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

Invesco & SOFR Academy

The USD Across-the-Curve Credit Spread Indices (AXI) and the USD Financial Conditions Credit Spread Indices (FXI) were officially launched July 12th, 2022 and are published by recognized benchmark administrator Invesco Indexing LLC which is owned by American investment management firm Invesco Ltd (NYSE: IVZ). To submit questions or request licensing information please email [email protected].


Watch the ISDA Benchmark Strategies Forum held in New York >


ISDA Benchmark Strategies Forum which took place in New York on June 7, 2022



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 AXI. The index is simply 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 used in conjunction with SOFR, for example, CME Term SOFR, simple daily SOFR, SOFR compounded in arrears, or other SOFR variants, to form a credit-sensitive interest rate for loans and eventually derivatives, and other products. 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 in loan documentation. Any prospective user of AXI that would intend to also use CME Term SOFR in developing an interest rate for Cash Market Financial Products or OTC Derivative Products would require a license with CME Group for use of CME Term SOFR.

AXI & FXI were discussed at the Credit Sensitivity Workshops convened by the Federal Reserve Bank of New York for LIBOR transition. AXI was conceived jointly by Professor Antje Berndt of Australian National University (ANU), Professor Darrell Duffie of Stanford University and Dr Yichao Zhu also of ANU. Professor Duffie Chaired the Market Participants Group in 2014 which was established by the Financial Stability Board (FSB) whose Secretariat is located in Basel, Switzerland, and hosted by the Bank for International Settlements. The resulting FSB review was carried out by a high-level Official Sector Steering Group (OSSG) of regulators and central banks and drew from an assessment of the major interest rate benchmarks against the internationally agreed and endorsed IOSCO Principles for Financial Benchmarks. SOFR Academy’s work is separate from but supportive of the Alternative Reference Rates Committee (ARRC).

For lenders, referencing AXI in a loan reduces conduct risks whilst manages potential funding mismatches. For borrowers, it enhances transparency and fairness. Whenever a loan is indexed to AXI it would also reference SOFR, so AXI’s launch promotes the adoption of SOFR. The latest AXI and FXI rates can be viewed here.

For questions and licensing information please contact [email protected]


Sign up for a consultation on AXI >

SOFR Academy, Inc. reserves all rights in the methodologies and outputs disclosed in this document, the white paper, the updates to the white paper and on SOFR Academy, Inc.’s website, and in the copyright in this document, the white paper, the updates and on SOFR Academy, Inc.’s website. None of these rights may be used without a written license from SOFR Academy, Inc. SOFR Academy, Inc. holds the exclusive word-wide rights to commercialize the intellectual property (IP) associated with Across-the-Curve Credit Spread Index (AXI) nor the Financial Condition Credit Spread Index (FXI), this includes but is not limited to the literary work, the algorithm / code, all trade secrets, know-how, trademarks, designs, copyright, whether or not registered or registrable or having to undergo any other process for grant, registration or the like.

In particular, AXI & FXI are not intended for use as, and SOFR Academy, Inc. expressly prohibits their use as, an index by reference to which the amount payable under a financial instrument or a financial contract, or the value of a financial instrument, is determined, or as an index that is used to measure the performance of an investment fund with the purpose of tracking the return of such index or of defining the asset allocation of a portfolio or of computing the performance fees. Such outputs may not be used as a benchmark within the meaning of the EU Benchmarks Regulation or otherwise.

The methodologies disclosed in this document, the white paper and the updates and on SOFR Academy, Inc.’s website are subject to changes in response to feedback from market participants and other stakeholders and SOFR Academy, Inc.’s further development work. These changes might alter the outputs shown in this document, the white paper, the updates and on SOFR Academy, Inc.’s website. There is no guarantee that SOFR Academy, Inc. will continue to test the Index, be able to source data to derive the Index or publish the Index in the future. Users of LIBOR should not rely on the potential publication of AXI & FXI when developing and executing transition or fallback plans.

None of SOFR Academy, Inc., any providers of data for the Index or any of its or their affiliates accepts any responsibility or will be liable in contract or tort (including negligence), for breach of statutory duty or nuisance or under antitrust laws, for misrepresentation or otherwise, for the information contained in this document, the white paper, the updates or on SOFR Academy, Inc.’s website, or any use that you may make of it. All implied terms, conditions and warranties and liabilities in relation to the information are hereby excluded to the fullest extent permitted by law. None of SOFR Academy, Inc., any data providers, or any of its or their affiliates excludes or limits liability for fraud or fraudulent misrepresentation, or death or personal injury caused by negligence.

Financial Industry Regulatory Authority, FINRA, Trade Reporting and Compliance Engine, and TRACE are trademarks of Financial Industry Regulatory Authority, Inc. (FINRA), in the US and/or other countries. All rights reserved. See for further details regarding TRACE. The AXI & FXI is not associated with, or endorsed or sponsored by, FINRA. SOFR is published by the Federal Reserve Bank of New York (The New York Fed) and is used subject to The New York Fed Terms of Use for Select Rate Data. The New York Fed has no liability for your use of the data. Neither the AXI & FXI are associated with, or endorsed or sponsored by, The New York Fed.