Across-the-Curve Credit Spread Index (AXI)
SOFR Academy supports the Secured Overnight Financing Rate (SOFR). In the long run, we also support a menu that includes dynamic credit spread add-ons to SOFR, such as the Across-the-Curve Credit Spread Index (AXI). AXI is a measure of the recent cost of debt funding for U.S. bank holding companies and their commercial banking subsidiaries. Unlike SOFR, which is based on risk-free repo rates, AXI retains a credit risk component. As such, AXI can be added to SOFR to form a credit-sensitive interest rate benchmark for loans, derivatives, and other products. AXI is not based on the short-term bank funding markets that once underpinned LIBOR.
AXI was one of the few indices discussed at the Credit Sensitivity Workshops convened by the Federal Reserve Bank of New York for LIBOR transition. AXI was created jointly by Professor Antje Berndt, Professor Darrell Duffie and Dr Yichao Zhu.
Have a question about AXI? Email us [email protected]
AXI Educational resources –
- NEW! The Case For An Across-the-Curve Credit Spread: Transitioning From LIBOR Sustainably
- User friendly Infographic: Across-the-Curve Credit Spread Index (AXI)
- AXI – Frequently Asked Questions
- Educational Video: Across-the-Curve Credit Spread Index (AXI)
- Oliver Wyman webinar replay – LIBOR Transition: Looking Forward
- Federal Reserve Bank of New York: Credit Sensitivity Group Workshops
- Stanford Business School: Across-The-Curve Credit Spread Indices by Antje Berndt, Darrell Duffie, Yichao Zhu
- Risk.net article: “Stanford’s Duffie Shakes Up SOFR Credit Race With AXI Index”
- Press release: SOFR Academy announces its intention to publish the Across-the-Curve Credit Spread Index, also known as ‘AXI’
- LSTA | LIBOR transition: CFA covers “sensitive” subject
- Western Asset Management Company | LIBOR Transition Update – When Does the New Term Begin?