Replacement of the USD 3-M LIBOR in the HSBC Vantage+ Index (USD) Excess return | 2022-07-11

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 was the HSBC Vantage+ Index (USD) Excess return (“the index“).

Announcement

As of 15^th July 2022, 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.