AXI calculated and published by Invesco Indexing can aid USD LIBOR transition in loan markets
ATLANTA and NEW YORK, July 25, 2022 /PRNewswire/ -- Today Invesco Indexing LLC, an independent index provider owned by Invesco, Ltd. (NYSE: IVZ), and SOFR Academy, Inc., a digital education and data provider, announce the official launch of the first-of-their-kind USD Across-the-Curve Credit Spread Indices ("AXI") and USD Financial Conditions Credit Spread Indices ("FXI").
The AXI and FXI indices were developed in partnership between Invesco Indexing and SOFR Academy, Inc. SOFR Academy provides financial education and differentiated market data to empower corporations, financial institutions, governments, and individuals to make better decisions. SOFR Academy is driving the operationalization of AXI and FXI as credit spread add-ons for SOFR for use in lending and derivative markets.
The AXI and FXI indices are forward-looking credit spread indices designed to work in conjunction with the Secured Overnight Financing Rate (SOFR). AXI and FXI work to form a credit-sensitive interest rate when used in combination with Term SOFR, Simple Daily SOFR, SOFR compounded in arrears, or SOFR Averages.
"According to the LSTA, there continues to be a lack of consensus on credit spread adjustments for new SOFR based loans. Now that sustained SOFR-linked markets have developed with a sufficient level of liquidity, we believe that now is an appropriate time to introduce a credit spread supplement for SOFR in response to market demand," said SOFR Academy Chief Executive Marcus Burnett. "Many banks are experiencing challenges with implementing CSAs, from trying to focus on simply securing a renewal in a competitive market, to ensuring the borrower is treated fairly, to not yet having internal consensus on the bank's policy for how to account for CSAs. AXI will help solve this problem," added Burnett.
AXI is a weighted average of the credit spreads of unsecured bank funding transactions with maturities out to multiple years. FXI is an extension of AXI that incorporates data based on transactions of both financial and non-financial corporate debt instruments and is approximately 500% more robust. The Invesco AXI methodology document is available here.
AXI and FXI are calculated daily and published at approximately 9 AM ET, using the prior day's transaction data, on a T+1 basis. The indices will be accessible via market data providers and will be posted publicly on www.invescosofracademyaxi.com. All-in benchmark rates will be calculated and published where across-the-curve credit spreads are combined with variations of SOFR, including a variation of SOFR plus AXI ('SOFRx') and a variation of SOFR plus FXI ('SOFRy').
To request information, submit questions, provide feedback, or view licensing documentation please email [email protected].
Invesco Indexing LLC is an independent index provider owned by global asset manager Invesco Ltd. Invesco Indexing develops and administers a wide array of equity, fixed income, and multi-asset indices. These indices provide market exposures for both local and global markets, offering a full range of strategies. Invesco Indexing's full range of indices are constructed by experienced investment professionals and are designed to help clients meet specific financial objectives. As of December 31, 2021, Invesco Indexing administered over 180 indexes with $15.4 billion in associated assets. Invesco is not affiliated with SOFR Academy. For more information, visit www.invescoindexing.com
SOFR Academy is a member of the American Economic Association (AEA), the Loan Syndications and Trading Association (LSTA), the International Swaps and Derivatives Association (ISDA), the Asia Pacific Loan Market Association (APLMA), the Bankers Association for Finance and Trade (BAFT) which is a wholly owned subsidiary of the American Bankers Association (ABA) and the U.S. Chamber of Commerce. For more information, please visit www.SOFR.org.
Invesco Ltd. is a global independent investment management firm dedicated to delivering an investment experience that helps people get more out of life. Our distinctive investment teams deliver a comprehensive range of active, passive and alternative investment capabilities. With offices in more than 20 countries, Invesco managed US$1.6 trillion in assets on behalf of clients worldwide as of March 31, 2022. For more information, visit www.invesco.com.
SOURCE Invesco Ltd.; SOFR Academy, Inc.