUL
2020

On 27 th July 2020, EUR discounting conventions applied by majors CCP will change, with €STR replacing EONIA as the new standard. Cleared Interest Rates EUR Swaps will be compensated by the CCP, and the ECB recommended EUR swaptions to be cleared too.

 

Accordingly, Société Générale as Index Sponsor will adjust the Objective Pricing Methodology and the Index Rules of the following indices to use €STR discounting and to reflect a full compensation of swaps and swaptions, and to use €STR instead of EONIA for the compounding of the cash:

  • SGBVVR02

  • SGBVVRRE

 

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