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Amendments on the Index Rules of SGBVEVRR, SGBVRRU1, SGBVRRU2, SGBVRRU3, SGBVRRU4

13

OCT
2020

On 19 th October 2020, USD discounting conventions applied by majors CCP will change, with SOFR replacing EFFR as the new standard. On 27 th July 2020, EUR discounting conventions applied by majors CCP also changed, with €STR replacing EONIA as the new standard.

Accordingly, Société Générale as Index Sponsor will adjust the Index Rules of the following indices to adjust the rates used for the compounding and detrend:

  • SGBVEVRR
  • SGBVRRU1
  • SGBVRRU2
  • SGBVRRU3
  • SGBVRRU4

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