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Amendments on the Index Rules of SGBVVRRU, SGBVVR01 and IND1LFRV and of the Objective Pricing Methodology

13

OCT
2020

On 19 th October 2020, USD discounting conventions applied by majors CCP will change, with SOFR replacing EFFR as the new standard. Cleared Interest Rates USD Swaps will be compensated by the CCP

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

  • SGBVVR01
  • SGBVVRRU
  • IND1LFRV

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