USD Libor Transition News

18

AUG
2022
LINK_LABEL

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 of the below indices to replace USD LIBOR with corresponding USD RFR and RFR swap (adjusted for economic equivalence).

SGIXDF04 / SGIXDF05 / SGIXDF06 / SGIXDF07 / SGDFRESJ / SGDFWLJY / SGDFVAUS / SGDFVAAU / SGMD1312 / SGMD1403 / SGMD1406 / SGMD1409 / SGMD1412 / SGMD1503 / SGMDCALU / SGMDCALA / SGFI5US / SGFI5AU.

Below is the summary of the changes. For the avoidance of doubt, one index may be affected by only one or more changes depending on the rates used in the respective methodology. For more specific inquiries and updated version of specific index rules, please feel free to reach out to the Index Sponsor.

·         The 3 month USD LIBOR rate (US0003M Index) is replaced by United States Secured Overnight Financing Rate (SOFRRATE Index) + 0.26%.

·         The 5 years index swap rate for USD (USSW5 CMPN Curncy)  is replaced by the 5 years overnight index swap rate for USD (USOSFR5 CMPN Curncy) + 0.26%.

·         The 10 years index swap rate for USD (USSW10 CMPN Curncy)  is replaced by the 10 years overnight index swap rate for USD (USOSFR10 CMPN Curncy) + 0.26%.

Such changes are effective as of the close of 31 st August 2022.