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Amendments on the Index Rules of SGIXU05S, SGIXU07S, SGIXU10S, SGIXU15S, SGIXU20S, SGIXU30S

13

OCT
2020

On 19 th October 2020, USD discounting conventions applied by majors CCP will change, with SOFR replacing EEFFR as the new standard. Cleared Interest Rates USD Swaps will be compensated by the CCP.Accordingly, Société Générale as Index Sponsor will adjust the Index Rules of the following indices to use SOFR discounting and to reflect a full compensation of swaps:

  • SGIXU05S
  • SGIXU07S
  • SGIXU10S
  • SGIXU15S
  • SGIXU20S
  • SGIXU30S

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