News

Following the approval of its internal index committee, Société Générale, as Index Sponsor, has decided to update the Index Rules of EUR & USD Swaps and Swaptions based indices to amend the way rates data are retrieved for the calculation of the Index Levels. The new methodology will no longer rely on bespoke files being delivered by the data provider, but will instead request intraday rates from the data provider using predefined snapshots intervals as the data provider has informed Société Générale that it will stop delivering bespoke files. Further information on these changes is available in the Index Rules of the relevant indices and upon request to the Index Sponsor.

Such change will be effective on 8 February 2023 (included).

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

Following the approval of its internal index committee, Société Générale, as Index Sponsor, has updated the Index Rules of SGIXFV Index to correct a typo.

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

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).

SGMDVA10/SGMDVA15/SGIXMS03

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%.

Such changes are effective as of the close of 18 ^st November 2022.

The Index Rules of the SGBVVVRRE Index have been amended on October 6 ^th, 2022 in order to correct a typo and add disclaimers. An updated version of the Index Rules is available upon request to the Index Sponsor. 

On the 26 ^th of August 2022, “LANNCPB SS Equity” -  the underlying of the SG Val Lannebo Bond VT 1.5 Index (Index ticker: SGKM1662) - was acquired by Lannebo Sustainable Corporate Bond: “LANNSCB SS Equity” with a R factor of 1.163986 per 1.

Following this corporate action, with an effective start date of the August 26 ^th 2022, Société Générale as Index Sponsor have decided to use “LANNSCB SS Equity” as the underlying of the SG Val Lannebo Bond VT 1.5 Index by applying a R factor of 1.163986.

On the quarterly rebalancing of the SGI Ethical Efficient Europe 30 Price Index “SGMDEEPR” dated September 5 ^th 2022, a stock (XLON: MGGT; MGGT LN Equity) with an upcoming corporate action was selected by the index rules-based algorithm. Due to the corporate action, the stock can’t be kept in the composition of the Index.

As per index Rules, the index needs to be composed of 30 stocks. To stay in line with Index Rules, Societe Generale as Index Sponsor has instructed S&P Dow Jones as Index Calculation Agent to remove the stock from the starting universe and re-run the algorithm on the resulting starting universe to select 30 stocks”

In light of the Mourning Day in the UK, 19 September 2022 is no longer a Calculation Date for the indices below. As a result, expiries of options occurring on those dates have been moved to the next Scheduled Calculation Date.

• IND1LFRV
• SGIXVR2U
• SGIXVR3U
• SGMDV25T

In light of the Mourning Day in the UK, 19 September 2022 is no longer a Calculation Date for the indices below. As a result, the roll date of the swaps has been moved to the preceding Calculation Date.

• SGIXG05S
• SGIXG10S
• SGIXG20S
• SGIXH05S
• SGIXH10S
• SGIXH20S
• SGIXU05S
• SGIXU07S
• SGIXU10S
• SGIXU15S
• SGIXU20S
• SGIXU30S

After instruction from Societe Generale as Index Sponsor, Solactive A.G as Index Calculation Agent has not restated the index level of 8 ^th September 2022 following the restatement of the NAV of an underlying fund. The official index level therefore remains 956.43 instead of 956.34 if the underlying fund restated NAV had been taken into account.

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.

Effective from 18 July 2022, with respect to the SGI 7x Daily Leveraged Index on MSCI Singapore Index (SGIXSP7L) , the SGI 5x Daily Leveraged Index on MSCI Singapore Index (SGIXSP5L), the SGI -7x Daily Inverse Index on MSCI Singapore Index (SGIXSP7S) and the SGI -5x Daily Inverse Index on MSCI Singapore Index (SGIXSP5S), the Opening Time will be amended to 8:30 AM Singapore Time for the purpose of the real-time calculation as well as built-in Air Bag Mechanism in order to take into account the pre-opening session of the Singapore Exchange listed constituents of the Underlying Indices.

For any further question, do not hesitate to reach out to us.

In light of Juneteenth holidays, 20 June 2022 and 19 June 2023 are no longer Calculation Dates for the indices below. As a result, expiries of options occurring on those dates have been moved to the next Scheduled Calculation Date.

