AXI calculated and published by Invesco Indexing is used in conjunction with SOFR to aid USD LIBOR transition.
NEW YORK, September 1, 2022 –10:05AM EST–(BUSINESS WIRE)– Today SOFR Academy, Inc., a digital education and market information provider, announced that first-of-their-kind USD Across-the-Curve Credit Spread Indices (“AXI”) and USD Financial Conditions Credit Spread Indices (“FXI”) are now available via data redistributors Bloomberg and Refinitiv.
“We are pleased that the Invesco AXI reference rates family of benchmarks are now widely available via market leading data providers”, said Marcus Burnett, chief executive of SOFR Academy.
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. “SOFR can and should be at the core of the United States financial system. Whenever a loan is indexed to AXI or FXI, it would also reference SOFR.” added Burnett. The AXI and FXI indices were developed in partnership between Invesco Indexing LLC, an independent index provider owned by Invesco, Ltd. (NYSE: IVZ), and SOFR Academy, Inc.
Invesco AXI reference rates are computed from a sufficiently large pool of market transactions so that they can underly actively traded derivatives instruments used by banks and their borrowing customers to hedge their floating-rate exposures, without significant risk of statistical corruption or manipulation. The indices maintain their hedge effectiveness and robustness over time and can be reliably computed in all economic conditions, including in times of market stress.
“We are pleased that the Invesco AXI reference rates family of benchmarks are now widely available via market leading data providers. ”– Marcus Burnett, chief executive of SOFR Academy
Invesco AXI reference rates automatically adapt to future changes in bank funding composition ensuring their representativeness and robustness are sustained through time. The indices work in conjunction with SOFR, which was identified by the Alternative Reference Rates Committee as its recommended alternative to US-Dollar LIBOR, and are suitable for usage in a wide variety of products. This is consistent with the approach outlined in a letter to U.S. market regulators by a group of ten U.S. Regional banks.
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. Market data vendor ticker codes can be downloaded here and the Invesco AXI methodology document is available here. AXI and FXI historical data is available back to 2016.
AXI and FXI are calculated daily and published at approximately 9 AM ET, using the prior day’s transaction data. The indices are accessible via market data providers and are posted publicly on www.invescosofracademyaxi.com. All-in benchmark rates are calculated daily 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’). AXI license fees are being waived for market data vendors and redistributors. License fees are also being waived for market regulators, central banks and multilateral development banks.
To request historical data or transaction volumes, submit questions, or view licensing documentation please email [email protected].
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, the University of Oxford, London Business School and Tsinghua University, as well as experienced sales and trading professionals. SOFR Academy is also driving the operationalizing of AXI and FXI as credit spread add-ons to near risk-free rates 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 www.SOFR.org.
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