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Index Rules Amendment linked to transition from JPY 3M LIBOR to Risk Free Rate

29

OCT
2021

Following changes will be made in the index rules of SG Japan Quality Income Beta Adjusted Index (SGQJEBA) and SG Japan Quality Income Premium Index (SGQJEBAP):

  • Rate will be switched from 3-month JPY interbank offered rate (JY0003M) to the unsecured JPY overnight call rate (MUTKCALM) i.e. the risk free rate.
  • The Index Level formula for SG Japan Quality Income Beta Adjusted Index will be updated to adjust to reflect (i) the ISDA official spread for 3M JPY LIBOR v/s the risk free rate, and (ii) the day count fraction of the risk free rate.
  • The Cash Asset Level formula for SG Japan Quality Income Premium Index will be updated to adjust to reflect (i) the ISDA official spread for 3M JPY LIBOR v/s the risk free rate, and (ii) the day count fraction of the risk free rate.

 

Such changes will be effective from 3 rd December 2021 (for the avoidance of doubt, will start to impact index level only from 6 th December 2021)

 

An updated version of the Index Rules is available upon request to the Index Sponsor.