Across-the-Curve Credit Spread Index (AXI)™

SOFR Academy supports the Secured Overnight Financing Rate (SOFR). In the longer run, we also support a menu that includes dynamic credit spread add-ons to SOFR, such as the AXI. The index is a weighted average of the credit spreads of unsecured bank funding transactions with maturities out to five years, with weights that reflect both transactions volumes and issuance volumes.

AXI is calculated as one number that is then scaled down to standard tenors, e.g. overnight, 1-month, 3-months, 6-months etc. AXI can be added to SOFR, for example, CME Term SOFR, simple daily SOFR, SOFR compounded in arrears, or other SOFR variants, to form a credit-sensitive interest rate benchmark for loans and eventually derivatives, and other products. AXI is not based on the short-term bank funding markets that once underpinned LIBOR. The Financial Conditions Credit Spread Index (FXI)TM is an extension of AXI that incorporates data based on transactions of both financial and non-financial corporate debt instruments and is approximately 500% more robust. SOFR plus a robust across-the-curve credit spread is referred to as SOFRx.

AXI & FXI were 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 of Australian National University (ANU), Professor Darrell Duffie of Stanford University and Dr Yichao Zhu also of ANU.

Have a question about AXI? Email us [email protected]