Replacement of the USD 3-M LIBOR in the AI Powered US Equity Index, AI Powered Equity Index 6 (USD) Excess Return, AI Powered Multi-Asset Index | 2023-03-30

Background

• On the 3d of December 2021, Solactive announced the results of its market consultation regarding the accelerated replacement of USD term LIBORs and the usage of the ISDA fallback spread adjustments in Solactive administered indices. The announcement can be found at the following link

https://www.solactive.com/response-to-the-market-consultation-regarding-the-accelerated-replacement-of-the-usd-term-london-inter-bank-rates-and-the-usage-of-the-isda-fallback-spread-adjustments-in-solactive-administered-indice/

• In that announcement we highlighted that for a small number of indices, market participants and stakeholders had expressed concerns with regards to the implementation on the accelerated replacement and that in these cases, these replacements would be considered at a later date.
• Among such indices were the the AI Powered US Equity Index, the AI Powered Equity Index 6 (USD) Excess Return and the AI Powered Multi-Asset Index (“the indexes“).

Announcement

As of 5^th April 2023, the indexes will switch the currently used rate of USD 3-M LIBOR to  SOFR + a spread adjustment of 0.26161%, in line with its methodology for Solactive administered indices.