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SGI US Put Selling 1Y 65% Index

Index level: 1013.15 as of 12/08/2020

Main characteristics

Bloomberg Code SGMDBTPU
Inception Date 28/03/2019
Return Type Excess Return
Currency USD
Calculated By S&P Dow Jones

Objective

The SGI US Put Selling 1Y 65% Index on 28th March 2019 is designed to track the performance of a hypothetical portfolio of short listed put option positions  on the S&P 500 Price Return Index  as further described below.
The Index is created as the dedicated underlying to a swap and is not meant to be used otherwise.

The Index is calculated and published by Stoxx Limited . Société Générale S.A. as Index Sponsor has delegated responsibility for the calculation and publication of the Index to the Index Calculation Agent. The Index Sponsor shall remain responsible for the actions and omissions of its appointees and delegates, including the Index Calculation Agent.

Mechanism

The Index is a self-financed strategy composed of:
- the mark-to-market of the Option Portfolio,
- a cash component that accounts for the Option premiums, Option payoffs and the reset amounts paid on a quarterly basis. Such cash component accrues a daily interest at the Fed Fund overnight rate, and
- a reset component that reflects the cumulative reset amounts related to the Swap.

The Option Portfolio consists of Put Options deemed sold on a daily basis on the Option Underlying Index according to a systematic methodology as described further in the Index Rules.


The SGI US Put Selling 1Y 65% Index (the “Index”) is calculated and maintained by STOXX Limited, Zurich Switzerland, specifically for SG. Index calculation and dissemination is susceptible to errors, interruptions and delays.

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