• IND1LFRV

• SGIXVR2U

• SGIXVR3U 

Following a periodic review, and in light of the recent disruptions on the nickel market traded on the London Metals Exchange (LME), Societe Generale as Index Sponsor has amended the Index Rules of the SGI Commodity Trend Following Index <SGIXTFCY Index> to handle rebalancings on underlying index components affected by a Commodity Disruption Event. In line with market practice, the amendment will ensure the index keeps the quantity rebalanced on affected components unchanged from the previous day, with no further impact on unaffected components. The change is implemented on a going-forward basis, effective Monday 23 May 2022. 

Following a periodic review, and in light of the recent disruptions on the nickel market traded on the London Metals Exchange (LME), Societe Generale as Index Sponsor has amended the Index Rules of the <SGCOCRSX Index> to align the treatment of the March 2022 Commodity Disruption Events on nickel in the index to that of its Benchmark Index, the BCOM Roll Select <BCOMRS Index>. The amendment specifically seeks to reference the Applied Roll Percentages (ARP) of the Benchmark Index rather than recompute them, such as to avoid future tracking errors.

Following a periodic review, Societe Generale as Index Sponsor has amended the Index Rules of the <SGCOS14E Index> to disambiguate the monthly implementation of the Commodity Index Multipliers along with the monthly futures’ roll. This amendment has no impact on historical or future index levels. 

Societe Generale as Index Sponsor has decided to amend the index rules of the below indices (the “Indices”) to fix an ambiguity on the Contract Settlement Levels to use for a commodity when its exchange was closed on a Calculation Date for the Index. The Index will use the last published Contract Settlement Level for this commodity.

Impacted indices: SGCOP04T, SGCOA1CE, SGCOM11S, SGCOK26S, SGCOL36S

Societe Generale as Index Sponsor has decided to update the methodology of SGIXPA Index to reference explicitly the optimization program used in the rebalancing process. The Index Level will be determined based on this new version of the Index Rules from April 18th, 2022 (included) onwards and will not affect past composition.

The London Metals Exchange (LME) suspended trading in nickel contracts on 8 March 2022. While the exchange reopened the nickel market on 16 March, the LME introduced new daily up and down price limits. Since reopening, and as of writing, the nickel market settled at these limits for 6 days. Finally, trading activity (measured by traded volumes) across the nickel curve has fallen significantly (<45% of the 2021 average) in the days immediately following the reopening.

In light of these market conditions, and in its capacity as Index Sponsor, Societe Generale as Index Sponsor has instructed the Calculation Agent of the below indices to consider the nickel market as being exceptionally affected by a Commodity Disruption, with effect starting on 31 March 2022. As such, and in line with the SGI Global Methodology, Societe Generale has also instructed the Calculation Agent of the below indices directly affected by the Commodity Disruption Event to suspend further rolls on nickel, and where applicable, rebalancings on nickel components.

Societe Generale has determined that the nickel market will need to settle unaffected by a price limit for 4 (four) consecutive days, and for the daily volume on the 3m forward LME contract (LMNIDS03 LME Comdty) to exceed 10,000 lots for each of those days prior to lifting the Commodity Disruption Event. Should these conditions fail to materialize by 18 April 2022, Societe Generale will host a new committee to reassess the situation. 

The indices directly affected by this Commodity Disruption Event include:

-              SGCOCOC2

-              SGCOCOC5

-              SGCOCOC7

-              SGCOCOEX

-              SGCOCOIM

-              SGCOA1CE

-              SGCOS14E

-              SGCORDNI

-              SGCORBDL

-              SGCORADL

-              SGCORBXL

The indices indirectly affected by this Commodity Disruption Event, include, amongst others:

-              SGICCODA

-              SGCODALS

-              SGCODALX

-              SGICODA6

-              SGICODAF

-              SGICODA5

-              SGCORBD

-              SGCORAD

-              SGCORBD5

-              SGCOS19E

-              SGCORBX

The publication of the NAV of an underlying fund of SGKMWDGA Index (the “Index”) was halted on 25 ^th February 2022 and has not resumed on April 6 ^th. As per the rulebook and the SGI Global Methodology referenced in it, Société Générale as Index Sponsor has considered the event as a Fund Disruption Event and has instructed the Index Calculation Agent to apply the below treatment:

• The Index is not calculated;
• Après la suspension de 5 jours consécutifs du calcul de l’Indice, le calcul de l’Indice reprend le 8 mars 2022, en utilisant la dernière NAV publiée du fonds pour le fonds suspendu. 

