SGI VR 10Y20Y EU Index - Vol on Rates (EUR - Total Return)

Index level: 901.402 as of 03/02/2023
BENCHMARK ANNEX

Graph

Historical data
For comparison purpose Index level basis 100 as of —

Statistics

1 M 6 M YTD 1 Y 3 Y
Cumulative Performance -5.36 % +1.09 % -5.36 % +9.36 % +8.80 %
Annualized Performance +9.36 % +2.85 %
Annualized Volatility +7.38 % +9.75 % +7.38 % +9.58 % +8.88 %
Sharpe Ratio -- --
Max Drawdown -4.86 % -8.80 % -4.86 % -8.80 % -12.19 %

The SGI VR 10Y20Y EU Index - Vol on Rates (EUR - Total Return) has been calculated since 30/10/2018.
THE FIGURES RELATING TO PAST PERFORMANCES AND SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.

The SGI VR 10Y20Y EU Index (the “Index”) is the exclusive property of Societe Generale. Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Level at any time or in any other respect.

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Linked news

21 JUL 2020
Amendments on the Index Rules of SGBVVRRE and SGBVVR02 and of the Objective Pricing Methodology

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.
18 DEC 2020
Index Rules Amendment (SGBVVRRE – SGBVVR02 – SGIXE05S – SGIXE07S – SGIXE10S – SGIXE15S – SGIXE20S – SGIXE30S)

The Index Rules of the following indices have been amended to add holidays (24 December and 31 December):

  • SGBVVRRE
  • SGBVVR02
  • SGIXE05S
  • SGIXE07S
  • SGIXE10S
  • SGIXE15S
  • SGIXE20S
  • SGIXE30S

 

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