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Index Rules Amendment linked to the discontinuation of LIBOR – USD Swaption based Indices

26

JAN
2022

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 swaps and swaptions by USD SOFR swaps and swaptions for the computation of the indices below. Such change is effective on January 26 th, 2022 (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 (index tickers) :

 

Ticker
IND1LFRV
SGBVEVRR
SGBVRRU1
SGBVRRU3
SGBVVR01
SGBVVRRU
SGIXEVR1
SGIXEVR2
SGIXEVR3
SGIXVOUE
SGIXVR2U
SGIXVR3U
SGMDCHRR
SGMDVR2J