Invesco Indexing Consultation on Potential Replacement Rates ahead of the Cessation of LIBOR

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:

  • In fixed income indexes with only USD or multi-currency denominated constituents, SOFR is the proposed alternative reference rate,
  • In fixed income indexes with only EUR denominated constituents, ESTR is the proposed alternative reference rate,
  • For fixed income indexes with only JPY denominated constituents, TONA is the proposed alternative reference rate, and
  • For indexes utilizing 3 Month USD LIBOR as part of an excess return calculation, SOFR is the proposed alternative reference rate.   

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
Reference Rate

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 BulletShares® Municipal Bond Index Family1

-

Reinvestment Rate

1 Month USD LIBID

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

 

1 Includes the entire Invesco BulletShares® Municipal Bond Index Family:  2021 (IIBSMBL), 2022 (IIBSMBM), 2023 (IIBSMBN), 2024 (IIBSMBO), 2025 (IIBSMBP), 2026 (IIBSMBQ), 2027 (IIBSMBR), 2028 (IIBSMBS), 2029 (IIBSMBT),  2030 (IIBSMBU) and 2031 (IIBSMBV) Indexes