Invesco Indexing is conducting a consultation on proposed replacement rates for USD London Interbank Offered Rate (“LIBOR”) and London Interbank Bid Rate (“LIBID”) used in select Invesco Indexing indexes. The consultation will run through November 30th, 2021 at which time, having received stakeholder feedback, Invesco Indexing will publish conclusions from the consultation.
Earlier this year the Financial Conduct Authority (FCA) announced dates on which panel bank submissions for LIBOR settings will cease, after which LIBOR rates will no longer be available. As a result, Invesco Indexing is seeking feedback on the potential use of alternative reference rates. USD LIBOR and LIBID rates are currently used for excess return calculations and for the reinvestment rate of return for certain sources of cash, respectively. Details on the use case by index and the proposed reference rate replacement are listed at the end of this consultation. The proposed alternative reference rates are the Secured Overnight Financing Rate (“SOFR”), Euro Short-Term Rate (“ESTR”), and Tokyo Overnight Average Rate (“TONA”). The proposals can be categorized as follows:
Invesco Indexing welcomes your feedback on these proposals through Tuesday November 30th. If adopted, updates to reference rates used within Invesco indexes would be implemented after the close of business on December 31st, 2021.
To share your preference for these options, or provide additional feedback, please contact Invesco Indexing at IndexSupport@invesco.com.
A summary of the proposed changes by index is provided below:
Index Name | Ticker |
How Current Reference Rate Is Applied |
Current |
Proposed Reference Rate |
Invesco Euro Corporate Bond Index |
IIZIC |
Reinvestment Rate |
1 Month USD LIBID |
ESTR |
Invesco Euro Corporate ex-Subordinated & Financials Bond Index |
IIZICX |
Reinvestment Rate |
1 Month USD LIBID |
ESTR |
Invesco Euro Liquid Corporate Bond Index |
IIZILC |
Reinvestment Rate |
1 Month USD LIBID |
ESTR |
Invesco Euro Liquid Corporate ESG Bond Index |
IIZILEC |
Reinvestment Rate |
1 Month USD LIBID |
ESTR |
Invesco Peak Index |
IIPEAK |
Excess Return Calculation |
3 Month LIBOR |
SOFR |
Invesco Developed Markets ex-Japan Sovereign Bond Index |
IIDKSBHY |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco Global Broad Bond Index |
IIGIB |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco Global ex-Japan Environmental Stewards Corporate Bond Index |
IIGKESY |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco Global ex-Japan Green Horizons Bond Index |
IIGKGHY |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco Investment Grade Defensive Index |
IIIGD |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco Investment Grade Value Index |
IIIGV |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco US Broad Bond Index |
IIUIB |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco US Fixed Rate 30-Year MBS Index |
IIUSMBS |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco US High Yield Corporate Bond Index |
IIDUHC |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco US Liquid Corporate Bond Index |
IIUILC |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco US Liquid Corporate ESG Bond Index |
IIUILEC |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco US Treasury 10-30 Years Index |
IIUSTYLT |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco US Treasury 1-3 Years Index |
IIUSTYST |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco USD Broad Emerging Markets Government Bond Index |
IIBEGB |
Reinvestment Rate |
1 Month USD LIBID |
SOFR |
Invesco JGB Index |
IIJGBY |
Reinvestment Rate |
1 Month USD LIBID |
TONA |