Invesco Indexing Consultation on Proposed Changes to the Index Methodologies for the Invesco / SOFR Academy USD Across-the-Curve Credit Spread Index (AXI) and the Invesco / SOFR Academy USD Financial Conditions Credit Spread Index (FXI)

June 24, 2025

Invesco Indexing is initiating a consultation regarding a potential change to the Index Methodology Documents for the Invesco / SOFR Academy USD Across-the-Curve Credit Spread Index (AXI) and the Invesco / SOFR Academy USD Financial Conditions Credit Spread Index (FXI).

Following further research, Invesco Indexing proposes the following updates to the tenor calculations of both the AXI and FXI indexes.

For each tenor, pursuant to the DTCC transactions with maturities as shown below in each week for the past 3 years, calculate the volume weighted average spread. For each of the tenors stated below, calculate the average unscaled AXI/FXI during each corresponding week.

Tenor	Minimum Days	Maximum Days	Comment
1-month	15 days	45 days	+/- 15 days around 30-days target
3-months	75 days	105 days	+/- 15 days around 90-days target
6-months	165 days	195 days	+/- 15 days around 180-days target
12-months	330 days	390 days	+/- 15 days around 360-days target

Calculate a ratio of the short- term tenor spread described above, divided by the unscaled AXI/FXI
Calculate this ratio for all weeks over a 3-year period and calculate the average ratio
The new term AXI/FXI is calculated as the latest unscaled AXI/FXI multiplied by the average ratio described above
The Daily Treasury Par Yield Curve will be replaced with the Daily Treasury Bill Rates as published by the U.S. Department of the Treasury for the term rate calculations

We invite interested stakeholders to contact us, to either adopt the changes as proposed, maintain the current disclosures, or otherwise adjust the index methodologies, by contacting us at IndexSupport@Invesco.com. The deadline to respond to this consultation is July 22, 2025.