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 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 Professors Antje Berndt, Darrell Duffie and Yichao Zhu. SOFR Academy is the exclusive global publisher of AXI.
- Educational Video: Across-the-Curve Credit Spread Index (AXI)
- 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’