SOFR Academy Engages Invesco Indexing as Index Provider of Across-the-curve Credit Spread Index (AXI)

Rhea-AI Summary

SOFR Academy has partnered with Invesco Indexing to launch the Invesco / SOFR Academy Across-the-Curve Credit Spread Index (AXI). This collaboration aims to ensure compliance with high industry standards for financial benchmarks. The AXI will aid market participants in transitioning to a SOFR-based lending market and assist banks in managing funding mismatches. Calculated daily from prior day transactions, the index represents unsecured bank funding transactions up to five years. Invesco Indexing, a recognized benchmark administrator, will manage and publish AXI.

Positive

• Partnership with Invesco Indexing enhances AXI's credibility as a financial benchmark.
• AXI aims to facilitate a smooth transition to SOFR-based lending, potentially increasing market adoption.

Negative

• None.

NEW YORK--(BUSINESS WIRE)-- SOFR Academy, Inc., a leading financial education, and market data provider, today announced that the Firm has engaged with Invesco Indexing LLC as the index provider of the Invesco / SOFR Academy Across-the-Curve Credit Spread Index (AXI). Invesco Indexing is a recognized benchmark administrator by both the Central Bank of Ireland and the United Kingdom’s Financial Conduct Authority under EU Benchmark Regulation (BMR).

“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.

About AXI

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.

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Media

For SOFR Academy

Jorge Cosano-Martinez

Tel: +1 855 236 6106

press@SOFR.org

Source: SOFR Academy, Inc.

FAQ

What is the Invesco / SOFR Academy Across-the-Curve Credit Spread Index (AXI)?

AXI is a credit spread index developed to support the transition to SOFR-based lending, calculated daily from unsecured bank funding transactions.

Who is the index provider for AXI?

Invesco Indexing LLC has been engaged as the index provider for the AXI.

How often will AXI be published and when?

AXI will be published daily at 8 AM ET using the prior day's transaction data.

What are the benefits of the AXI for market participants?

AXI provides transparency and certainty needed for new loan contracts, helping banks manage funding mismatches.

What is the significance of the AXI's launch for SOFR transition?

The AXI launch is crucial for supporting the industry’s transition from LIBOR to SOFR, addressing credit-sensitive interest rates.