As announced by ISDA, rates inputs in EUR and USD, used in the ISDA CDS Standard Model, migrated to RFR (SOFR for USD, €STR for EUR) on 4 ^th April 2022.

This change applies to the following indices:

• SGIXCEIG
• SGIXCEXO
• SGIXCAIG
• SGIXCAHY

Following an operational issue, Societe Generale, as Index Sponsor, has instructed Solactive AG, as Index Calculation Agent, to restate the index levels of the Investir 10 - Grandes Valeurs from March 1st 2022 to March 8th 2022 included.For any question, feel free to reach out to the Index Sponsor at sgindex@sgcib.com.

To be in line with the industry-wide interest rate benchmark transition from Singapore Dollar Swap Offer Rate (SOR) to Singapore Overnight Rate Average (SORA) following the Monetary Authority of Singapore recognizing that SOR would be discontinued together with USD LIBOR at the end of 2021, Société Générale, as the Index Sponsor, will make the following changes in the Index Rules of the SGI Leveraged on MSCI Singapore Index Family (SGIXSP5L/SGIXSP5S/SGIXSP7L/SGIXSP7S):

1)Financing Rate i.e. Rate(t) will be to SORA(t-2) instead of SOR(t).

2)For the +5x and +7x Leveraged Indices (SGIXSP5L /SGIXSP7L), the Financing Spread will be fixed to 0.23%.

3)The SGI Global Methodology incorporated by reference will be updated to latest available version i.e. as of 20 July 2020. The SGI Global Methodology notable includes important events applicable in respect of the relevant Index Components.

Such changes will be effective on 7 ^th March 2022.

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

The rulebooks for SGMDMAP and SGMDMAPD indices have been updated.

The rulebook of SGMDEMER was updated to reflect a switch from EONIA to ESTER + ISDA official spread in the computation of the liquidity trigger.

The maturity of SGMDPRM3 was extended to the 4 ^th May 2022 and publication will resume.

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 and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agents to replace the current underlying SGI Indices that were using CHF LIBOR, EURIBOR, GBP LIBOR, JPY LIBOR and USD LIBOR and their related swaps by substitute underlying SGI Indices, with equivalent economic characteristics, that aren’t referencing CHF LIBOR, EURIBOR, GBP LIBOR, JPY LIBOR and USD LIBOR. Such change will be effective on December 29th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition ( https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition/). If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

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

Scope of indices:

SGIXBE3E

SGIXBE5E

SGIXBHE3

SGIXBHE5

SGIXBHU1

SGIXBS1U

SGIXBS3E

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 and substitute the LIBOR settings by the alternative rates that are adopted or in the course of being adopted by the financial markets. Société Générale will therefore direct the Index Calculation Agent to replace CHF LIBOR, GBP LIBOR, JPY LIBOR and USD LIBOR swaps by CHF, GBP, JPY and USD RFR swaps for the computation of the indices below. Such change will be effective on December 29 ^th, 2021 (included).

Please visit Societe Generale dedicated IBOR website for further information on the IBOR transition ( https://wholesale.banking.societegenerale.com/en/compliance-regulatory-information/general-disclosures/ibor-transition/). If you have questions relating to this communication please send to sgcib-regulatory-support.par@sgcib.com or to your usual contact at Société Générale Index.

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

Scope of indices:

SGIX3FVE

SGIX3FVT

As request by the sole client invested in the following indices, SG95CARI and SGMDCMA2, the 24 ^th Dec 2021 was deemed to be a calculation date for both mentioned indices and the respective rulebooks were amended to reflect this change. The sole client motivated his request by a need for his fund calendar to be aligned with the index calendar.