“This collaboration will ensure that AXI is managed by an index provider that follows the highest industry standards and operates in alignment with the globally agreed and recognized IOSCO Principles for Financial Benchmarks,” said Marcus Burnett, Chief Executive Officer of SOFR Academy. “AXI’s launch will provide market participants with the transparency and certainty needed for new loan contracts to support a smooth transition to a SOFR based lending market in the United States. It will also help banks manage potential funding mismatches and conduct risks. We are delighted to be partnering with Invesco.”
Andrew Waisburd, Head of Invesco Indexing, commented, “We are pleased to be selected by SOFR Academy to play this important role. Our indexing capabilities and deep history in the fixed income markets position us well to manage robust and sustainable forward-looking credit spreads as the administrator of AXI. We value the opportunity to offer SOFR Academy a solution to support the industry’s LIBOR transition needs.”
SOFR Academy conducted a Request for Proposal (RFP) in 2021 to identify an index provider for the Across-the-Curve Credit Spread strategy to meet market demand for a robust credit sensitive supplement to SOFR. The USD Invesco / SOFR Academy Across-the-Curve Credit Spread Index will be calculated daily and published at 8 AM ET, using the prior day’s transaction data, on a T+1 basis. Prospective licensees of AXI should email IndexSupport@invesco.com.
AXI is a robustly defined forward looking credit spread index that may be used in conjunction with SOFR, CME Term SOFR, simple daily SOFR, SOFR compounded in arrears, or other SOFR variants to form a credit sensitive interest rate. AXI is simply a weighted average of the credit spreads of unsecured bank funding transactions with maturities out to five years, with weights that reflect both transactions volumes and issuance volumes. AXI was conceived in an academic paper by Finance Professor Antje Berndt of Australian National University (ANU), Professor Darrell Duffie who is the Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business, and Dr Yichao Zhu, also of ANU, to assist with US-dollar LIBOR transition. Additional information about AXI, as well as prototype spreads, can be found at: SOFR.org/AXI
About Invesco Indexing
Invesco Indexing, LLC is an independent index provider owned by Invesco Ltd. (NYSE: IVZ). Invesco Indexing develops and administers a wide array of equity, fixed income, and multi-asset indexes. These indexes provide exposure that ranges from local to global and represent strategies from straightforward to sophisticated. Invesco Indexing’s full range of indexes 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.
About SOFR Academy
SOFR Academy, Inc. provides financial education and market data to empower corporations, financial institutions, governments, and individuals to make better decisions. The Firm’s panel of advisors includes academics from Harvard University, the University of California Berkeley, New York University, Oxford University and Tsinghua University, as well as experienced financial services professionals. SOFR Academy is also driving the operationalizing of AXI and FXI as credit spread add-ons for SOFR for use in lending and derivative markets. 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 (USCC). For more information, please visit SOFR.org.