Replacement of the USD 3-M LIBOR in the Alfa Quality Select Long Short ER USD, Alfa Capital Artificial Intelligence Strategy V7 Index | 2023-04-27

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.
• One of such indices were the Alfa Quality Select Long Short ER USD, Alfa Capital Artificial Intelligence Strategy V7 Index (“the indexes“).

Announcement

As of 10^th May, the index 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.